期刊名称：Economics - The Open-Access, Open-Assessment E-Journal
印刷版ISSN：1864-6042
出版年度：2008
卷号：2
页码：1-26
出版社：Kiel Institute for the World Economy
摘要：This study explores a new modelling approach that bridges the gap between multilateral country-level data and the bilateral-model based, goods-market specific purchasing power parity (PPP) hypothesis. Under this approach, PPP is embedded in latent common factors, extractable from a large set of bilateral price disparities, and tested via an error-correction model where the factors act as error-correction leading indicators for exchange rate and inflation. Significant modelling results for five OECD countries using monthly data suggest that the extant finding of insignificant PPP using similar data should be due to errors-in-variables attenuation and that its correction lies in effective construction of latent variables.
关键词：Law of one price; errors-in-variables; latent dynamic factor; error correction
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