Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Business
Fundamental Approach To Exchange Rate Modeling: Toward An Augmented Theory Of Purchasing Power Parity, Jianzhou Zhu
Fundamental Approach To Exchange Rate Modeling: Toward An Augmented Theory Of Purchasing Power Parity, Jianzhou Zhu
Doctoral Dissertations
In this dissertation, I test the homogeneity and symmetry conditions of PPP by applying the Johansen multivariate cointegration methodology to quarterly data for six countries. I perform the tests in the framework of both a traditional version and an augmented version of PPP. The results of tests on the traditional version of PPP reveal that in all cases the theoretical PPP-vector [1, 1, −1] is not contained in the cointegrating space. This finding is consistent with that of existing literature and indicates the empirical failure of the homogeneity and symmetry conditions of PPP. However, when the traditional PPP is augmented …