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Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/62935
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Qin, Duo | | en_US |
| dc.date.accessioned | | 2012-09-20T13:02:20Z | | - |
| dc.date.available | | 2012-09-20T13:02:20Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/62935 | | - |
| dc.description.abstract | | This study measures purchasing power parity (PPP) by means of the dynamic-factor errorcorrection model (DF-ECM) approach. Under this new approach, PPP is embedded in latent disequilibrium factors, which are extracted from a large variable set of bilateral price disparities; the factors are then used as error-correction leading indicators to explain exchange rate and inflation. Modelling experiments on five OECD countries using monthly data show promising results, which reverse the common belief that PPP is at best a very long-run relationship at the macro level. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Queen Mary, Univ. of London, Dep. of Economics London | | en_US |
| dc.relation.ispartofseries | | Working Paper, Department of Economics, Queen Mary, University of London 575 | | en_US |
| dc.subject.jel | | F31 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.jel | | C33 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Purchasing power parity, Law of one price, Dynamic factor, Error correction | | en_US |
| dc.subject.stw | | Kaufkraftparität | | en_US |
| dc.subject.stw | | Fehlerkorrekturmodell | | en_US |
| dc.subject.stw | | Dynamisches Modell | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Kanada | | en_US |
| dc.subject.stw | | Frankreich | | en_US |
| dc.subject.stw | | Deutschland | | en_US |
| dc.subject.stw | | Japan | | en_US |
| dc.subject.stw | | Großbritannien | | en_US |
| dc.title | | Uncover latent PPP by dynamic factor error correction model (DF-ECM) approach: Evidence from five OECD countries | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 517653575 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Working Paper Series, School of Economics and Finance, Queen Mary, University of London
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