Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach

This study revisits purchasing power parity (PPP) for the G6 countries (i.e., Canada, Italy, Japan, France, Germany, the UK) using smooth time-varying cointegrating approach, proposed by Park and Hahn (Econom Theory 15:664–703, 1999 ). Using monthly data over the 1971M1–2013M12 period, our empirical...

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Bibliographic Details
Published in:Empirica 2018-02, Vol.45 (1), p.187-196
Main Authors: Wu, Jingfei, Bahmani-Oskooee, Mohsen, Chang, Tsangyao
Format: Article
Language:English
Subjects:
Cointegration analysis
Econometrics
Economic models
Economics
Economics and Finance
European Integration
Industrial Organization
International Economics
Macroeconomics/Monetary Economics//Financial Economics
Original Paper
Public Finance
Purchasing power parity
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Summary:This study revisits purchasing power parity (PPP) for the G6 countries (i.e., Canada, Italy, Japan, France, Germany, the UK) using smooth time-varying cointegrating approach, proposed by Park and Hahn (Econom Theory 15:664–703, 1999 ). Using monthly data over the 1971M1–2013M12 period, our empirical results indicate that PPP holds in two out of six countries (i.e., France and Germany).
ISSN:0340-8744
1573-6911
DOI:10.1007/s10663-016-9355-1