Please use this identifier to cite or link to this item:
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.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
13-01.pdf144.41 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.