National price levels, purchasing power parity, and cointegration: a test of four high inflation economies

National price levels, purchasing power parity, and cointegration: a test of four high inflation economies

The time series properties of exchange rates and wholesale prices from four high inflation countries show some evidence in support of purchasing power parity. Tests for stationarity of real exchange rates and cointegration among price and exchange rate variables are presented for Argentina, Brazil,...

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Veröffentlicht in:Journal of international money and finance 1989-12, Vol.8 (4), p.533-545
Hauptverfasser: McNown, Robert, S. Wallace, Myles
Format: Artikel
Sprache:eng
Schlagworte:
Economic models
Error correction & detection
Foreign exchange rates
Manycountries
Price level
Price levels
Purchasing power
Purchasing power parity
Regression analysis
Studies
Variables
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Zusammenfassung:The time series properties of exchange rates and wholesale prices from four high inflation countries show some evidence in support of purchasing power parity. Tests for stationarity of real exchange rates and cointegration among price and exchange rate variables are presented for Argentina, Brazil, Chile, and Israel during the 1970s and 1980s. Error correction models describe the mechanism of adjustment to long-run equilibrium.
ISSN:0261-5606
1873-0639
DOI:10.1016/0261-5606(89)90035-1