PPP假说重访:使用多元长记忆模型的证据

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2013-04-01 DOI:10.2139/ssrn.2248676

G. Caporale, L. Gil‐Alana, Yuliya Lovcha

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引用次数: 3

摘要

本文检验了购买力平价假说，分析了四种主要货币(即加元、欧元、日元和英镑)相对于美元的实际汇率行为。一种基于多元背景下分数积分的创新方法应用于1970年至2011年的年度数据。人们发现加元、英镑和欧元具有长记忆的特征，但在这四种情况下，结果都与购买力平价的相对版本一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model

This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-a-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, the British pound and the euro, but in all four cases the results are consistent with the relative version of PPP.

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Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

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