| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1774 |
| DP1774 Intergenerational Risk Sharing, Stability and Optimality of Alternative Pension Systems | |
| Assar Lindbeck; John Hassler | |
| 发表日期 | 1997-12-19 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | Tests for long-run purchasing power parity (PPP) may lack power with sample periods corresponding to the span of the recent float, leading researchers to use more powerful multivariate unit root tests. We point out a potential problem with such tests: joint non-stationarity of real exchange rates may be rejected when only one of them is stationary. We suggest another test where the null hypothesis is violated only when all of the processes are stationary. This test is easily constructed and has a known limiting distribution. We investigate the finite-sample empirical performance of both tests using Monte Carlo techniques. Applying the tests to four major real exchange rates over the recent floating rate period, we find strong evidence of long-run PPP. |
| 主题 | International Macroeconomics |
| 关键词 | Monte carlo simulation Multivariate unit root test Purchasing power parity Real exchange rate Test power |
| URL | https://cepr.org/publications/dp1774 |
| 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/530915 |
| 推荐引用方式 GB/T 7714 | Assar Lindbeck,John Hassler. DP1774 Intergenerational Risk Sharing, Stability and Optimality of Alternative Pension Systems. 1997. |
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