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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/18020| Title: | Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries |
| Keywords: | C33 F31 C22 ddc:330 Law of one price errors-in-variables latent dynamic factor error correction Kaufkraftparität Fehlerkorrekturmodell Dynamisches Modell Schätzung Kanada Frankreich Deutschland Japan Großbritannien |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | This study explores a new modelling approach that bridges the gap between multilateral country-level data and the bilateral-model based, goods-market specific purchasing power parity (PPP) hypothesis. Under this approach, PPP is embedded in latent common factors, extractable from a large set of bilateral price disparities, and tested via an error-correction model where the factors act as error-correction leading indicators for exchange rate and inflation. Significant modelling results for five OECD countries using monthly data suggest that the extant finding of insignificant PPP using similar data should be due to errors-in-variables attenuation and that its correction lies in effective construction of latent variables. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/18020 |
| Other Identifiers: | Economics: The Open-Access, Open-Assessment E-Journal 2 2008-7 1-26 doi:10.5018/economics-ejournal.ja.2008-7 doi:10.5018/economics-ejournal.ja.2008-7 http://hdl.handle.net/10419/18020 ppn:560130384 http://www.economics-ejournal.org/economics/journalarticles/2008-7 RePEc:zbw:ifweej:7124 |
| Appears in Collections: | EconStor |
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