Purchasing power parity and structural instability in the US/UK exchange rate

Karoglou, Michail and Morley, Bruce (2012). Purchasing power parity and structural instability in the US/UK exchange rate. Journal of International Financial Markets, Institutions and Money, 22 (4), pp. 958-972.

Abstract

The aim of this study is to determine if nonlinearities have affected purchasing power parity (PPP) since 1885. Also using recent advances in the econometrics of structural change we segment the sample space according to the identified breaks and look at whether the PPP condition holds in each sub-sample and whether this involves linear or non-linear adjustment. Our results suggest that during some sub-periods, PPP holds, although whether it holds or not and whether the adjustment is linear or non-linear, depends primarily on the type of exchange rate regime in operation at any point in time.

Publication DOI: https://doi.org/10.1016/j.intfin.2012.05.001
Divisions: Aston Business School > Economics, Finance & Entrepreneurship
Aston Business School
Additional Information: © 2012, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: purchasing power parity,structural breaks,non-linear cointegration,Economics and Econometrics,Finance
Full Text Link: http://opus.bath.ac.uk/31031/
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Date: 2012-10
Authors: Karoglou, Michail ( 0000-0002-6730-504X)
Morley, Bruce

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