Purchasing power parity as a long‐run relation
在协整框架下检验购买力平价（PPP）作为长期命题，放松了价格指数系数为1的传统约束，发现多数国家间不存在普遍PPP关系，且即使存在也无法预测名义汇率。
Abstract Dickey–Fuller and Stock–Watson tests of purchasing power parity (PPP) as a long‐run proposition are provided within the cointegration framework proposed by Granger. Since different countries use different weights to construct price indices, the traditional constraint that the coefficients on the price indices should be unity in the log‐linear PPP relation is relaxed. The absence of a general PPP relation cannot be rejected. At most, a PPP relation is indicated in five out of fifteen country pairs that are examined. Even if a long‐run PPP relation exists, it is not found to be useful in predicting future nominal exchange rates, which is consistent with efficient speculative markets.