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dc.contributor.authorQin, Duoen
dc.date.accessioned2009-01-28T15:05:10Z-
dc.date.available2009-01-28T15:05:10Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/17952-
dc.description.abstractThis study explores a new modelling approach to bridge the gap between the bilateral setting of one ?domestic? economy facing one ?foreign? entity in theory and multilateral country data in reality. Under the approach, purchasing power parity (PPP) is embedded in latent disequilibrium factors, being extracted from a large 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
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aEconomics Discussion Papers |x2007-29en
dc.subject.jelC22en
dc.subject.jelF31en
dc.subject.jelC33en
dc.subject.ddc330en
dc.subject.keywordPPPen
dc.subject.keywordlaw of one priceen
dc.subject.keyworddynamic factoren
dc.subject.keyworderror correctionen
dc.titleUncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries-
dc.typeWorking Paperen
dc.identifier.ppn558295029en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifwedp:5734en

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