AN EMPIRICAL-EXAMINATION OF LONG-RUN PURCHASING POWER PARITY AS THEORY OF INTERNATIONAL COMMODITY ARBITRAGE

被引：17
|
作者：
FRASER, P
TAYLOR, MP
WEBSTER, A
机构：
[1] BANK ENGLAND,DIV ECON,LONDON,ENGLAND
[2] INT MONETARY FUND,RES DEPT,WASHINGTON,DC 20431
[3] CITY UNIV LONDON,SCH BUSINESS,BARBICAN CTR,DEPT BANKING & FINANCE,LONDON EC1V 0HB,ENGLAND
[4] UNIV READING,DEPT ECON,READING RG6 2AA,ENGLAND
来源：
APPLIED ECONOMICS | 1991年 / 23卷 / 11期
关键词：
D O I：
10.1080/00036849100000070
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
An empirical analysis of long-run purchasing power parity (PPP) as a theory of international commodity arbitrage between UK and US prices and the sterling/US dollar exchange rate for the period 1975-1980 is presented. Econometric techniques concerning the cointegration of economic time series are applied to a sample of 35 manufactured commodities which in 1977 constituted approximately a quarter of the net output of all manufacturing industry in Great Britain. Our results are extremely unfavourable to the PPP hypothesis as a stable long-run proportionality between exchange rates and disaggregated prices. © 1991, Taylor & Francis Group, LLC. All rights reserved.
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页码：1749 / 1759
页数：11
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