Suchergebnisse

Recommended readings (Machine generated): Gustav Cassel (1916), 'The Present Situation of The Foreign Exchanges', Economic Journal, XXVI (101), March, 62-5 -- Gustav Cassel (1920), 'Further Observations on the World's Monetary Problem', Economic Journal, XXX (117), March, 39-45 -- Yihui Lan (2002), 'The Explosion of Purchasing Power Parity', in Meher Manzur (ed) (ed.), Exchange Rates, Interest Rates and Commodity Prices, Chapter 2, Cheltenham, UK: Edward Elgar, 9-38 -- Bela Balassa (1964), 'The Purchasing-Power Parity Doctrine: A Reappraisal', Journal of Political Economy, 72, 584-96 -- Paul A. Samuelson (1964), 'Theoretical Notes on Trade Problems', Review of Economics and Statistics, 46, 145-54 -- Peter Isard (1977), 'How Far Can We Push the "Law of One Price"?', American Economic Review, 67 (5), December, 942-8 -- Jacob A. Frenkel (1978), 'Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s', Journal of International Economics, 8 (2), May, 169-91 -- Michael Adler and Bruce Lehmann (1983), 'Deviations from Purchasing Power Parity in the Long Run', Journal of Finance, XXXVIII (5), December, 1471-87 -- Dean Corbae and Sam Ouliaris (1988), 'Cointegration and Tests of Purchasing Power Parity', Review of Economics and Statistics, 70, 508-11 -- Craig S. Hakkio (1984), 'A Re-examination of Purchasing Power Parity: A Multi-Country and Multi-Period Study', Journal of International Economics, 17, 265-77 -- Niso Abuaf and Philippe Jorion (1990), 'Purchasing Power Parity in the Long Run', Journal of Finance, XLV (1), March, 157-74 -- Meher Manzur (1990), 'An International Comparison of Prices and Exchange Rates: A New Test of Purchasing Power Parity', Journal of International Money and Finance, 9 (1), March, 75-91 -- James R. Lothian and Mark P. Taylor (1996), 'Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries', Journal of Political Economy, 104 (3), 488-509 -- Jeffrey A. Frankel and Andrew K. Rose (1996), 'A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries', Journal of International Economics, 40 (1-2), 209-24 -- Panos Michael, A. Robert Nobay and David A. Peel (1997), 'Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation', Journal of Political Economy, 105 (4), 862-79 -- Mark P. Taylor and Lucio Sarno (1998), 'The Behavior of Real Exchange Rates during the Post-Bretton Woods Period', Journal of International Economics, 46, 281-312 -- Charles Engel (2000), 'Long-Run PPP May Not Hold After All', Journal of International Economics, 57, 243-73 -- Li Lian Ong (1997), 'Burgernomics: The Economics of the Big Mac Standard', Journal of International Money and Finance, 16 (6), 865-78 -- Kenneth Rogoff (1996), 'The Purchasing Power Parity Puzzle', Journal of Economic Literature, XXXIV, June, 647-68

WOS: 000367381100004 ; This article examines the validity of purchasing power parity hypothesis for Azerbaijan. Econometric investigation uses linear and nonlinear unit root tests and are based on the time series characteristics of the real exchange rate of Azerbaijan's manat versus the national currencies of its major trading partners; USA, European Union, Russia and Turkey. Findings support the validity of the purchasing power parity hypothesis between Azerbaijan and its market economy dominated trading partners, but not support between Azerbaijan and its former centrally controlled partner.

PurposeThe purpose of this paper is to revisit the evidence for purchasing power parity (PPP) using long, low‐frequency data (over 100 years) for 23 organization for economic co‐operation and development (OECD) countries against each of four different base currencies – the Deutsch mark, the Japanese yen, the British pound, and the US dollar.Design/methodology/approachThe paper uses standard unit root tests and level and trend stationarity tests, and also investigates the robustness of the results to alternative testing methodologies from statistical physics, such as Lo's modified rescaled range statistic and the Hurst exponent.FindingsThe results indicate that the theory of PPP does not hold.Originality/valueMotivated by the mixed results from previous research on the validity of the theory of PPP, the robustness of standard unit root and stationarity tests to alternative testing methodologies are investigated. In particular, the paper uses two tests from statistical physics – Lo's modified R/S statistic and the Hurst exponent.

The paper shows that market power may be an additional cause for the failure of PPP without making the usual assumption of segmentation of national markets. We construct an international multi-currency economy based on the strategic market game model with multiple trading posts, where, besides sellers, buyers have market power as well. Although arbitrage is costless, PPP may fail and exchange rates may be inconsistent at equilibrium due to agents' price effects in currency and commodity markets. We derive conditions on individual net trades and elasticities that result in PPP violation and exchange rate inconsistencies. A numerical example shows that when consistency fails, the ordering of prices is not well-defined. When the number of agents in the economy increases, PPP deviations and inconsistencies tend to zero, thus providing a strategic foundation of PPP theory. Furthermore, the size of PPP deviations is positively related to the number of currencies traded.