| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP635 |
| DP635 Covered Purchasing Power Parity, Ex-Ante PPP and Risk Aversion | |
| Michael Moore | |
| 发表日期 | 1992-04-30 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | The standard expectations augmented theory of ex-ante purchasing power parity (PPP), which was first developed by Roll, assumes that agents are risk neutral. A Covered Purchasing Power Condition is developed which holds for the general case of risk aversion. A risk-augmented form of ex-ante PPP is then derived using a Lucas-style asset pricing framework. From this I conclude that real exchange rates may not possess the martingale property though the analysis clarifies the circumstances under which this property does hold.A consumption-based orthogonality condition is tested for, using 1970s and 1980s data for the seven main industrial countries. An interesting by-product of the study is that it provides us with a useful example of unit root testing on seasonal data. Overall the results give rise to cautious optimism. |
| 主题 | International Macroeconomics |
| 关键词 | Arbitrage Purchasing power parity Risk aversion |
| URL | https://cepr.org/publications/dp635 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529803 |
| 推荐引用方式 GB/T 7714 | Michael Moore. DP635 Covered Purchasing Power Parity, Ex-Ante PPP and Risk Aversion. 1992. |
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