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dc.contributor.authorQin, Duoen
dc.date.accessioned2012-09-20T13:02:20Z-
dc.date.available2012-09-20T13:02:20Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aQueen Mary University of London, Department of Economics |cLondonen
dc.relation.ispartofseries|aWorking Paper |x575en
dc.subject.jelF31en
dc.subject.jelC22en
dc.subject.jelC33en
dc.subject.ddc330en
dc.subject.keywordPurchasing power parity, Law of one price, Dynamic factor, Error correctionen
dc.subject.stwKaufkraftparitäten
dc.subject.stwFehlerkorrekturmodellen
dc.subject.stwDynamisches Modellen
dc.subject.stwSchätzungen
dc.subject.stwKanadaen
dc.subject.stwFrankreichen
dc.subject.stwDeutschlanden
dc.subject.stwJapanen
dc.subject.stwGroßbritannienen
dc.titleUncover latent PPP by dynamic factor error correction model (DF-ECM) approach: Evidence from five OECD countries-
dc.typeWorking Paperen
dc.identifier.ppn517653575en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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