OpenAIRE is about to release its new face with lots of new content and services.
During September, you may notice downtime in services, while some functionalities (e.g. user registration, login, validation, claiming) will be temporarily disabled.
We apologize for the inconvenience, please stay tuned!
For further information please contact helpdesk[at]

fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, Yuliya (2013)
Publisher: Deutsches Institut für Wirtschaftsforschung (DIW) Berlin
Languages: English
Types: Article
Subjects: PPP, C22, dewey330, F31, multivariate fractional integration, long memory, PPP, long memory, multivariate fractional integration
jel: jel:F31, jel:C22
ddc: ddc:330
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-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.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • Adelman, I. (1965), “Long cycles: Fact or artifacts”, American Economic Review 55, 444-463.
    • Baillie, R.T., (1996), “Long memory processes and fractional integration in econometrics”, Journal of Econometrics 73, 5-59.
    • Boes, D.C., Davis, R.A. and S.N. Gupta (1989), “Parameter estimation in low order fractionally differenced ARMA processes”, Stochastic Hydrology and Hydraulics 3, 97-110.
    • Caporale, G.M. and M. Cerrato (2006), “Panel data tests of PPP: a critical overview”, Applied Financial Economics, 16, 1-2, 73-91.
    • Diebold, F.X. and G.D. Rudebusch (1989), “Long memory and persistence in aggregate output”, Journal of Monetary Economics 24, 189-209.
    • Froot, K.A. and K. Rogoff (1995), “Perspectives on PPP and long-run real exchange rates”, in G. Grossman and K. Rogoff (eds.), The Handbook of International Economics, vol. 3, Elsevier Press, Amsterdam.
    • Gil-Alana, L.A. and Robinson, P.M. (1997), “Testing of unit roots and other nonstationary hypotheses in macroeconomic time series”, Journal of Econometrics 80, 241-268.
    • Granger, C.W.J (1966), “The Typical Spectral Shape of an Economic Variable”, Econometrica, 34, 150-161.
  • No related research data.
  • No similar publications.

Share - Bookmark

Cite this article

Cookies make it easier for us to provide you with our services. With the usage of our services you permit us to use cookies.
More information Ok