Does the PPP condition hold for oil‐exporting countries? A quantile cointegration regression approach
用分位数单位根和协整方法检验12个石油出口国的购买力平价条件，发现汇率与价格的关系在各国和分位数间差异很大，仅在部分情况下成立。
Abstract This paper examines the legitimacy of the Purchasing Power Parity condition applied to the quantile process for 12 oil‐exporting countries: Algeria, Angola, Canada, Colombia, Indonesia, Iran, Kazakhstan, Kuwait, Mexico, Nigeria, Norway, and Russia. The application of quantile unit root inference methods to test the specification of the PPP condition in the quantile process yields limited support to the equilibrium condition. However, the application of quantile cointegration methods that estimate the equilibrium relationship between national prices and the nominal exchange rate is much more supportive of a generalized PPP condition that varies across countries and quantiles. Our empirical findings suggest that the distribution of the nominal exchange rate reflects a nonlinear equilibrium relationship between national prices that varies widely between the central and tail quantiles and is country‐specific.