Purchasing power parity principle in Latin American Countries

In this paper we test the purchasing power parity principle (PPP) with a sample of 17 Latin American countries and data from 1960 to 2016. For this purpose, we used two relatively new panel tests proposed by Pesaran (2007) and Hadri and Rao (2008).The first test allows the PPP to be tested on all po...

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Autores: Domingo Rodríguez-Benavides, José Antonio Climent-Hernández, Luis Fernando Hoyos-Reyes
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2018
País:México
Institución:Universidad Autónoma Metropolitana
Repositorio:Redalyc-UAM
OAI Identifier:oai:redalyc.org:423756176008
Acceso en línea:https://www.redalyc.org/articulo.oa?id=423756176008
https://www.redalyc.org/journal/4237/423756176008/
https://www.redalyc.org/journal/4237/423756176008/html/
https://www.redalyc.org/journal/4237/423756176008/423756176008.epub
https://www.redalyc.org/journal/4237/423756176008/movil
Access Level:acceso abierto
Palabra clave:Economía y Finanzas
Panel stationary test
Purchasing power parity
Heterogeneous dynamic panels
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spelling Purchasing power parity principle in Latin American CountriesDomingo Rodríguez-BenavidesJosé Antonio Climent-HernándezLuis Fernando Hoyos-ReyesEconomía y FinanzasPanel stationary testPurchasing power parityHeterogeneous dynamic panelsIn this paper we test the purchasing power parity principle (PPP) with a sample of 17 Latin American countries and data from 1960 to 2016. For this purpose, we used two relatively new panel tests proposed by Pesaran (2007) and Hadri and Rao (2008).The first test allows the PPP to be tested on all possible pairs of real exchange rates of the currencies belonging to the countries studied herein. The second test allows us to identify the type of PPP hypothesis that characterizes each country’s bilateral real exchange rate vis-à-vis the U.S. dollar. This latter test takes into account that the series in the panel may contain a breakpoint or structural break and show cross-section dependency, that residuals are serially correlated, and that structural breaks can have diverse forms for each bilateral real exchange rate. Results from the Pesaran (2007) test suggest that the PPP is fulfilled for all possible pairs of real exchange rates studied here. In addition, the results of the Hadri and Rao (2008) test validate distinct versions of the PPP for countries in the region.Instituto Mexicano de Ejecutivos de Finanzas A.C.2018info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdf1665-5346https://www.redalyc.org/articulo.oa?id=423756176008https://www.redalyc.org/journal/4237/423756176008/https://www.redalyc.org/journal/4237/423756176008/html/https://www.redalyc.org/journal/4237/423756176008/423756176008.epubhttps://www.redalyc.org/journal/4237/423756176008/movil10.21919/remef.v13i3.306Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.3 Vol.13reponame:Redalyc-UAMinstname:Universidad Autónoma Metropolitanainstacron:UAMenhttp://www.redalyc.org/revista.oa?id=4237Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Financeinfo:eu-repo/semantics/openAccessoai:redalyc.org:4237561760082025-03-05T19:11:18Z
dc.title.none.fl_str_mv Purchasing power parity principle in Latin American Countries
title Purchasing power parity principle in Latin American Countries
spellingShingle Purchasing power parity principle in Latin American Countries
Domingo Rodríguez-Benavides
Economía y Finanzas
Panel stationary test
Purchasing power parity
Heterogeneous dynamic panels
title_short Purchasing power parity principle in Latin American Countries
title_full Purchasing power parity principle in Latin American Countries
title_fullStr Purchasing power parity principle in Latin American Countries
title_full_unstemmed Purchasing power parity principle in Latin American Countries
title_sort Purchasing power parity principle in Latin American Countries
dc.creator.none.fl_str_mv Domingo Rodríguez-Benavides
José Antonio Climent-Hernández
Luis Fernando Hoyos-Reyes
author Domingo Rodríguez-Benavides
author_facet Domingo Rodríguez-Benavides
José Antonio Climent-Hernández
Luis Fernando Hoyos-Reyes
author_role author
author2 José Antonio Climent-Hernández
Luis Fernando Hoyos-Reyes
author2_role author
author
dc.subject.none.fl_str_mv Economía y Finanzas
Panel stationary test
Purchasing power parity
Heterogeneous dynamic panels
topic Economía y Finanzas
Panel stationary test
Purchasing power parity
Heterogeneous dynamic panels
description In this paper we test the purchasing power parity principle (PPP) with a sample of 17 Latin American countries and data from 1960 to 2016. For this purpose, we used two relatively new panel tests proposed by Pesaran (2007) and Hadri and Rao (2008).The first test allows the PPP to be tested on all possible pairs of real exchange rates of the currencies belonging to the countries studied herein. The second test allows us to identify the type of PPP hypothesis that characterizes each country’s bilateral real exchange rate vis-à-vis the U.S. dollar. This latter test takes into account that the series in the panel may contain a breakpoint or structural break and show cross-section dependency, that residuals are serially correlated, and that structural breaks can have diverse forms for each bilateral real exchange rate. Results from the Pesaran (2007) test suggest that the PPP is fulfilled for all possible pairs of real exchange rates studied here. In addition, the results of the Hadri and Rao (2008) test validate distinct versions of the PPP for countries in the region.
publishDate 2018
dc.date.none.fl_str_mv 2018
dc.type.none.fl_str_mv info:eu-repo/semantics/publishedVersion
info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv 1665-5346
https://www.redalyc.org/articulo.oa?id=423756176008
https://www.redalyc.org/journal/4237/423756176008/
https://www.redalyc.org/journal/4237/423756176008/html/
https://www.redalyc.org/journal/4237/423756176008/423756176008.epub
https://www.redalyc.org/journal/4237/423756176008/movil
10.21919/remef.v13i3.306
identifier_str_mv 1665-5346
10.21919/remef.v13i3.306
url https://www.redalyc.org/articulo.oa?id=423756176008
https://www.redalyc.org/journal/4237/423756176008/
https://www.redalyc.org/journal/4237/423756176008/html/
https://www.redalyc.org/journal/4237/423756176008/423756176008.epub
https://www.redalyc.org/journal/4237/423756176008/movil
dc.language.none.fl_str_mv en
language_invalid_str_mv en
dc.relation.none.fl_str_mv http://www.redalyc.org/revista.oa?id=4237
dc.rights.none.fl_str_mv Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance
eu_rights_str_mv openAccess
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dc.publisher.none.fl_str_mv Instituto Mexicano de Ejecutivos de Finanzas A.C.
publisher.none.fl_str_mv Instituto Mexicano de Ejecutivos de Finanzas A.C.
dc.source.none.fl_str_mv Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.3 Vol.13
reponame:Redalyc-UAM
instname:Universidad Autónoma Metropolitana
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