Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach |
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| Authors: | Jingfei Wu Mohsen Bahmani-Oskooee Tsangyao Chang |
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| Institution: | 1.School of Economics,Shanghai University,Shanghai,China;2.Department of Economics, The Center for Research on International Economics,University of Wisconsin-Milwaukee,Milwaukee,USA;3.Department of Finance,Feng Chia University,Taichung,Taiwan |
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| Abstract: | This study revisits purchasing power parity (PPP) for the G6 countries (i.e., Canada, Italy, Japan, France, Germany, the UK) using smooth time-varying cointegrating approach, proposed by Park and Hahn (Econom Theory 15:664–703, 1999). Using monthly data over the 1971M1–2013M12 period, our empirical results indicate that PPP holds in two out of six countries (i.e., France and Germany). |
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