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1998 | 45 | z. 4 | 561--576
Tytuł artykułu

Parytet siły nabywczej: testowanie metodą Hansena

Warianty tytułu
Purchase Power Parity with the Hausen Method
Języki publikacji
PL
Abstrakty
EN
The paper contains an analysis of theoretical definitions and assumptions of the purchasing power parity (in the absolute and relative versions), an overview of empirical results, and an example of an application of the Hansen methods of estimation and tests for the testing of the PPP relationship for Denmark and Germany. (original abstract)
Słowa kluczowe
Rocznik
Tom
45
Numer
Strony
561--576
Opis fizyczny
Twórcy
  • Uniwersytet Warszawski
Bibliografia
  • [1] Bleaney M., Mizen P., Empirical Tests of Mean Reversion in Real Exchange Rates: A Survey, Bulletin of Economic Research, 47 (3), 1995, s. 171-195.
  • [2] Cassel G., The Depreciation of the German Mark, Economic Journal, 29, 1919, s. 496.
  • [3] Cassel G., The Present Situation of the Foreign Exchanges, Economic Journal, 26, 1916, s. 62-65.
  • [4] Cassel G., The World's Monetary Problems, Constable, Londyn 1921.
  • [5] Cassel G., Money and Foreign Exchange after 1914, Constable, Londyn 1922.
  • [6] Caves R.E., Frankel J.A., Jones R.W., World Trade and Payments, wyd. 7, Harper Collins 1996.
  • [7] Cheung Yin-Wong, Lai Kon S., Long-Run Purchasing Power Parity During the Recent Float, Journal of International Economics, 34, 1993, s. 181-192.
  • [8] Cheung Yin-Wong, Lai Kon S., A Fractional Cointegration Analysis of Purchasing Power Parity, Journal of Business and Economic Statistics, 11, 1993, s. 103 - 112.
  • [9] Claassen E.-M., Global Monetary Economics Oxford University Press, 1996, Oxford.
  • [10] Dornbusch R., Expectations and Exchange Rate Dynamics, Journal of Political Economy, 84 (6) 1976, s. 1161-76.
  • [11] Dombusch R., Purchasing Power Parity, The New Palgrave Dictionary, Macmillan, 1987, s. 1075-1085.
  • [12] Feenstra R.C., Kendall J.D., Pass-Through of Exchange Rates and Purchasing Power Parity, NBER Working Paper, Nr 4842, 1994.
  • [13] Flynn N. Alston, Boucher J.L., Tests of Long-Run Purchasing Power Parity using Alternative Methodologies, Journal of Macroeconomics, 1993, s. 109-122.
  • [14] Frenkel J.A., On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials, American Economic Review, 69, 1979, s. 610-622.
  • [15] Frenkel J.A., Rose A.K., A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries, NBER Working Paper Nr 5006, 1995.
  • [16] Frenkel J.A., A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence, Scandinavian Journal of Economics, 78 (2), 1976, s. 200-224.
  • [17] Frenkel J.A., Flexible Exchange Rates, Prices and the Role of News': Lessons from the 1970s, Journal of Political Economy, 89 (4), 1981, s. 665-705.
  • [18] Frenkel J.A., The Collapse of Purchasing Power Parities During the 1970s, European Economic Review, 16 (1), 1981, s. 145-165.
  • [19] Hansen B.E., Testing for Parameter Instability in Linear Models, Journal of Policy Modelling, 14,1992, s. 517-533.
  • [20] Hansen B.E., Tests for Parameter Instability in Regressions with 1(1) Processes, Journal of Business and Economic Statistics, 10, 1992, s. 321 -335.
  • [21] Hsieh D., The Determinants of the Real Exchange Rate, Journal of International Economics, 12 (3-4), 1982, s. 355-362.
  • [22] Hunter J., Tests of Coinlegrating Exogeneity for PPP and Uncovered Interest Rate Parity in the United Kingdom, Journal of Policy Modelling, 14, 1992.
  • [23] Isard P., How Far Can We Push the 'Law of One Price'?, American Economic Review, 67 (5), 1977, s. 942-948.
  • [24] Johansen S., Statistical Analysis of Coinlegration Vectors, Journal of Economic Dynamics an Control, 12, 1988, s. 231-277.
  • [25] Johansen S., Juselius K., Maximum Likelihood Estimation and Inference on Coinlegration - with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 1990, s. 169-210.
  • [26] Johansen S., Juselius K., Testing Structural Hypothesis in a Multivariate Coinlegration Analysis of the PPP and the U IP for UK, Journal of Econometrics, 53 (1 -3), 1992, s. 211-244.
  • [27] Juselius K., Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time series model, Journal of Econometrics, 69, 1995, s. 211-240.
  • [28] Jones R.W., Kenen P.B. (red.), Handbook of International Economics, North Holland, Amsterdam 1985.
  • [29] Kravis I., Lipsey R., Towards an Explanation of National Price Levels, Princeton Studies in International Finance, Nr 52, Princeton, Princeton University Press, 1983.
  • [30] Kugler P., Lenz C, Multivariate Coinlegration Analysis and the Long-Run Validity of PPP, Review of Economics and Statistics, 75, 1993, s. 180-184.
  • [31] Kwiatkowski D., Phillips P.C.B., Schmidt P., Shin Y., Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root,, Journal of Econometrics, 54, 1992, s. 159-178.
  • [32] Levich R.M., Empirical Studies of Exchange Rate, rozdział 19 w pracy: Handbook of International Economics, R.W. Jones i P.B. Kenen (red.), North Holland, Amsterdam 1985.
  • [33] McKinnon R.I., Money in International Exchange: The Convertible Currency System, Oxford University Press, Oxford 1979.
  • [34] Phylaktis K., Purchasing Power Parity and Coinlegration: The Greek Evidence from the 1920s, Journal of International Money and Finance, 11 (5), 1992, s. 502-513.
  • [35] Rogoff K., The Purchasing Power Parity, Journal of Economic Literature, 34, 1996, s. 647-668.
  • [36] Sarantis N., Stewart C, Seasonality, Coinlegration and the Long-Run Purchasing Power Parity: Evicence for Sterling Exchange Rates, Applied Economics, 25, 1993, s. 243-250.
  • [37] Taylor A.M., International Capital Mobility in History: Purchasing Power Parity in the Long Run, NBER Working Peper Nr 5742, 1996.
  • [38] Taylor M.P., The Economics of Exchange Rates, Journal of Economic Literature, 33,1995, s. 13-47.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000129451923

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