Tests of purchasing power parity

This paper examines the long-run relationship between exchange rates and prices in ten countries in Southwest Asia, Africa, and the Pacific Rim for the post-Bretton Woods period. It uses cointegration tests to investigate the thesis that relative purchasing power parity exists as a long-run equilibrium condition between country-pairs. It expands upon tests for relative purchasing power parity suggested by previous authors by pretesting price index time series for structural breaks, in addition to pretesting the price indices and exchange rates for compatible stochastic properties. It compares the results of conventional cointegration tests for parity with a weaker form of the relationship suggested by Pippenger (1993) and Patel (1990), and finally, examines purchasing power parity by testing real bilateral exchange rates for stationarity.

Name thesis:degree_name

Master of Arts

Level thesis:degree_level

masters

Discipline thesis:degree_discipline

Economics

Department dc:contributor.department

Economics

Grantor dc:publisher

Virginia Tech

Year dc:date.issued

1996

Author dc:creator

• Speed, Preston Brooks

Chair dc:contributor.committeechair

• Wentzler, N.

Committee members dc:contributor.committeemember

• Reid, B.
• Porter, R.

• currencies
• exchange rates
• cointegration
• unit roots
• parity

Statement dc:rights

• In Copyright

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Language dc:language.iso

en

Dc Identifier Other

etd-01292009-063028

OAI identifier oai:identifier

oai:vtechworks.lib.vt.edu:10919/40818