ΕλληνικάClear Cookie - decide language by browser settings

Purchasing Power Parity and the European single currency: Some new evidence

Christidou, Maria and Panagiotidis, Theodore (2010) Purchasing Power Parity and the European single currency: Some new evidence. Economic Modelling, 27 (5). pp. 1116-1123.

[img] Text
panagiotidis8.pdf

Download (400kB)

Abstract

The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 EU countries, vis a vis the US dollar, before and after the advent of the euro. Standard as well as nonlinear unit root tests are employed on the time series dimension. Unit root tests reject PPP and the highest half-lives are observed after the introduction of the single currency. Panel unit root (Pesaran, 2007) and stationarity tests (Hadri and Kurozumi, 2008) that take into account cross-sectional dependence are also estimated. The results remain inconclusive as panel stationarity tests fail to support PPP whereas panel unit root tests fail to reject PPP for the whole sample and for the period before the introduction of the single currency.

Item Type: Article
Uncontrolled Keywords: Purchasing power parity Half-life Nonlinear unit roots Panel unit roots Heterogeneity Cross-section dependence
Depositing User: Admin Admin
Date Deposited: 13 Oct 2015 17:57
Last Modified: 13 Oct 2015 17:57
URI: http://eprints.lib.uom.gr/id/eprint/550

Actions (login required)

View Item View Item