文章基本信息

标题：Purchasing power parity: A nonlinear multivariate perspective
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作者：Frédérique Bec ; Anders Rahbek ; Mélika Ben Salem 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2008
卷号：6
出版社：Economics Bulletin
摘要：The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a multivariate threshold vector equilibrium correction model, whose dynamics is consistent with the PPP in presence of trading costs. European data support the relevance of this model for Belgium, France and Italy, but this is not the case for the G7 data against the US Dollar. Furthermore, the adjustment in European countries seems to have been achieved only through nominal exchange rate changes.