A testing of the purchasing power parity hypothesis using a vector autoregressive model

2004 ◽  
Vol 29 (3) ◽  
Author(s):  
Tatsuyoshi Miyakoshi
Keyword(s):  
Purchasing Power Parity ◽  
Autoregressive Model ◽  
Purchasing Power ◽  
Vector Autoregressive Model ◽  
Power Parity ◽  
Vector Autoregressive

Purchasing Power Parity (France and US)

2021 ◽  
Vol 8 (4) ◽  
pp. 514-528
Author(s):  
Ebtihal N Almutairi ◽  
Hind N Almutairi
Keyword(s):  
Purchasing Power Parity ◽  
Real Exchange Rates ◽  
Purchasing Power ◽  
Vector Autoregressive Model ◽  
Power Parity ◽  
Vector Autoregressive ◽  
Economic Concept ◽  
Price Indexes ◽  
Augmented Dickey Fuller ◽  
Short Run

Purchasing power parity is an important economic concept that presents a useful way of analyzing various currencies by comparing a similar basket of goods. Essentially, the concept of purchasing power parity (PPP) implies that the purchasing power parity will be same for two countries if their currencies fetch the same basket of goods, thereby allowing a measure to assess and compare different currencies. In order to test this concept and presence of purchasing power parity between countries, this essay aims to extend a statistical exercise for assessing the PPP for France and USA for both the long and short run. The data used is a monthly time series for the price indexes for France, US, and the nominal and real exchange rates. Keywords: Purchasing power parity; economic; Augmented Dickey Fuller; Fuller test; Vector autoregressive model

Purchasing-Power Parity Theory and Economic Reform in Yugoslavia

1974 ◽  
Vol 82 (4) ◽  
pp. 809-816 ◽  
Author(s):  
Ryan C. Amacher ◽  
John S. Hodgson
Keyword(s):  
Economic Reform ◽  
Purchasing Power Parity ◽  
Purchasing Power ◽  
Power Parity

scholarly journals A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 883
Author(s):  
Yaqing Liu ◽  
Hongbing Ouyang ◽  
Xiaolu Wei
Keyword(s):  
Autoregressive Model ◽  
Common Factors ◽  
Interactive Effects ◽  
Vector Autoregressive Model ◽  
Finite Sample ◽  
Vector Autoregressive ◽  
Spatial Panel ◽  
The Common ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.

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