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Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/7422Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Caporale, GM | - |
| dc.contributor.author | Gil-Alana, LA | - |
| dc.contributor.author | Lovcha, Y | - |
| dc.date.accessioned | 2013-05-07T11:07:01Z | - |
| dc.date.available | 2013-05-07T11:07:01Z | - |
| dc.date.issued | 2013 | - |
| dc.identifier.citation | Economics and Finance Working Paper, Brunel University, 13-01, Jan 2013 | en_US |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/7422 | - |
| dc.description.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. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Brunel University | en_US |
| dc.subject | PPP | en_US |
| dc.subject | Long memory | en_US |
| dc.subject | Multivariate fractional integration | en_US |
| dc.title | The PPP hypothesis revisited: Evidence using a multivariate long-memory model | en_US |
| dc.type | Article | en_US |
| pubs.organisational-data | /Brunel | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Centre for Empirical Finance | - |
| Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers | |
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