Title: Relative ppp in the medium run
Authors: Apte, P ×
Kane, M
Sercu, Piet #
Issue Date: Oct-1994
Publisher: Butterworth-heinemann ltd
Series Title: Journal of international money and finance vol:13 issue:5 pages:602-622
Abstract: This paper tests the relative purchasing power parity (RPPP) hypothesis on month-by-month, post-1972 data, and still obtains regression coefficients that are close to unity. Two methodological aspects have contributed to this encouraging result. Firstly, although all RPPP tests are vis-a-vis the USA, we nevertheless exploit our a priori knowledge about the implications of these USD-based equations on PPP relations between cross-rates. So, in a sense, we use all information implicit in all cross-rates too. Secondly, we selected an instrumental variable that is specifically designed to cope with lead-and-lag effects in non-traded vs traded-goods inflation. Our estimates indicate that most lead-and-lag effects seem to occur within a six-month window.
ISSN: 0261-5606
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center International Finance, Leuven
× corresponding author
# (joint) last author

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