Long-Run Purchasing Power Parity: Is it for Real?
利用浮动汇率制下的数据，通过多元协整方法检验汇率与相对价格间的长期关系，发现两者存在长期关系，但汇率与相对价格不成比例。
In this paper we re-examine the purchasing power \nparity concept using data from the recent experience with \nfloating exchange rates. In particular, we utilise the recently \ndeveloped multivariate cointegration methodology to test for \na long-run relationship between exchange rates and relative \nprices and also to test for the proportionality of the exchange \nrate with respect to relative prices. In contrast to much other \nresearch, we demonstrate that there is a long-run relationship \nbetween a number of bilateral U.S. dollar exchange rates and \ntheir corresponding relative prices. The proportionality of the \nexchange rate to relative prices does not, however, receive \nsupport from the data. This finding may be attributable to the \nuse of measured price series rather than the "true" series.