The PPP hypothesis revisited : evidence using a multivariate long-memory model

Caporale, Guglielmo Maria, Gil-Alana, Luis A. and Lovcha, Yuliya (2013) The PPP hypothesis revisited : evidence using a multivariate long-memory model. Centre for International Capital Markets discussion papers, 2013 (01). pp. 1-8. ISSN 1749-3412

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Abstract / Description

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.

Item Type:	Article
Uncontrolled Keywords:	Centre for International Capital Markets discussion papers; CICM discussion papers; purchasing power parity; PPP; long memory; multivariate fractional integration
Subjects:	300 Social sciences > 330 Economics
Department:	Guildhall School of Business and Law
Depositing User:	Mary Burslem
Date Deposited:	16 Apr 2015 13:59
Last Modified:	21 May 2018 09:33
URI:	https://repository.londonmet.ac.uk/id/eprint/381

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