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1
Speed, Preston Brooks. "Tests of purchasing power parity." Thesis, This resource online, 1996. http://scholar.lib.vt.edu/theses/available/etd-01292009-063028/.
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Dúbravská, Pavla. "Purchasing Power Parity in Transition Economies." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-3895.
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The goal of this diploma thesis is to assess purchasing power parity (PPP) under the conditions of transition process. The thesis provides a survey of the purchasing power parity theory and concentrates on the relative version. It outlines main causes of possible deviations and modifications of the model. In the empirical part four transition economies are tested for the PPP theory: the Czech Republic, Hungary, Poland and Slovakia. The diploma thesis concludes with analysis of the role of the exchange rate under conditions of a small open economy. The overall analysis is implemented within the context of real and nominal convergence towards European Union and future accession to the European Monetary Union.
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Bukat, Michał Aleksander. "Purchasing Power Parity - Theory and Practice." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-206079.
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The thesis explains the theory of purchasing power parity and related concepts. It shows differences in prices and wages all around the globe and gives theoretical explanation of existing disparities. The goal is to find out how prices differ in reality, where costs of living are the highest or the lowest and what makes some products more or less expensive in different countries. In order to answer the questions the thesis deals with, the variety of sources was used, starting from economics textbooks, academic journals, literature reviews, the Economist website, a study of UBS 'Prices and Earnings', International Monetary Fund database and others.
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Nuasir, Salah Ahmad. "Does purchasing power parity hold in developing countries? an application to the Asian countries /." access full-text online access from Digital dissertation consortium online access from ProQuest databases, 2001. http://libweb.cityu.edu.hk/cgi-bin/er/db/pqdiss.pl?3037125.
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Carnovale, Christina. "Purchasing power parity and frequency domain filtering." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/MQ65028.pdf.
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Machado, Flávio A. de Stéfani. "An econometric study on purchasing-power parity." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8280.
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Neste trabalho abordamos alguns "puzzles" da Paridade do Poder de Compra (PPC) ainda não resolvidos; durante esse processo propomos um novo modelo não-linear e estudamos o papel da agregação temporal e de bases de dados abrangendo apenas um pequeno período histórico. A hipótese de que não existe uma força de convergência agindo sobre o câmbio real ajustado (ARER) foi fortemente rejeitada estatisticamente, e a não-linearidade se mostrou um questão importante. As meia-vidas encontradas para o Brasil usando os modelos padrão parecem ser uma das menores já encontradas para um país, e chegamos à conclusão de que a velocidade de convergência em direção a PPC ainda não pode ser considerada um consenso. Pretendemos, em adição, dar contribuições através do levantamento e esclarecimento de alguns resultados e problemas potenciais concernentes ao estudo da PPC.
In this work we address some unresolved purchasing-power parity (PPP) puzzles; during the process we propose a new nonlinear model and check the role of temporal aggregation and of datasets covering only a small period of time. The hypothesis that there is no convergence force acting on ARER has been strongly statistically rejected and the nonlinearity showed itself as an important issue. The half-lives found for Brazil using standard models seem to be one of the smallest ever found for a country. However, we concluded that the speed of converge towards PPP is not a consensus yet. Besides, we expect to give contributions to PPP literature by pointing out important results and potential pitfalls on PPP research.
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Beirne, John. "International exchange rate dynamics and purchasing power parity." Thesis, Brunel University, 2010. http://bura.brunel.ac.uk/handle/2438/4246.
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This thesis provides evidence in favour of the long-run validity of Purchasing Power Parity (PPP) using primarily a linear error correction framework. Through an examination of PPP where proportionality and symmetry are implicitly imposed, it is shown that a selection of twelve EU real exchange rates is stationary on a univariate basis. The contribution here is based on the reconciliation of unit root test outcomes across univariate and panel tests. Following this analysis, the Johansen cointegration procedure is employed to examine whether long-run equilibrium relationships can be identified in systems of real exchange rates. The implications of results found are set out in terms of regional exchange rate policy co-ordination, exchange rate regime appropriateness, and monetary integration. By focussing on interdependent regions that were affected by a major financial shock (Europe: EMS crisis; Latin America: Mexican crisis; South East Asia: 1997 crisis), the real exchange rate dynamics are compared in pre- and post-crisis scenarios.This thesis also presents evidence in favour of PPP by examining the less restrictive scenario where neither proportionality nor symmetry is imposed. Given the fact that most developed economies have highly integrated goods and capital markets and liberalised capital accounts, the failure to find evidence for PPP in previous studies may be due to the exclusion of factors that might reflect the behaviour of capital markets and their influence on the exchange rate. To test this, the traditional nominal exchange rate and domestic/foreign price based system is augmented with an interest rate component. In a tripolar specification, the joint test of PPP and Uncovered Interest Parity (UIP) is found to hold in a system comprising Germany, Denmark and the UK, suggesting well-integrated goods and capital markets and the long-run convergence evident suggests that Denmark and the UK might be suitable for membership of the euro area. This convergence appears to be stronger when short-term interest rates are used as opposed to long-term rates (perhaps since they are not subject to distortions such as taxation and maturity levels). Furthermore, long-rates have been associated recently with an inversion of the yield curve, while evidence to support the yield curve in non-crisis times is mixed. Finally, multivariate and panel cointegration procedures are employed to provide evidence for the suitability of potential future euro area entrants from Central and Eastern Europe in tri-variate systems comprising the euro nominal exchange rate and two price series.
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Ballard, Billy L. (Billy Lanoy). "Corporate Tax Rates and the Purchasing Power Parity Doctrine." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc500570/.
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This thesis analyzes the effect of corporate tax rates on the purchasing-power-parity (PPP) doctrine. The data used to test this hypothesis are drawn from the U. S., the U. K., the Federal Republic of Germany, Canada, and Japan. The first chapter introduces the reader to the concepts of the PPP doctrine and states the hypothesis. Chapter 2 reviews the literature on the PPP doctrine. Chapter 3 specifies a model of the PPP doctrine including tax rates. Chapter 4 reports and interprets the findings. The study is summarized and conclusions are drawn in chapter 5. In this study it is shown that tax rates are significant only in the case of the U. S. dollar/Canadian dollar exchange rate.
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Chen, Renjie. "Using PPP deviations as a trading rule : an indirect joint test of PPP and foreign exchange market efficiency." Thesis, University of British Columbia, 1989. http://hdl.handle.net/2429/42010.
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In this thesis an international investment filter rule is used to test both the tendency for
Purchasing Power Parity (PPP) to hold in the long run and the hypothesis of foreign
exchange market efficiency for the four most actively traded currencies in the world
vis-a-vis the United States dollar: the British pound, the Japanese yen, the Germany
mark, and the Canadian dollar. One way to examine whether there is a tendency for
PPP to hold in the long run and whether the foreign exchange market is efficient, is to
place more money in the 'undervalued' currency according to PPP deviations or to invest
according to PPP deviations, putting more money into interest bearing securities in the
'undervalued' currency, the more this currency is undervalued. The return can then be
compared with a reference rule which does not use this filter, but instead puts an equal
value of money into the currencies or the securities of each country.
This thesis has produced three results. First, using the PPP filter in the exchange
money market yields no significantly abnormal rate of return compared with the reference
rule. The result suggests that we can not reject the hypothesis that the tendency for PPP
to hold in the long run does not exist. Second, using the PPP filter to invest in securities
also yields no significantly higher rate of return compared with the reference rule. And
third, when comparing the domestic (or foreign) interest rates with the rates of return
for the domestic (or foreign) investor who uses the PPP filter, there is no significant
difference between these rates in the long run. The last two results suggest that we can
not reject the hypothesis that the foreign exchange-market is efficient.Business, Sauder School of
Graduate
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Yuyuenyongwatana, Robert P. (Robert Privat). "Purchasing Power Parity and the Efficient Markets: the Recent Empirical Evidence." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc331946/.
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The purpose of the study is to empirically determine the relevance of PPP theory under the traditional arbitrage and the efficient markets (EPPP) frameworks during the recent floating period of the 1980s. Monthly data was collected for fifteen industrial nations from January 1980 to December 1986. The models tested included the short-run PPP, the long-run PPP, the EPPP, the EPPP with deviations from expectations, the forward rates as unbiased estimators of future spot rates, the EPPP and the forward rates, and the EPPP with forward rates and lagged values. A generalized regression method called Seemingly Unrelated Regression (SUR) was employed to test the models. The results support the efficient markets approach to PPP but fail to support the traditional PPP in both the short term and the long term. Moreover, the forward rates are poor and biased predictors of the future spot rates. The random walk hypothesis is generally supported.
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Tshipinare, Katso. "Purchasing power parity between Botswana and South Africa: a cointegration analysis." Thesis, University of the Western Cape, 2006. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_1984_1184669340.
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This paper tested the purchasing power parity hypothesis for Botswana and South Africa using cointegration analysis. The data used are the spot exchange rate between the two countries (rand and pula) and their consumer price indices.
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Cerrato, Mario. "New panel unit root and cointegration tests of purchasing power parity." Thesis, London Metropolitan University, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.426599.
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Purchasing Power parity PPP) is one of the most investigated topics in international finance. The empirical analysis on PPP in the 1980s and 1990s relied on univariate tests such as Dickey Fuller and Augmented Dickey Fuller and cointegration tests. The , empirical evidence from these methodologies seemed to produce wery little empirical evidence favouring PPP. However, these methodologies have been shown to have low power and be inadequate when used with highly persistent stochastic processes (for unit root tests of the real exchange rate). One solution followed in the literature to overcome the low power problem was pooling data on two dimensions (i.e. time and cross section dimensions) instead of only one dimension (i,e. time series. d imension). Panel unit root tests of PPP have re-affirmed the existence of this parity condition in some studies. However, the empirical evidence favouring PPP in most of the studies using panel unit root tests might be overvalued due to cross section dependence (O'Connell, 1998). One of the objectives of this thesis is to consider cross section dependence by extending the bootstrap panel unit root proposed by Maddala and Wu (1999) and apply the latter to a panel of twenty OECD real exchange rates. We also use Monte Carlo simulations to examine the size properties of the proposed bootstrap panel test. If on one hand the literature on testing for PPP by using panel unit root tests is wide, on the other hand very little has been done on testing for cointegration between nominal exchange rate and domestic-foreign prices in a panel context. We shall also address this issue by using some new, heterogeneous, and more powerful panel cointegration tests. Furthermore, we also test for the joint symmetry and proportionality restriction by using likelihood ratio tests extended to a panel context. As we have pointed out above there exists a large literature on PPP, but most of the analysis conducted has been undertaken on OEeD countries. Studies of PPP using data for developing countries are limited. In addition, very few of the studies have used black market exchange rates. One of the main objectives of this thesis is to investigate the validity of PPP in developing countries using black market exchange rates. We construct and use a unique data set consisting of twenty emerging market economies and black market nominal exchange rates, spanning over 1973Ml-1993M12. As far as we know such a big data set has never been used in the studies of PPP using black market nominal exchange rates. Furthermore, we use new developed panel unit root and cointegration tests. Another unresolved puzzle in the PPP literature is the low degree of mean reversion of the real exchange rate towards PPP. In fact, if deviation from PPP were due to monetary factors, one would expect a much faster degree of mean reversion of the real exchange rate towards PPP than what reported in the literature (i.e. 3-5 years). Rogoff called this "the purchasing power parity puzzle". We investigate the PPP puzzle in emerging markets using black market real exchange rates and econometric techniques, such as median unbiased estimation and impulse response function, that have been shown to be more appropriate to measure persistence of the real exchange rate (Murray and Papell, 2002). We also employ non-parametric bootstrap to construct confidence intervals for half-lives.
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Bastos, Felipe de Sousa. "Reversion rate of deviations from purchasing power parity for Brazilian cities." Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=11362.
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Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgicoThis work aims to provide non-biased estimates of the speed of reversion of deviations from the PPP for 11 Brazilian cities, between 1991 and 2013, using the methodology proposed by Choi, Mark and Sul (2006), which makes use of a panel estimation method with correction for three possible sources of bias, those being: the bias of inappropriate grouping of cross-section units with heterogeneous coefficients, the Nickell bias and the bias arising from the temporal aggregation of price indexes. The half-lives obtained are of the order of 4.41 and 3.18 years with Brazil and the Average as references, respectively, and median half-life of 3.13 years, when considering all Brazilian cities analyzed as the numeraire. The half-lives found were also substantially lower than those obtained for American cities. Furthermore, 33.33 % of the half-lives obtained were inferior to the consensus range suggested by Rogoff (1996) of 3-5 years, and none surpassed that range.
O presente estudo se propÃe a prover estimativas nÃo viesadas da velocidade de reversÃo dos desvios da PPC para 11 cidades brasileiras entre 1991 e 2013 atravÃs da metodologia proposta por Choi, Mark e Sul (2006) que usam um mÃtodo de estimaÃÃo em painel com correÃÃo para trÃs possÃveis fontes de viÃs, quais sejam, viÃs de agrupamento inapropriado de unidades cross-sections com coeficientes heterogÃneos, viÃs de Nickell e o viÃs oriundo da agregaÃÃo temporal dos Ãndices de preÃos. As meias-vidas obtidas sÃo da ordem de 4.41 e 3.18 anos tendo Brasil e MÃdia como referÃncia, respectivamente, e meia-vida mediana de 3.13 anos considerando todas as cidades brasileiras analisadas como numerÃrio. As meias-vidas encontradas tambÃm se mostraram substancialmente inferiores Ãquelas obtidas para as cidades americanas. AlÃm disso, 33.33% das meias-vidas aqui obtidas se mostraram inferiores ao intervalo consensual proposto por Rogoff (1996) de 3 a 5 anos, e nenhuma o ultrapassou.
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Chen, Sofia, and Ruoshui He. "Purchasing Power Parity (PPP) Deviations: The case of H&M." Thesis, Internationella Handelshögskolan, Jönköping University, IHH, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49060.
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The theories of the law of one price and purchasing power parity are thought to hold almost exactly in financial market, but it seems less likely to occur in international trade where arbitrage opportunities take place. The purpose of this study is to test whether the purchasing power parity holds for commodities in various national markets, for which a quantitative method is followed. For identical goods, the prices should be equal across countries. In fact, the prices vary significantly across ‘truly homogenous’ goods within a product group. The finding suggests that differences in productivity and value-added tax do have significant positive impacts on price settings. As a consequence, purchasing power parity definitely does not prevail as well as law of one price does not. Further studies can use these findings to examine the extent and permanence of violations of the law of one price.
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Neumann, Cornelia. "Purchasing Power Parity in the European Union A panel unit root test /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05604160001/$FILE/05604160001.pdf.
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Kalinda, Mkenda Beatrice. "Essays on purchasing power parity, real exchange rate, and optimum currency areas /." Göteborg : Nationalekonomiska institutionen, Handelshögsk, 2000. http://www.handels.gu.se/epc/data/html/html/1973.html.
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Unkovski, Goran. "Purchasing power parity and Reserve Bank intervention in the foreign exchange market." Master's thesis, University of Cape Town, 2004. http://hdl.handle.net/11427/5681.
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Includes bibliographical references.This paper tests the behaviour of the PPP relationship in South Africa between 1993 and 2003 using cointegration techniques. The period under review is divided into two sub-phases. The first, from January 1993 to May 1998, encompasses the changing political situation and the initial effects of global integration for South Africa. It is found that the PPP relationship holds during this time frame.
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Barma, Shyam Charan. "Exchange Rate and Purchasing Power Parity : with special reference to India & Nepal." Thesis, University of North Bengal, 2010. http://hdl.handle.net/123456789/1263.
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Seka, Gilles-Eric Kotchi Gardner H. Stephen. "The utility of the passing time and measurement of the purchasing power of currencies in the flexible-exchange-rate system." Waco, Tex. : Baylor University, 2008. http://hdl.handle.net/2104/5252.
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Jiang, Ying. "Essays on forecasting exchange rate volatility, central bank interventions and purchasing power parity." Thesis, University of Essex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496272.
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Pollock, A. C. "Modelling the UK real effective exchange rate index : A purchasing power parity framework." Thesis, University of the West of Scotland, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.379429.
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The aim of the thesis is to explain short and medium term movements of the U.K. real effective exchange rate index from 1972 to 1984, within a relative purchasing power parity framework. This index is measured using both consumer and wholesale price indices. Movements are examined within a model that incorporates trade flow and asset market mechanisms. In order to validate the model, consideration of time series analysis, the measurement of expectations and the econometric estimation of the model are undertaken. The time series characteristics of the U.K. real and nominal effective exchange rate index are examined using regression, correlation, spectral and non-parametric statistical techniques. These imply that U.K. real exchange rate movements follow a quasi-random walk. Violations from the random walk occur partly due to the use of period averages in the construction of the index and partly from medium term time dependence. The empirical analysis of expectations is undertaken in a rational expectations framework. It is found that the best short term predictor of the nominal effective exchange rate index is a constructed forward effective exchange rate index. However, short term exchange rate movements appear largely due to 'news'. In the longer term, exchange rate expectations appear to be influenced by movements in the real current balance of goods and serVIces. The econometric analysis gives results broadly consistent with the model. This supports the view that the U.K. real effective exchange rate index returns to its equilibrium value in the long term, with movements in the short and medium terms eventually being corrected by trade flow and asset market mechanisms
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Oh, Keun-Yeob. "A study of purchasing power parity using unit root tests in panel data." Connect to resource, 1994. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1262874375.
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Wang, Ping. "Econometric analysis of exchange rates in East Asia." Thesis, Middlesex University, 1999. http://eprints.mdx.ac.uk/8032/.
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This study is concerned with the behaviour of exchange rate movements focusing specifically on purchasing power parity (PPP) and the non-stationarity of real exchange rates, for a number of East Asian currencies during their recent floating periods. As one of the most important building blocks in international economies, PPP forms a core component of several models of exchange rate determination, and it is the most intensively tested hypothesis in open-economy macroeconomics. Nevertheless, in contrast to the relative abundance of research on the currencies of industrialised countries, very few studies on East Asian currencies have been carried out, leaving an important gap in the literature. Using recent advances in time series analysis, the results reveal for the East Asian countries that there existed long-run comovement between the nominal exchange rate and domestic and foreign price levels, but that the strict PPP condition claimed by the theory did not hold. This implied that any deviation from the PPP equilibrium was permanent and that there was little tendency for the real exchange rate to be mean reverting. Further investigation suggested that the real exchange rate was cointegrated with fundamentals, with most of the variables entering the cointegration vector significantly, suggesting that the movements of real exchange rate were driven by these factors. Investigating the dynamic paths of the real exchange rate and the long-run relationship (cointegrating relationship) in response to exogenous shocks also revealed that the real exchange rates did not revert to their pre-shock equilibrium, but that the long-run relationship did. It took, normally three to five years, for the real exchange rate to reach and settle down to a new equilibrium and even if the effect of shocks on the long-run relationship was transitory, the speed of convergence to the equilibrium was slow. The results also showed that the effects of shocks vary from one country to another. This meant that there was no universal panacea to deal with fluctuations in real exchange rates, as they were influenced by a country's natural endowment, stage in industrialisation, as well as monetary and exchange policies.
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Lo, Ming Chien. "Essays on the nonlinear modeling of real exchange rates and price differentials /." Thesis, Connect to this title online; UW restricted, 2000. http://hdl.handle.net/1773/7480.
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Baralexis, Spyridon K. "Impact of general purchasing power accounting on Greek accounts." Thesis, University of Stirling, 1989. http://hdl.handle.net/1893/2604.
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This Study addressed the inflation accounting problem with respect to Greece. This problem had been unaddressed despite the serious implications it may have on micro- and macro-decision making due to the high and persistent inflation Greece has sustained from 1973 and afterwards. To accomplish the above purpose, the general significance of inflation accounting as well as its specific significance for Greece was established by means of the existing inflation accounting literature and the economic setting of Greece. Following this, the relevance of GPPA rather than CCA to the Greek financial reporting was established by means of correspondence between specific features of GPPA and specific characteristics of the Greek setting. After having established the a priori relevance of GPPA for Greece, the potential usefulness of GPPA to the Greek users of accounts was established as well on an empirical basis. For this purpose the impact of GPPA on Greek accounts was approximated ex ante through detailed restatement procedures and estimation techniques. It was found that inflation has a serious impact on earnings and especially on such important (for decision making) financial parameters as tax rate, dividend payout ratio, and return on capital employed. This impact of inflation on earnings does not seem to be systematic, and hence it cannot be estimated by use of HCA numbers. Therefore, GPPA should be adopted at least on a supplementary (to HCA) basis, if in the future the increase in the inflation rate continues to be as high as it was in the period examined by the study (i.e. 25% or so). In additon to the main conclusion above, other conclusions drawn on the basis of the empirical findings obtained are as follows: 1. The Composite Age Technique used (mainly in the USA) for the restatement of fixed assets and depreciation does not work at all in the Greek case. In contrast, the Dichotomus Year Technique in the first place, and the Equal Additions Technique, in the second place, may be used for adjusting fixed assets not only in developing countries like Greece, but, perhaps in developed countries as well. 2. Operation costs of GPPA can be saved by restating fixed assets and depreciation on an annual rather than monthly basis. 3. Perhaps the Greek government should consider the taxes imposed on corporate net profits in times of high inflation because it was found that the effective tax rate is substantially different from the nominal one. 4. There are serious implications for the Greek businesses in the finding that in real term dividends are paid out of capital rather than out of income. 5. The profitability of Greek companies is low when measured in real terms. Hence, businessmen should exercise every effort to improve it. On the other hand, the Greek government should consider the prices control imposed.
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Koya, Sharmistha N. "Terms of trade effects on PPP and incomes of primary-commodity exporting countries." Diss., This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-10022007-145406/.
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Berberoglu, Pinar. "The Validity Of The Relative Purchasing Power Parity And The Uncovered Interest Rate Parity Theories For The Dollar/euro Exchange Rate." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/2/12605635/index.pdf.
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This study analyzes validity of the relative purchasing power parity (PPP) and the uncovered interest rate parity (IRP) theories for the dollar/euro exchange rate. The period of analysis is from 1990 to 2003. The dollar/euro exchange rate represents the currencies of a country, the USA, and a region, the Euro Area. The basic data needed for this study are the dollar/euro exchange rate, and the inflation and the interest rates for the USA and the Euro Area. Since the Euro Area was officially formed on January 1st, 1999, we had difficulty in finding the data for the Euro Area. For the lacking Euro Area data, synthetic values are created by using the individual data of Euro Area countries. These synthetic values are treated as the equivalents of the actual values and are used in the parity implied dollar/euro exchange rate calculations. The parity implied dollar/euro exchange rates are compared with the actual dollar/euro exchange rates. Our results indicate that the parity implied dollar/euro exchange rates are statistically significantly different from the actual dollar/euro exchange rates. In other words, both the PPP and the IRP theories do not hold for the dollar/euro exchange rate.
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Hwang, Yu-Ning. "Essays on real exchange rate dynamics and exchange rate regime /." Thesis, Connect to this title online; UW restricted, 2006. http://hdl.handle.net/1773/7509.
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Nilsson, Johanna. "Price convergence in the EMU : a study on the price level changes in the EMU from 1980 to 2005." Thesis, Uppsala University, Department of Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8064.
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According to the different studies regarding customs unions and monetary unions, both these types of economic integration will lead to increased trade which in turn affects the price level.
In this study, the changes in the price levels across Europe are investigated in order to see if the changes can be attributed to the EMU and the Euro. By using the PPPs calculated by OECD based on the theory of Purchasing Power Parity price levels in different countries become comparable between the countries and over time. The result is that there seems to be a clear convergence towards an average European price level in the observed period 1980-2005.
In order to investigate if this convergence is an effect of the EMU a panel regression on relevant data is run and the result shows that there has been a convergence in the EMU-price level, but it can most likely not be attributed to the Euro, but other factors like for example increased degrees of openness.
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Khoo, Sye Min. "Long run real exchange rate movements in fourteen Asian economies, the validity of purchasing power parity." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ35508.pdf.
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Gogas, Periklis. "Purchasing power parity, balanced growth, and volatility forecasting, an application of recent developments in time series analysis." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0016/NQ54780.pdf.
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HajYehia, Samer. "Essays in financial economics : terror, consumption, and investment, currency options and liquidity premium, and purchasing power parity." Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/29432.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2004.Includes bibliographical references.
This thesis is composed of three chapters, each includes one paper. The first chapter includes a paper that analyses the impact of terror on consumption and investment. This paper provides evidence on how consumers and investors react to terror attacks based on a new database from the Israeli-Palestinian conflict. An increase in terror casualties triggers households to alter their perceived personal security and expected future income. Only ex-post do households distinguish a temporary from a permanent increase in terror casualties. A temporary increase in the number of terror casualties causes a bust-boom cycle of durables consumption and irreversible investment; nondurables are affected less. A permanent increase in the number of terror casualties causes a one-time drop in consumption. This is in line with the theory on irreversible investment and durables consumption: terror generates temporary uncertainty about personal security and future income, which in turn causes a bust-boom cycle of durables due to bunching of purchases in later periods. A permanent increase in terror causes neither bunching nor boom. Similar results are obtained for the effect of terror casualties on fixed capital. The second chapter includes a paper titled: "Arbitrage Tests of Israel's Currency Options Markets." The aims of this study are threefold. First, we test the validity of the Black and Scholes (B-S) model as a naive option-pricing model for the case of an exchange-rate target zone. We find that although we cannot reject the weakly efficient market hypothesis (except for very-near-maturity deep-ITM options), we can reject the strongly efficient market and/or the B-S model validity hypotheses.
(cont.) The banking sector could have utilized arbitrage opportunities, notably for out-of-the-money, at-the-money, and far-from-maturity options, especially when employing inter-temporal weighted-average implied standard deviation. Second, we estimate the liquidity premium for currency options by using a unique data set that allows us to comparing tradable and non-tradable options. The liquidity premium, though positive in average, is found to be negative for some options. This is an indication that there could have been arbitrage opportunities, especially for the banking sector. Third, we examine the null hypothesis that the Israeli currency options market is efficient, an issue that has not been investigated. Ex-post tests of arbitrage and dominance conditions do not permit rejection of the null hypothesis, except for very-near maturity, deep-in-the-money (ITM) options. The paper enhances the literature by using a unique database from the Israeli currency options market, which includes currency options traded on the Tel Aviv Stock Exchange and (non-tradable) Bank of Israel currency options. In addition, this paper examines B-S when the exchange rate is confined to a target zone. The third chapter includes a paper that analyses the robustness of exchange rate models, unit roots and cointegration. Three basic models have been proposed to explain the exchange rate: Purchasing Power Parity (PPP), the Balassa-Samuelson model and the random walk model. The robustness of these models is not merely a statistical curiosity but has important implications in many economic and financial models. During the last two decades ...
by Samer Haj-Yehia.
Ph.D.
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Mäsiarová, Jana. "Exchange Rate Modelling - Parities and Czech Crown." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-17469.
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The paper analyses validity of main exchange rate theories in case of the Czech crown. Investigated relationships comprise purchasing power parity, interest rate parity and real interest monetary model. Technical part of the analysis involves cointegration, namely Johansen's method based on vector autoregressive models. Two currency pairs are in the focus: CZK/EUR and CZK/USD. Empirical calculations did not prove the absolute validity of the theories but pointed out to other factors of exchange rate, such as convergence process, impacts on inflation targeting decisions, non-monetarist determinants and the recent financial crisis.
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Coelho, Afonso Salgado Porto. "Purcharsing power parity theory in the context of the euro currency." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/15228.
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Mestrado em Mathematical FinanceO foco desta tese é na teoria da paridade do poder de compra (PPC) no contexto do Euro entre 1999 até 2016. Esta teoria tem em vista a ligação entre as taxas de câmbio, juro e inflação. Assim, pretende-se saber se com a eliminação da taxa de câmbio, a teoria de PPC é consistente com a ligação entre taxa de juro e taxa de inflação para os países da Zona Euro. Para este estudo a amostra contém doze países com informações entre 1999 até 2016. Os países presentes na amostra são: Austria, Bélgica, Finlândia, França, Alemanha, Grécia, Irelanda, Itália, Luxemburgo, Holanda, Portugal e Espanha. Verifica-se que apesar de apesar de não haver grandes oscilações num periodo inicial à entrada da moeda única, a taxa de juro e a taxa de inflação sofreram posteriormente uma variação considerável entre os países da amostra. Estas observações podem questionar assim a validade da teoria do PPC no contexto do Euro.
This thesis focuses on the purchasing power parity (PPP) theory in the context of the euro from 1999 to 2016. PPP suggests a specific association between exchange, inflation and interest rates. The euro has eliminated exchange rates among participating countries. We inquire whether the elimination of the exchange rate could be reflected, similar to the inflation and interest rates of euro-area countries, consistent with PPP. The study has followed a panel of twelve countries from the introduction of the euro in 1999 until 2016. These countries are Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Spain. The findings show that after an initial period of similarity, and despite the elimination of exchange rates among these countries, inflation and especially country-level interest rates have exhibited a great degree of divergence. Therefore, these results may question the validity of the relationships PPP predicts in the context of the euro. Although the exchange rate between these countries remained the same, inflation and interest rates did not.
info:eu-repo/semantics/publishedVersion
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Pesavento, Elena. "Analytical evaluation and application of tests for cointegration /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p9984808.
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Bae, Youngsoo. "Three essays on nonlinear nonstationary econometrics and applied macroeconomics." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1148577268.
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Thorne, Terrill D. "Does the Relative Price of Non-Traded Goods Contribute to the Short-Term Volatility in the U.S./Canada Real Exchange Rate? A Stochastic Coefficient Estimation Approach." Thesis, Virginia Tech, 2002. http://hdl.handle.net/10919/31159.
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This study uses a random coefficient estimation procedure to test the hypothesis that much of the volatility in the U.S./Canada real exchange rate over the time period 1971 through 1999 is due to the relative price of non-traded goods to traded goods. The model specification used in this study provides estimates of the sensitivity of movements in the U.S./Canada real exchange rate to movements in both the relative price of traded goods and the relative price of non-traded goods to traded goods in each of the two countries. I test for purchasing power parity in each of the two components of the model and address the question of volatility through the examination of the time profile of the respective coefficient estimates. The empirical results support the conclusion that the average value of the coefficient on the relative price of non-traded goods to traded goods component is smaller than that on the relative price of traded goods component. However, purchasing power parity in both components can not be rejected when the period of study is limited to 1971 through 1994. Furthermore, examination of the time profile of the random coefficients on the relative price of non-traded goods to traded goods component suggests that it is much more volatile and, therefore, quite significant in capturing the volatility in U.S./Canada real exchange rate movements.
With regard to purchasing power parity in both the traded goods component and the non-traded goods to traded goods component, these results are consistent with the implications of the theory of purchasing power parity. However, they are not entirely consistent with the evidence presented in recent literature. Specifically, evidence presented in recent studies can not support perfect purchasing power parity in either traded goods or non-traded goods and leads to the conclusion that non-traded goods are much less significant, if at all, in the determination of the U.S./Canada real exchange rate. This inconsistency with recent literature is most likely a result of the fact that the random coefficient modeling technique used in this study allows the coefficients to vary over time and, thereby, enables the volatility of both components to be captured in the model. Therefore, given the apparent significance of the relative price of non-traded goods to traded goods, the volatility of this component can logically be expected to significantly contribute to the volatility in the U.S./Canada real exchange rate.Master of Arts
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Wu, Pei-Cheng, and 吳佩橙. "Purchasing Power Parity." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/72547086010944235131.
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Shen, Hung-Ling, and 沈虹伶. "An Empirical Assessment of Purchasing Power Parity." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/x24a3t.
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碩士國立中山大學
中山學術研究所
95
Abstract The Purchasing power parity （PPP） theory was originally developed by a Swidish economist, Gustav Cassel, in 1916. It is a method using the long-run equilibrium exchange rate of two currencies to measure the currencies'' purchasing power. It is based on the law of one price, the idea that, in an efficient market, identical goods must have only one price internationally. This parity is a central building block of many theoretical and empirical models of exchange rate determination, since most are relied on PPP as the basis for long-run real exchange rates. While the literature on the PPP hypothesis is voluminous today and still growing, the doctrine has not found well. The validity of PPP can be examined by testing the stationary of real exchange rates. Most of the empirical evidences relied mainly on using linear structure to explore PPP in the past. By using traditional unit root test, the PPP is hard to hold in the long run. There is a growing consensus that previous empirical research reflects the poor power of the tests rather necessarily against PPP. Therefore, the use of more powerful tests is needed. Recently, an alternative point of view based on the presence of market frictions that impede commodity trade has arisen. The adjustment of real exchange rates is perhaps described more appropriately as a nonlinear process once market frictions are taken into account. There are several reasons that theoretically explain why the adjustment process of deviations from PPP is nonlinear, such as transactions and transportation costs and tariffs and non-tariff barriers to international trade. Therefore, the analysis of real exchange rate should be conducted under the nonlinear structure. This study uses the STAR methodology proposed by Granger & Teräsvirta (1993) and Teräsvirta (1994) to examine whether the deviation of PPP is a nonlinear dynamic adjustment among the following countries: Australia, Denmark, Italy, Japan, Luxembourg, Norway, Spain, Sweden and the United Kingdom. If the linear hypothesis was rejected, then to distinguish if the model of STAR is LSTAR or ESTAR. This study finds that the deviations from equilibrium exchange rates show strong evidence of nonlinear properties. The deviations of exchange rates for all countries can be explained by the LSTAR model. In conclusion, this study finds the real exchange rates exhibit the property of nonlinear mean reversion for most countries.
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Berka, Martin. "Purchasing power parity puzzle as a trade phenomenon." Thesis, 2005. http://hdl.handle.net/2429/16899.
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The purchasing power parity puzzle is among the central issues of international macroeconomics. In my thesis, I document and explain the persistence and volatility of its empirical counterpart - the real exchange rate - as a trade phenomenon arising from heterogeneous physical characteristics of products and geography. In the first chapter, a general equilibrium model with shipping costs that depend on physical characteristics of goods and distance leads to endogenous tradability of goods. Deviations of prices from parity are sustained as long as they do not exceed the heterogeneous trade frictions. The real exchange rate exhibits deviations whose persistence matches the data and, when quadratic adjustment costs in change of trade volume are added to the model, also the volatility of the real exchange rate deviations matches the data as well. The second chapter studies monthly deviations from the law of one price for a group of 63 goods and services in Canada and USA between 1970 and 2000 and relates them to a separate dataset of price-toweight and price-to-volume ratios. Threshold estimates are significantly negatively related to the estimates of the price-to-weight ratios and price-to-volume ratios, respectively. Physical characteristics of goods are important empirical determinants of heterogeneous non-linear behavior of deviations of their prices from parity. The third chapter studies the implications for monetary policy in a general equilibrium model where credit crunches occur due to shifts in the distribution of assets among heterogeneous households.Arts, Faculty of
Vancouver School of Economics
Graduate
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Tseng, Po-Hsin, and 曾伯歆. "Meta-regression Analysis of Purchasing Power Parity Puzzles." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/4zgr26.
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碩士國立中山大學
經濟學研究所
96
Purchasing Power Party (PPP) has long been intensively studied in empirical researches. However, a unanimous conclusion has not been reached. As an alternative to a narrative literature review, this paper conducts a meta-regression analysis of a collection of thirty-three studies, in order to uncover the sources of variation in the empirical findings relating to PPP. We also test the validities of suggestions made by the narrative literature reviewers that the use of more years of data, more countries, more powerful tests, more general model specifications, and an allowance for non-linearity might mitigate the issue of PPP puzzle. We find that the proposition is true and that whether PPP holds in the long run mainly depends on the methodology employed, the regimes the data are sampled from, and the length of the sample of data that is used. When addressing the persistence of the deviations from PPP, it mostly depends on the methodologies adopted.
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Tsai, Hsin-Yu, and 蔡欣諭. "Purchasing Power Parity Tests: Evidence from Asian Countries." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/18959759147842164526.
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碩士國立東華大學
經濟學系
98
This paper examines the purchasing power parity (PPP) of 15 Asian countries. The data of Asian countries are monthly nominal exchange rates and aggregate prices and data from 1973:01 to 2008:09 are also divided into 2 periods in this paper including 1973:01-1997:07 and 1997:08-2008:09. The three periods are going to used to examine whether Asian Financial Crisis will influence PPP or not. According to the criterion of the World Bank, all countries are classified into 2 groups, high income and low income countries. In order to prevent the bias of single base country, we employ a variety of tests on all possible N(N − 1)/2 nominal exchange rates as well as relative prices between pairs of the N countries. Major recently developed panel unit root tests, panel cointegration tests and panel prediction regression are adopted to understand the PPP property in these countries. The non-stationary process hypotheses for most real exchange rate, nominal exchange rates and relative prices in the study can not be rejected. We then found that the there is no evidence to support the strong PPP hypothesis of the post-Bretton Woods system era in Asia. Morever, panel predictive regression also provide strong evidence that relative price can not help predict future nominal exchange rate returns. Furthurmore, the results of panel unit root tests and panel cointegration estimations find that the Harrod-Balassa-Samuelson effect exists and the Asian Financial Crisis indeed affect the PPP theory.
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Cheng, Min-ling, and 鄭敏伶. "An Empirical Investigation to the Purchasing Power Parity." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/75386139234155589230.
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Hill, Robert J. "Purchasing power parity methods of making international comparisons." Thesis, 1994. http://hdl.handle.net/2429/7235.
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The objective of this dissertation is to improve our understanding of the various Purchasing Power Parity (PPP) methods that have been advocated in the literature on
international comparisons. The first of three essays builds on the pioneering work of Van
Yzeren(1987) to rationalize the literature, by constructing a taxonomy of PPP methods.
In particular, the taxonomy reinterprets PPP methods in a graph theoretic context. This
reinterpretation yields many useful insights.
The second essay was motivated by the realization that virtually all PPP methods
have the same underlying graph theoretic structure. This essay develops a new PPP
method which allows the data to choose the underlying structure by using Kruskal’s
“Minimum Spanning Tree” Graph Theory algorithm to chain PPPs across countries
rather than imposing the structure ex ante. The Minimum Spanning Tree (MST) method
may potentially dramatically simplify the procedure for constructing PPPs. The MST
method also has important implications for time series comparisons. The essay concludes
with an empirical comparison using 1990 OECD data between the MST method and the
three most widely used PPP methods.
The third essay focuses specifically on the Average Price class of PPP methods identified in the taxonomy. Average Price methods have the very desirable property of
generating quantity indices that literally add up over different levels of aggregation when
measured in value terms. However, it is widely claimed that Average Price methods
overestimate the output shares of any outlier countries in a comparison. This is the
so-called Gerschenkron effect. In spite of its significant implications, evidence for the
Gerschenkron effect remains largely anecdotal. This essay explains the reasoning behind
the Gerschenkron effect. As part of this explanation it is necessary to give a precise
interpretation to the hitherto vague notion of an “outlier” country. Also frameworks are
developed for empirically verifying and measuring the Gerschenkron effect, which are
then applied to 1990 OECD data, with some surprising results.
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OSBAT, Chiara. "Searching for purchasing power parity : a methodological and empirical analysis of equilibrium real exchange rate determination." Doctoral thesis, 2003. http://hdl.handle.net/1814/5027.
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Defence date: 15 December 2003Examining board: Prof. Anindya Banerjee (EUI) ; Prof. Giampiero Gallo (Università di Firenze) ; Prof. Ronald MacDonald (University of Strathclyde) ; Prof. Grayham Mizon (University of Southampton), supervisor
PDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017
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Chen, Ching-po, and 陳清柏. "Re-examine the Purchasing Power Parity in sPVAR Model." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/40788816196244198103.
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碩士國立中山大學
經濟學研究所
93
The studies of exchange rate theory in international finance are divided into several schools. Purchasing Power Parity (PPP) is one important hypothesis in both the Monetary Exchange Rate theory and the main theory in the Open Macroeconomics Model. Although many models are found upon the existence of PPP, but it still has not been proved empirically. That is why it’s important to examine the existence of PPP. In the past, the statistic analyzing processes are all made directly under the models since all variables have been assumed stationary. However, regressing two non-stationary variables may result in Spurious Regression. The Unit Roots Test and Cointegration Test are developed in order to avoid the problem of spurious regression. Therefore, Unit Roots Test and Cointegration Test should be applied to the variables before estimating during regression analyses. Concerning the power deficiency of Unit Roots Test and Cointegration Test, many researches have adopted the combination time-series and cross-section Panel Data Model in order to improve the power and limitation of small samples. The Panel-Unit Root Test and Panel-Cointegration Test have therefore been developed to avoid Spurious Regression. However, Panel-Unit Root Test and Panel-Cointegration Test are applied with long time-series and large cross-section. Nevertheless, obtaining the data has always been the toughest difficulty during empirical researches, let alone the need for long period and large unit data. These Panel Data Models can only be applied to studies for long period, but not to the short periods. In order to avoid these problems; Binder, Hsiao and Pesaran (2004) have developed the Short Panel Vector Autoregressions (sPVAR) Model, a Panel Data Model developed with short time-series and large cross-section. Therefore, this paper will focus on Purchasing Power Parity under the sPVAR Model with the examination of PPP for the 30 countries since the introduction of Euro (1998 to 2004).
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Shih, Chih-Yueh, and 石志岳. "Re-examining the Purchasing Power Parity of European Union." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/uq46n3.
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碩士國立臺灣大學
國際企業學研究所
106
This paper study examines the Purchasing Power Parity of 12 European Union countries. We divide our research objects into 2 categories, the first group includes 7 non-Euro countries—Denmark, Sweden, Czech Republic, Hungary, Poland , Croatia, and Romania; the second group comprises 5 new members of Eurozone—Slovenia, Slovak Republic, Estonia, Latvia, and Lithuania. Besides, this stuty first incorporates 3 main Price Indixes—Harmonised Index of Consumer Prices (HICP), Producer Price Index(PPI), and GDP deflator to the theory of Purchasing Power Parity. To reach a more complete research process of Real Exchange Rate series, we conduct residual analysis and Bai & Perron structural break test in advance of unit root tests so as to use appropriate unit root tests based on the prior test results. In addtion, this stuty also incorporates DF-GLS unit root test and Zivot & Andrews unit root test considering the structural breaks in the series. For the global big issues which may lead to significant structural changes of Real Exchange Rate series, the result shows that the 2008-2009 Financial Crisis cause a more significant impact than the European Debt Crisis and the Europe Quantitative Easing Programme. Another noteworthy finding is that joining the EU does not make a significant influence on the structure of Real Exchange Rate series. Our empirical results show that there is no consistent conclusions on the Purchasing Power Parity. Lithuania and Slovak Republic in the condition of HICP, Estonia and Romania in the condition of PPI, and Sweden in the condition of GDP Deflator can support the Purchasing Power parity. Consequently, we reach different conclusions on the Purchasing Power Parity when applying different Price Indexes.
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Lin, Shou-Feng, and 林曉芬. "An Empirical Analysis of Purchasing Power Parity Relationships for Taiwan." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/85696293351324456389.
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Chang, Zhi-peng, and 張志鵬. "Purchasing Power Parity-Application of New Simple Panel Cointegration Test." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/d2hmve.
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碩士國立中山大學
經濟學研究所
95
We apply a new simple tests for panel cointegration, provided by Westerlund(2005), to re-examine the purchasing power parity hypothesis for eight Pacific Basin countries. We also report Pedroni(2004) panel cointegration test for comparison. The empirical evidence supports the weak purchasing power parity hypothesis for eight Pacific Basin countries. Furthermore, when we test the condition on the cointegrating vector that required for strong purchasing power parity to hold, we reject the strong purchasing power parity hypothesis for eight Pacific Basin countries.
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Yu-Li, Pai, and 白玉莉. "An Empirical Investigation of Purchasing Power Parity for European EconomicIntegration." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/38050704285993557888.
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碩士大葉大學
管理學院碩士在職專班
99
An Empirical Investigation of Purchasing Power Parity for European Economic Integration Student: Yu-Li Pai Advisor: Prof. Chin-Chia Liang DA-YEH UNIVERSITY ABSTRACT Since the crisis resulted from a Greek sovereign debt issue into a comprehesive financial crisis for the European Union (EU) as a whole. For the purpose, in this paper we examine convergence towards purchasing power parity (PPP) within the European Union (EU). The data are monthly for the period 1999.01~2010.03 after the Maastricht Treaty Meeting that introduction of the euro. The study applies a new nonlinear threshold unit root test to the bilateral real exchange rates (RERs). The mixed evidence found in the earlier studies on the validity of PPP within the euro area added to the accumulating theoretical argument and the evidence that some RERs exhibit nonlinear mean reversion motivate us to use nonlinear unit root tests to further test the validity of PPP within the euro zone and between the euro area and other primary partners. The existence of nonlinearity in RERs, which is one potential source arises from nonlinearities in international goods arbitrage because of factors such as transportation costs and trade barriers, causes a price gap among similar goods traded in spatially separated markets. Another source of nonlinearity in RERs comes from official interventions in the foreign exchange market, which might cause the nominal and RERs to move away from the equilibrium levels. The exchange rates may adjust nonlinearly toward their long-run equilibrium with the speed of adjustment varying with the distance from the equilibrium level. To our best knowledge, the direct application of nonlinear unit root tests to the bilateral RERs of the euro area countries is absent in literature. In our study, we apply the methodology developed by Caner and Hansen (2001) that allows us to simultaneously investigate non-stationarity and nonlinearity of RERs to test the Economic Integration is success or not? Key Words: Purchasing Power Parity; Nonlinear Threshold Unit Test; Real Exchange Rates; Economic Integration