Purchasing power parity in G-7 countries: Further evidence based on ADL test for threshold cointegration

This study applies a newly-developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010) to test the validity of long-run purchasing power parity (PPP) for G-7 countries over the January 1994 to April 2010. The empirical results indicate that PPP only holds true for Canada and France two countries. Our results have important policy implications for the G-7 countries under study.

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Year of publication:	2011
Authors:	Chang, Tsangyao ; Lee, Chia-hao ; Chou, Pei-I
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 31.2011, 2, p. 1172-1182
Publisher:	AccessEcon
Subject:	Purchasing Power Parity \| G-7 Countries \| ADL Test \| Threshold Cointegration

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	F3 - International Finance ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009643084