Purchasing power parity: A nonlinear multivariate perspective

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Standard

Purchasing power parity : A nonlinear multivariate perspective. / Bec, Frédérique; Salem, Mélika Ben; Rahbek, Anders.

I: Economics Bulletin, Bind 6, Nr. 39, 17.09.2008.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Bec, F, Salem, MB & Rahbek, A 2008, 'Purchasing power parity: A nonlinear multivariate perspective', Economics Bulletin, bind 6, nr. 39.

APA

Bec, F., Salem, M. B., & Rahbek, A. (2008). Purchasing power parity: A nonlinear multivariate perspective. Economics Bulletin, 6(39).

Vancouver

Bec F, Salem MB, Rahbek A. Purchasing power parity: A nonlinear multivariate perspective. Economics Bulletin. 2008 sep. 17;6(39).

Author

Bec, Frédérique ; Salem, Mélika Ben ; Rahbek, Anders. / Purchasing power parity : A nonlinear multivariate perspective. I: Economics Bulletin. 2008 ; Bind 6, Nr. 39.

Bibtex

@article{f00921f9e4994ea18b2b79b7ed4d6414,
title = "Purchasing power parity: A nonlinear multivariate perspective",
abstract = "The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a multivariate threshold vector equilibrium correction model, whose dynamics is consistent with the PPP in presence of trading costs. European data support the relevance of this model for Belgium, France and Italy, but this is not the case for the G7 data against the US Dollar. Furthermore, the adjustment in European countries seems to have been achieved only through nominal exchange rate changes.",
author = "Fr{\'e}d{\'e}rique Bec and Salem, {M{\'e}lika Ben} and Anders Rahbek",
year = "2008",
month = sep,
day = "17",
language = "English",
volume = "6",
journal = "Economics Bulletin",
issn = "1545-2921",
publisher = "Economics Bulletin",
number = "39",

}

RIS

TY - JOUR

T1 - Purchasing power parity

T2 - A nonlinear multivariate perspective

AU - Bec, Frédérique

AU - Salem, Mélika Ben

AU - Rahbek, Anders

PY - 2008/9/17

Y1 - 2008/9/17

N2 - The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a multivariate threshold vector equilibrium correction model, whose dynamics is consistent with the PPP in presence of trading costs. European data support the relevance of this model for Belgium, France and Italy, but this is not the case for the G7 data against the US Dollar. Furthermore, the adjustment in European countries seems to have been achieved only through nominal exchange rate changes.

AB - The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a multivariate threshold vector equilibrium correction model, whose dynamics is consistent with the PPP in presence of trading costs. European data support the relevance of this model for Belgium, France and Italy, but this is not the case for the G7 data against the US Dollar. Furthermore, the adjustment in European countries seems to have been achieved only through nominal exchange rate changes.

UR - http://www.scopus.com/inward/record.url?scp=55349098469&partnerID=8YFLogxK

M3 - Journal article

AN - SCOPUS:55349098469

VL - 6

JO - Economics Bulletin

JF - Economics Bulletin

SN - 1545-2921

IS - 39

ER -

ID: 258714730