Anmerkungen:
In: Applied Economics, Vol. 43, pp. 185-196, 2011
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2007 erstellt
Beschreibung:
We test long-run PPP within a general model of cointegration of linear and nonlinear form. Nonlinear cointegration is tested with rank tests of Breitung (2001). We determine first the order of integration of each variable, using monthly data from the post-Bretton Woods era for G-10 countries. In many cases prices are I(2), whereas all exchange rates are I(1). However, there are several countries that have a price level that linearly cointegrates with the US price level so that this combination is I(1). Overall, we find some, though limited, evidence for nonlinear and also linear cointegration in the PPP model