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| Titel: |
Purchasing Power Parity as a long-term memory process: evidence from Canada |
| Auteur: |
Villeneuve, Jean-Francois Handa, Jagdish |
| Verschenen in: |
Applied financial economics |
| Paginering: | Jaargang 16 (2006) nr. 1-2 pagina's 109-117 |
| Jaar: |
2006-01-01 |
| Inhoud: |
This paper uses cointegration and fractional cointegration techniques to test for purchasing power parity (PPP) between the Canadian and the US currencies during the floating exchange period from 1974:1 to 2001:12. The focus is on whether the deviations from the cointegrating relationship possess long memory and may be well-described by a fractionally cointegrated process. The Johansen-Juselius procedure does yield an appropriate cointegration vector, thereby supporting PPP as a long-run relationship. However, it is also found that the deviations from PPP do not follow a fractionally cointegrated stationary process, so that PPP at best holds only weakly even in the long run. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 6 van 10 gevonden artikelen
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