An empirical examination of purchasing power parity: Argentina 1810–2016
This paper examines the purchasing power parity behaviour for Argentina during the 1810–2016 period. To that end, we use cointegration analysis and error correction models allowing for structural breaks. We find a long‐run relationship between the AR$/USD exchange rate and the price differential bet...
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| Veröffentlicht in: | International journal of finance and economics 2021-04, Vol.26 (2), p.2064-2073 |
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| container_end_page | 2073 |
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| container_issue | 2 |
| container_start_page | 2064 |
| container_title | International journal of finance and economics |
| container_volume | 26 |
| creator | Jacobo, Alejandro D. Sosvilla‐Rivero, Simón |
| description | This paper examines the purchasing power parity behaviour for Argentina during the 1810–2016 period. To that end, we use cointegration analysis and error correction models allowing for structural breaks. We find a long‐run relationship between the AR$/USD exchange rate and the price differential between Argentina and the USA. In particular, we offer empirical evidence in favour of a cointegrating equation with two structural breaks. We also find evidence that the data could identify an appropriate error correction model for the short‐run dynamics, hence providing further support for the cointegrating equation as a long‐run relationship. |
| doi_str_mv | 10.1002/ijfe.1893 |
| format | Article |
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| ispartof | International journal of finance and economics, 2021-04, Vol.26 (2), p.2064-2073 |
| issn | 1076-9307 1099-1158 |
| language | eng |
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| source | Wiley Online Library Journals Frontfile Complete; Business Source Complete |
| subjects | Argentina Error correction & detection error correction models multiple structural breaks Purchasing power parity |
| title | An empirical examination of purchasing power parity: Argentina 1810–2016 |
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