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DC FieldValueLanguage
dc.contributor.authorQin, Duoen_US
dc.date.accessioned2012-09-20T13:02:20Z-
dc.date.available2012-09-20T13:02:20Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/62935-
dc.description.abstractThis 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.isoengen_US
dc.publisherQueen Mary, Univ. of London, Dep. of Economics Londonen_US
dc.relation.ispartofseriesWorking Paper, Department of Economics, Queen Mary, University of London 575en_US
dc.subject.jelF31en_US
dc.subject.jelC22en_US
dc.subject.jelC33en_US
dc.subject.ddc330en_US
dc.subject.keywordPurchasing power parity, Law of one price, Dynamic factor, Error correctionen_US
dc.subject.stwKaufkraftparitäten_US
dc.subject.stwFehlerkorrekturmodellen_US
dc.subject.stwDynamisches Modellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwKanadaen_US
dc.subject.stwFrankreichen_US
dc.subject.stwDeutschlanden_US
dc.subject.stwJapanen_US
dc.subject.stwGroßbritannienen_US
dc.titleUncover latent PPP by dynamic factor error correction model (DF-ECM) approach: Evidence from five OECD countriesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn517653575en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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