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http://bura.brunel.ac.uk/handle/2438/7422| Title: | The PPP hypothesis revisited: Evidence using a multivariate long-memory model |
| Authors: | Caporale, GM Gil-Alana, LA Lovcha, Y |
| Keywords: | PPP;Long memory;Multivariate fractional integration |
| Issue Date: | 2013 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Working Paper, Brunel University, 13-01, Jan 2013 |
| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/7422 |
| Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
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