Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/17952
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Qin, Duo | en |
dc.date.accessioned | 2009-01-28T15:05:10Z | - |
dc.date.available | 2009-01-28T15:05:10Z | - |
dc.date.issued | 2007 | - |
dc.identifier.uri | http://hdl.handle.net/10419/17952 | - |
dc.description.abstract | This 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.iso | eng | en |
dc.publisher | |aKiel Institute for the World Economy (IfW) |cKiel | en |
dc.relation.ispartofseries | |aEconomics Discussion Papers |x2007-29 | en |
dc.subject.jel | C22 | en |
dc.subject.jel | F31 | en |
dc.subject.jel | C33 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | PPP | en |
dc.subject.keyword | law of one price | en |
dc.subject.keyword | dynamic factor | en |
dc.subject.keyword | error correction | en |
dc.title | Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 558295029 | en |
dc.rights.license | http://creativecommons.org/licenses/by-nc/2.0/de/deed.en | en |
dc.identifier.repec | RePEc:zbw:ifwedp:5734 | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.