PURCHASING POWER PARITY FOR DEVELOPING AND DEVELOPED COUNTRIES. WHAT CAN WE LEARN FROM NON‐STATIONARY PANEL DATA MODELS?
运用新发展的面板协整技术，检验80个发达国家和发展中国家购买力平价的稳健性，发现OECD国家支持强PPP，中东和北非国家支持弱PPP，而非洲、亚洲、拉美和中东欧国家PPP不成立。
Abstract The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni ( Oxford Bulletin of Economics and Statistics 61 (1999): Supplement, 653–670; Econometric Theory 20 (2004): 597–625) and generalized by Banerjee and Carrion‐i‐Silvestre (Working Paper 591, European Central Bank, February 2006) to examine the robustness of the PPP concept for a sample of 80 developed and developing countries. We find that strong PPP is verified for OECD countries and weak PPP for Middle East and North African countries. However, in African, Asian, Latin American and Central and Eastern European countries, PPP does not seem relevant to characterize the long‐run behavior of the real exchange rate. Further investigations indicate that the nature of the exchange rate regime does not condition the validity of PPP, which is more easily accepted in countries with high rather than low inflation.