کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963277 | 930289 | 2008 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan](/preview/png/963277.png)
چکیده انگلیسی
In a cointegration analysis of PPP in five-variable system for Germany, Japan, and the U.S., Sideris [Sideris, D., 2006. Testing for long-run PPP in a system context: evidence for the U.S., Germany and Japan. Journal of International Financial Markets, Institutions and Money 16, 143-154] reports three cointegration vectors and concludes that they are consistent with some form of PPP for all three exchange rates. The present paper reconsiders Sideris's three-country analysis with special attention to the specification of deterministic terms in the cointegration testing. In addition, the passage of time since the Sideris paper allows the data set to be extended. The present paper also applies the Johansen approach and longer data set to traditional two-country models for the same exchange rates. In no case is any evidence in favor of PPP found.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 18, Issue 5, December 2008, Pages 413-424
Journal: Journal of International Financial Markets, Institutions and Money - Volume 18, Issue 5, December 2008, Pages 413-424
نویسندگان
David O. Cushman,