THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES

The present study is aimed to examine the validity of the purchasing power parity hypothesis for 28 OECD countries over the 1960q1-2021q4 period. To reach this goal, we apply three methods to evaluate whether the real exchange rates are stationary: the traditional unit root tests in time series, the...

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Detalhes bibliográficos
Autores: Boundi-Chraki, Fahd, Mateo Tomé, Juan Pablo
Formato: artículo
Estado:Versión publicada
Fecha de publicación:2022
País:México
Recursos:UNIVERSIDAD NACIONAL AUTÓNOMA DE MÉXICO
Repositorio:Investigación Económica
Idioma:inglés
OAI Identifier:oai:ojs.pkp.sfu.ca:article/82892
Acesso em linha:https://www.revistas.unam.mx/index.php/rie/article/view/82892
Access Level:acceso abierto
Palavra-chave:purchasing power parity
unit roots
time series
panel data
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spelling THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIESTHE PURCHASING POWER PARITY HYPOTHESIS TESTED ONCE AGAIN. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIESBoundi-Chraki, FahdMateo Tomé, Juan Pablopurchasing power parityunit rootstime seriespanel dataThe present study is aimed to examine the validity of the purchasing power parity hypothesis for 28 OECD countries over the 1960q1-2021q4 period. To reach this goal, we apply three methods to evaluate whether the real exchange rates are stationary: the traditional unit root tests in time series, the panel unit root tests, and nonlinear unit root tests based on OLS and GLS detrending. The findings suggest that the purchasing power parity hypothesis does not hold even if the assessment considers nonlinear adjustment.ABSTRACT The present study is aimed at examining the validity of the purchasing power parity hypothesis for 28 OECD countries over the period 1960Q1-2021Q4. To reach this goal, we apply three methods evaluating whether the real exchange rates are stationary: The traditional unit root tests in time series, the panel unit root tests, and nonlinear unit root tests based on OLS and GLS detrending. The findings suggest that the purchasing power parity hypothesis does not hold even if the assessment considers nonlinear adjustment.   LA HIPÓTESIS DE LA PARIDAD DEL PODER ADQUISITIVO EVALUADA —UNA VEZ MÁS—. NUEVA EVIDENCIA EMPÍRICA PARA 28 PAÍSES DE LA OCDE RESUMEN El presente estudio tiene como objetivo examinar la validez de la hipótesis de la paridad del poder adquisitivo para 28 países de la OCDE en el periodo que va de 1960Q1 a 2021Q4. A tal fin, aplicamos tres métodos para evaluar si los tipos de cambio reales son estacionarios: las pruebas de raíces unitarias convencionales para series temporales, las pruebas de raíces unitarias para datos en panel y las pruebas de raíces unitarias no lineales con base en la eliminación de la tendencia a partir de los estimadores de MCO y MCG. De acuerdo con la evidencia obtenida, la hipótesis de la paridad del poder adquisitivo parece no sostenerse aun si se incluye el ajuste no lineal en el análisis.School of Economics2022-09-29info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículo de investigación arbitrado por paresapplication/pdfhttps://www.revistas.unam.mx/index.php/rie/article/view/8289210.22201/fe.01851667p.2022.322.82892Investigación Económica; Vol. 81 No. 322 (2022); 3-26Investigación Económica; Vol. 81 Núm. 322 (2022); 3-260374-55110185-166710.22201/fe.01851667p.2022.322reponame:Investigación Económicainstname:UNIVERSIDAD NACIONAL AUTÓNOMA DE MÉXICOinstacron:UNAMenghttps://www.revistas.unam.mx/index.php/rie/article/view/82892/73228Derechos de autor 2022 Investigación Económicahttps://creativecommons.org/licenses/by-nc-nd/4.0info:eu-repo/semantics/openAccessoai:ojs.pkp.sfu.ca:article/828922024-08-16T17:50:34Z
dc.title.none.fl_str_mv THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES
THE PURCHASING POWER PARITY HYPOTHESIS TESTED ONCE AGAIN. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES
title THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES
spellingShingle THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES
Boundi-Chraki, Fahd
purchasing power parity
unit roots
time series
panel data
title_short THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES
title_full THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES
title_fullStr THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES
title_full_unstemmed THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES
title_sort THE PURCHASING POWER PARITY HYPOTHESIS TESTED -ONCE AGAIN-. NEW EMPIRICAL EVIDENCE FOR 28 OECD COUNTRIES
dc.creator.none.fl_str_mv Boundi-Chraki, Fahd
Mateo Tomé, Juan Pablo
author Boundi-Chraki, Fahd
author_facet Boundi-Chraki, Fahd
Mateo Tomé, Juan Pablo
author_role author
author2 Mateo Tomé, Juan Pablo
author2_role author
dc.subject.none.fl_str_mv purchasing power parity
unit roots
time series
panel data
topic purchasing power parity
unit roots
time series
panel data
description The present study is aimed to examine the validity of the purchasing power parity hypothesis for 28 OECD countries over the 1960q1-2021q4 period. To reach this goal, we apply three methods to evaluate whether the real exchange rates are stationary: the traditional unit root tests in time series, the panel unit root tests, and nonlinear unit root tests based on OLS and GLS detrending. The findings suggest that the purchasing power parity hypothesis does not hold even if the assessment considers nonlinear adjustment.
publishDate 2022
dc.date.none.fl_str_mv 2022-09-29
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Artículo de investigación arbitrado por pares
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://www.revistas.unam.mx/index.php/rie/article/view/82892
10.22201/fe.01851667p.2022.322.82892
url https://www.revistas.unam.mx/index.php/rie/article/view/82892
identifier_str_mv 10.22201/fe.01851667p.2022.322.82892
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://www.revistas.unam.mx/index.php/rie/article/view/82892/73228
dc.rights.none.fl_str_mv Derechos de autor 2022 Investigación Económica
https://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Derechos de autor 2022 Investigación Económica
https://creativecommons.org/licenses/by-nc-nd/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv School of Economics
publisher.none.fl_str_mv School of Economics
dc.source.none.fl_str_mv Investigación Económica; Vol. 81 No. 322 (2022); 3-26
Investigación Económica; Vol. 81 Núm. 322 (2022); 3-26
0374-5511
0185-1667
10.22201/fe.01851667p.2022.322
reponame:Investigación Económica
instname:UNIVERSIDAD NACIONAL AUTÓNOMA DE MÉXICO
instacron:UNAM
instname_str UNIVERSIDAD NACIONAL AUTÓNOMA DE MÉXICO
instacron_str UNAM
institution UNAM
reponame_str Investigación Económica
collection Investigación Económica
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812429

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