首页    期刊浏览 2024年11月28日 星期四
登录注册

文章基本信息

  • 标题:Is the Relationship Between Prices and Exchange Rates Homogeneous?
  • 本地全文:下载
  • 作者:Stephen Hall ; George Hondroyiannis ; Amangeldi Kenjegaliev
  • 期刊名称:Discussion Papers / University of Leicester, Department of Economics
  • 出版年度:2013
  • 出版社:Leicester
  • 摘要:

    Empirical tests of purchasing power parity (PPP) are implicitly based on the conditions of symmetry and proportionality of the price coefficients. We investigate a separate condition, which we term homogeneity. Specifically, while there may be factors that drive a wedge between prices and exchange rates, when these factors are held constant we would expect a change in exchange rates to be associated with a proportional, or homogeneous, change in prices. To test for the existence of homogeneity in prices, we conduct two experiments. First, we apply a time-varying-coefficient procedure to nine euro-area countries as well as the euro area as a whole during the (monthly) sample period, 1999: M1 to 2011:M3. Second we apply the same procedure to the same group of countries, plus Canada, Japan and Mexico, over the longer period, 1957:M4 to 2011:M3. We find that averages of the price coefficients, corrected for specification biases, are uniformly homogeneous in the long run, providing strong support for PPP.

国家哲学社会科学文献中心版权所有