Causal and frequency analyses of purchasing power parity

研究成果: Article査読

抄録

A century after its development, the purchasing power parity theorem, which links exchange rates with prices, remains one of the most popular and influential economic theories. This study examines the relationship between exchange rates and prices from the perspectives of causality and spillovers. Using a panel of countries and advanced statistical methods, we estimate spillovers for all combinations of origins and destinations at different frequency bands, and show that their relationship is time-varying and multi-directional and has some validity at short and long time horizons. Furthermore, using exchange rate regimes, economic structures, currency crises, and trade openness, we identify economic conditions influencing the size and direction of spillovers.

本文言語English
論文番号101287
ジャーナルJournal of International Financial Markets, Institutions and Money
71
DOI
出版ステータスPublished - 2021 3

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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