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Ex ante purchasing power parity : some evidence based on vector autoregressions in the time domain
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Taylor, Mark P. (1990) Ex ante purchasing power parity : some evidence based on vector autoregressions in the time domain. Empirical Economics, 15 (1). pp. 77-91. doi:10.1007/BF01972465 ISSN 0377-7332.
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Official URL: http://dx.doi.org/10.1007/BF01972465
Abstract
The ex ante purchasing power parity (EPPP) hypothesis maintains that the expected rate of nominal exchange rate depreciation should be equal to the expected inflation differential over the relevant period. By modelling the inflation differential and the rate of depreciation as a jointly determined process, this paper derives a test of EPPP by examining the vector autoregressive representation. We also make allowance for the possibility of conditional heteroscedasticity in the inflation and exchange rate innovations. Our empirical results tend to support the EPPP hypothesis.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | Empirical Economics | ||||
Publisher: | Springer | ||||
ISSN: | 0377-7332 | ||||
Official Date: | 1990 | ||||
Dates: |
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Volume: | 15 | ||||
Number: | 1 | ||||
Page Range: | pp. 77-91 | ||||
DOI: | 10.1007/BF01972465 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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