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Multivariate unit root tests of the PPP hypothesis · Study

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ArticleMultivariate unit root tests of the PPP hypothesis

Renato G. Flôres1999

Article1999

Multivariate unit root tests of the PPP hypothesis

Renato G. Flôres · Philippe Jorion · Pierre-Yves Preumont · Ariane Szafarz

49 citations·0/0 files stored·Journal of Empirical Finance

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS 1964The Purchasing-Power Parity Doctrine: A Reappraisal 1987Time Series Regression with a Unit Root 1998The overvaluation of purchasing power parity 1990Purchasing Power Parity in the Long Run

Cited by

2015Unit Roots and Cointegration in Panels 2004Mean reversion of industry stock returns in the U.S., 1926–1998 2007Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP 1999Empirical Studies on Exchange Rate Puzzles and Volatility 2003The behaviour of relative prices in the European Union: A sectoral analysis 2006

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1999What do We Really Know about Real Exchange Rates?chapter · 20 shared references 2006Real exchange rates and Purchasing Power Parity: mean-reversion in economic thoughtarticle · 14 shared references 2001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysisarticle · 13 shared references 2000Real exchange rate behaviour: evidence from black marketsarticle · 13 shared references 1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Periodpreprint · 12 shared references 1998Threshold-autoregressive, median-unbiased, and cointegration tests of purchasing power parityarticle · 12 shared references

Details

Year1999

Typearticle

Published1999-10-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations49

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0927-5398(99)00011-0

openalex_workW1982806218

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Convergences of Prices and Rates of Inflation

2004Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff

2003Parity reversion persistence in real exchange rates: middle income country case