An empirical examination of purchasing power parity: Argentina 1810–2016

Autor:	Simon Sosvilla-Rivero, Alejandro D. Jacobo
Rok vydání:	2020
Předmět:	Error correction model Economics and Econometrics Exchange rate Purchasing power parity Empirical examination Cointegration Accounting Econometrics Economics Empirical evidence Price differential Error detection and correction Finance
Zdroj:	International Journal of Finance & Economics. 26:2064-2073
ISSN:	1099-1158 1076-9307
DOI:	10.1002/ijfe.1893
Popis:	This paper examines the purchasing power parity behaviour for Argentina during the 1810–2016 period. To that end, we use cointegration analysis and error correction models allowing for structural breaks. We find a long‐run relationship between the AR$/USD exchange rate and the price differential between Argentina and the USA. In particular, we offer empirical evidence in favour of a cointegrating equation with two structural breaks. We also find evidence that the data could identify an appropriate error correction model for the short‐run dynamics, hence providing further support for the cointegrating equation as a long‐run relationship.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::dbaac3f8c24fdb2557cdd02274cabb69 https://doi.org/10.1002/ijfe.1893 Zobrazit plný text záznamu Plný text