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Title: The PPP Hypothesis Revisited: Evidence using a Multivariate Long-Memory Model
Authors: Caporale, GM
Gil-Alana, L
Lovcha, Y
Keywords: PPP;long memory;multivariate fractional integration
Issue Date: 2018
Citation: The Empirical Economics Letters, 2018, 17 (5), pp. 563 - 567 (5)
Abstract: This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, the British pound and the euro, but in all four cases the results are consistent with the relative version of PPP.
ISSN: 1681-8997
Appears in Collections:Dept of Economics and Finance Research Papers

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