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An empirical examination of long-run purchasing power parity as theory of international commodity arbitrage

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Fraser, Patricia, Taylor, Mark P. and Webster, Alan (1991) An empirical examination of long-run purchasing power parity as theory of international commodity arbitrage. Applied Economics, 23 (11). pp. 1749-1759. doi:10.1080/00036849100000070

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Official URL: http://dx.doi.org/10.1080/00036849100000070

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Abstract

An empirical analysis of long-run purchasing power parity (PPP) as a theory of international commodity arbitrage between UK and US prices and the sterling/US dollar exchange rate for the period 1975–1980 is presented. Econometric techniques concerning the cointegration of economic time series are applied to a sample of 35 manufactured commodities which in 1977 constituted approximately a quarter of the net output of all manufacturing industry in Great Britain. Our results are extremely unfavourable to the PPP hypothesis as a stable long-run proportionality between exchange rates and disaggregated prices.

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Applied Economics
Publisher: Taylor & Francis Ltd.
ISSN: 0003-6846
Official Date: 1991
Dates:
DateEvent
1991Published
Volume: 23
Number: 11
Page Range: pp. 1749-1759
DOI: 10.1080/00036849100000070
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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