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Testing for Purchasing Power Parity in Cointegrated Panels

Testing for Purchasing Power Parity in Cointegrated Panels »

Volume/Issue: 2007/287

Series: IMF Working Papers

Author(s): Johan Lyhagen , Pär Österholm , and Mikael Carlsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

DOI: http://dx.doi.org/10.5089/9781451868500.001

ISBN: 9781451868500

Keywords: Panel cointegration, Maximum likelihood, Fully modified OLS, Dynamic OLS, cointegration, statistics, econometrics

This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several important dimen...

The Purchasing Power Parity Criterion for Stabilizing Exchange Rates

The Purchasing Power Parity Criterion for Stabilizing Exchange Rates »

Volume/Issue: 1989/52

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 June 1989

DOI: http://dx.doi.org/10.5089/9781451970166.001

ISBN: 9781451970166

Keywords: ppp, exchange rate, exchange rates, purchasing power parity, nominal exchange rate

The use of purchasing power parity as a basis of fixing exchange rates among industrial countries, as proposed by McKinnon, is discussed and contrasted with alternative interpretations of the PPP doctrine. Major po...

The Purchasing Power Parity Criterion for Stabilizing Exchange Rates

The Purchasing Power Parity Criterion for Stabilizing Exchange Rates »

Source: The Purchasing Power Parity Criterion for Stabilizing Exchange Rates

Volume/Issue: 1989/52

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 June 1989

ISBN: 9781451970166

Keywords: ppp, exchange rate, exchange rates, purchasing power parity, nominal exchange rate

The use of purchasing power parity as a basis of fixing exchange rates among industrial countries, as proposed by McKinnon, is discussed and contrasted with alternative interpretations of the PPP doctrine. Major po...

Testing for Purchasing Power Parity in Cointegrated Panels

Testing for Purchasing Power Parity in Cointegrated Panels »

Source: Testing for Purchasing Power Parity in Cointegrated Panels

Volume/Issue: 2007/287

Series: IMF Working Papers

Author(s): Johan Lyhagen , Pär Österholm , and Mikael Carlsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868500

Keywords: Panel cointegration, Maximum likelihood, Fully modified OLS, Dynamic OLS, cointegration, statistics, econometrics

This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several important dimen...