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

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.

Documents
381:2197
[img]
Preview
CentreForInternationalCapitalMarketsDiscussionPapers_2013-01_p01-08.pdf - Published Version

Download (105kB) | Preview
Details
Record
Statistics

Downloads

Downloads per month over past year



Downloads each year

View Item View Item