Cointegration and Tests of Purchasing Power Parity
指出由于即期汇率和国内外价格指数存在非平稳性，传统绝对购买力平价检验不再适用；若PPP成立，汇率与价格应构成协整系统，但对五国数据的检验均无法拒绝无协整的原假设，从而否定了长期绝对PPP。
Nonstationarity in the levels of spot exchange rates and domestic and foreign price indices makes the use of conventional tests of the absolute version of purchasing power parity (PPP) inappropriate. If PPP is true, inter-country commodity arbitrage ensures that deviations from a linear combination of spot exchange rates and domestic and foreign price levels should be stationary. Under these conditions, exchange rates and price levels should form a cointegrated system. We find the null hypothesis of no cointegration cannot be rejected for all five countries, thus violating the long-run absolute version of PPP.