Long-run PPP may not hold after all

被引:110
作者
Engel, C
机构
[1] Univ Washington, Dept Econ, Seattle, WA 98195 USA
[2] NBER, Seattle, WA 98195 USA
基金
美国国家科学基金会;
关键词
cointegration; purchasing power parity; unit roots;
D O I
10.1016/S0022-1996(99)00011-2
中图分类号
F [经济];
学科分类号
02 ;
摘要
Recent tests using long data series find evidence in favor of long-run PPP, These tests may have reached the wrong conclusion. Using artificial data calibrated to nominal exchange rates and disaggregated data on prices, we show that tests on long-run PPP have serious size biases. In the baseline case, unit root and cointegrarion tests with a nominal size of 5% have true sizes that range from 0.90 to 0.99 in 100-year long data series, even though there is a permanent component that accounts for 42% of the 100-year forecast variance of the real exchange rate, Tests of stationarity are shown to have very low power in the same circumstances. (C) 2000 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:243 / 273
页数:31
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