Purchasing power parity and the theory of general relativity: the first tests

Jerry Coakley; Robert P. Flood; Ana M. Fuertes; Mark P. Taylor

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Purchasing power parity and the theory of general relativity: the first tests

机译：购买力平价和广义相对论：第一个检验

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摘要

We implement novel tests of general relative purchasing power parity (PPP), defined as a long-run unit elasticity of the nominal exchange rate with respect to relative national prices, allowing for potentially permanent real exchange rate shocks. The finite-sample properties of the estimators used are analyzed through Monte Carlo analysis, allowing for country heterogeneity, cross-sectional dependence and non-stationary disturbances. Application to panel data sets of industrialized and developing economies reveals that inflation differentials are on average reflected one-for-one in long-run nominal exchange rate depreciation—i.e. that general relative PPP holds.

机译：我们对一般相对购买力平价（PPP）进行了新颖的测试，定义为名义汇率相对于相对国家价格的长期单位弹性，从而允许潜在的永久性实际汇率冲击。通过蒙特卡洛分析法对所用估计量的有限样本性质进行了分析，考虑到了国家的异质性，横截面依赖性和非平稳干扰。对工业化和发展中经济体的面板数据集的应用表明，通货膨胀差异平均是长期名义汇率贬值中的一对一反映，即一般相对的PPP成立。

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来源
《Journal of International Money and Finance》 |2005年第2期|p.293-316|共24页
作者
Jerry Coakley; Robert P. Flood; Ana M. Fuertes; Mark P. Taylor;
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作者单位

University of Essex, UK;

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原文格式 PDF
正文语种 eng
中图分类 f;
关键词
real exchange rate; purchasing power parity; cross-sectional dependence; Monte Carlo;

机译：实际汇率;购买力平价;横断面依赖;蒙特卡洛;

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7. Purchasing power parity and the theory of general relativity: the first tests [O] . Jerry Coakley, Robert P. Flood, Ana M. Fuertes, 2005

机译：购买力平价与广义相对论：第一个检验

Purchasing power parity and the theory of general relativity: the first tests

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