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Jingfei Wu, Mohsen Bahmani-Oskooee, Tsangyao Chang, Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach
Empirica, 2018, 45(1), pp.187-196, http://www.springer.com/10663
This study revisits purchasing power parity (PPP) for the G6 countries (i.e., Canada, Italy, Japan, France, Germany, the UK) using the smooth time-varying cointegrating approach, proposed by Park and Hahn (Econom Theory 15:664-703, 1999). Using monthly data over the period January 1971 to December 2013, our empirical results indicate that PPP holds in two out of six countries (i.e., France and Germany).
Research group:Macroeconomics and European Economic Policy