Testing the purchasing power parity through I(2) cointegration techniques
用时间序列方法解释后布雷顿森林时期欧洲国家与美国之间实际汇率偏离购买力平价的现象，发现价格中的I(2)随机趋势是偏差持续的原因，并通过积分比例均衡修正模型模拟缓慢调整过程。
Abstract This paper contributes to the empirical literature on the purchasing power parity (PPP) over the post‐Bretton Woods period by providing a time‐series based interpretation of the controversial evidence characterizing the dynamics of real exchange rates. It is shown that the persistence of deviations from the PPP between a set of European countries and the United States may be empirically attributed to the presence of I(2) stochastic trends in prices using Consumer Price Indices. Interestingly, the slow adjustment towards the equilibrium can be modelled through ‘integral‐proportional’ equilibrium correction models and this evidence can be partly reconciled with theories where the inflation rate reduces the markup of profit‐maximizing firms acting on imperfectly competitive markets. Copyright © 2005 John Wiley & Sons, Ltd.