| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4495
|
| DP4495 The Purchasing Power Parity Debate |
| Mark Taylor; Alan M. Taylor
|
| 发表日期 | 2004-07-23
|
| 出版年 | 2004
|
| 语种 | 英语
|
| 摘要 | This Paper analyses purchasing power parity (PPP) for the euro area. We study the impact of the introduction of the euro in 1999 on the behaviour of real exchange rates. We test the PPP hypothesis for a panel of real exchange rates within the euro area over the period 1973-2003. Our methodology exploits the cross-sectional dependence across real exchange rates and allows for heterogeneity in the rates of mean reversion. We present evidence in favour of PPP for the full panel of real exchange rates, but we show that accounting for cross-country differences within the euro area is essential. The unit root hypothesis can be rejected for some real exchange rates, but evidence for PPP is weak for others. We also investigate PPP between the ?synthetic? euro against several other major currencies over the period 1979-2003. We find support for the PPP hypothesis for the full panel of real exchange rates. When the restriction of a common mean reversion coefficient is relaxed, we reject the unit root hypothesis for the euro-Swiss franc rate only. We conclude that the process of economic integration in Europe has accelerated convergence toward PPP within the euro area. |
| 主题 | International Macroeconomics
|
| 关键词 | European integration
Real exchange rates
Purchasing power parity
Heterogenous sur
|
| URL | https://cepr.org/publications/dp4495
|
| 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/533438
|
推荐引用方式
GB/T 7714 |
Mark Taylor,Alan M. Taylor. DP4495 The Purchasing Power Parity Debate. 2004.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
