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001-es BibID:	BIBFORM097047
Első szerző:	Szabó Andrea (közgazdász)
Cím:	A possible solution for the purchasing power parity puzzle: panel cointegration / Szabó Andrea
Dátum:	2018
ISSN:	2630-9130
Megjegyzések:	Purchasing power parity explaining the long-run behaviour of nominal exchange rates is one of the most fundamental theories in international economics. Its empirical validity is controversial though, which is referred to as purchasing power parity puzzle in the literature (Rogoff [1996]). While many possible im-provements of the baseline model were suggested, the importance of the appropriate empirical methodology in testing PPP was given less attention. Since PPP de-scribes a long-run equilibrium relationship, the proper testing method involves testing for cointegration. As the efficiency of panel estimations is greater be-cause of the high number of observations, this paper investigates the empirical validity of PPP with three cointegrated panel estimation methods (DFE [dynamic fixed-effects estimation], MG [mean-group estimation] and PMG [pooled mean-group estimation]) on three samples. PPP was confirmed in all samples by DFE estimator. The results matching most accurately the theoretical expectations were found in the 1985-2011 sample.
Tárgyszavak:	Társadalomtudományok Közgazdaságtudományok idegen nyelvű folyóiratközlemény hazai lapban folyóiratcikk purchasing power parity puzzle panel cointegration
Megjelenés:	Hungarian Statistical Review. - 1 : 1 (2018), p. 70-90. -
Internet cím:	Szerző által megadott URL DOI Intézményi repozitóriumban (DEA) tárolt változat
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