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dc.contributor.authorPittis, Nikitasen
dc.contributor.authorChristou, Christinaen
dc.contributor.authorKalyvitis, Sarantisen
dc.contributor.authorHassapis, Christisen
dc.creatorPittis, Nikitasen
dc.creatorChristou, Christinaen
dc.creatorKalyvitis, Sarantisen
dc.creatorHassapis, Christisen
dc.description.abstractEmpirical tests typically provide evidence that the British pound-US dollar exchange rate and the relative wholesale price index contain exact unit roots and exhibit cointegration. However, the cointegrating vector is significantly different from [1, -1], thus raising doubts on the validity of the purchasing power parity (PPP) hypothesis. Following Elliott (1998 ), we show that if the exchange rate and relative price series contain near-to-unit roots in the context of a bivariate system, then any inference on the "cointegrating" vector and consequently on PPP, which is based on standard cointegration estimation methods, will be misleading. We then argue that the existing evidence against the PPP hypothesis in the British pound - US dollar market can be attributed to the finite sample bias of the standard cointegration estimators, arising from an endogenous and "nearly" nonstationary regressor. We also show that when robust procedures are employed the evidence favors the PPP hypothesis. © 2009 Blackwell Publishing Ltd.en
dc.sourceReview of International Economicsen
dc.subjectUnited Kingdomen
dc.subjectUnited Statesen
dc.subjectNorth Americaen
dc.subjectempirical analysisen
dc.subjectWestern Europeen
dc.subjectestimation methoden
dc.subjectcointegration analysisen
dc.subjectexchange rateen
dc.subjecthypothesis testingen
dc.subjectpurchasing power parityen
dc.titleLong-run PPP under the presence of near-to-unit roots: The case of the British Pound-US dollar rateen
dc.description.endingpage155Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and ManagementΤμήμα Οικονομικών / Department of Economics
dc.contributor.orcidHassapis, Christis [0000-0002-7808-270X]

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