A century of Purchasing Power Parity: evidence from Canada and Australia.

Hasan, Mohammad S (2006) A century of Purchasing Power Parity: evidence from Canada and Australia. Applied Financial Economics, 16 (1/2). pp. 145-156. ISSN 0960-3107. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

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Official URL
http://dx.doi.org/10.1080/09603100500390091

Abstract

This study empirically examines the Purchasing Power Parity hypothesis using more than a century span of annual data of Australia, Canada and Britain and a battery of unit root tests. The study finds support for the validity of the Purchasing Power Parity hypothesis in the long-run within the framework of both linear and non-linear cointegration tests. The error correction models indicate that it takes four to five years for the short-run deviations from PPP to revert back to the long-run equilibrium. The results also indicate a non-linear mean reversion behaviour in the case of Canada. Overall, the evidence of support for the PPP hypothesis is robust across specifications and testing procedures.

Item Type: Article
Subjects: H Social Sciences
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Rebecca Stevenson
Date Deposited: 06 Jan 2010 12:51
Last Modified: 06 Jan 2010 12:51
Resource URI: https://kar.kent.ac.uk/id/eprint/23572 (The current URI for this page, for reference purposes)
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