Seasonality, cointegration and the long-run purchasing power parity: evidence for sterling exchange rates

Sarantis, Nick and Stewart, Chris (1993) Seasonality, cointegration and the long-run purchasing power parity: evidence for sterling exchange rates. Applied Economics, 25(2), pp. 243-250. ISSN (print) 0003-6846

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Abstract

The long-run purchasing power parity (PPP) hypothesis is tested for nine bilateral sterling exchange rates, using recently developed techniques on cointegration and seasonal integration. The empirical findings show that none of the exchange rates and relative prices contain seasonal unit roots, but all have an autoregressive unit root. The cointegration tests overwhelmingly reject the PPP hypothesis as a long-run equilibrium condition for all countries concerned.

Item Type: Article
Uncontrolled Keywords: integration, 1920s, tests
Research Area: Economics and econometrics
Faculty, School or Research Centre: Faculty of Arts and Social Sciences > School of Economics (until November 2012)
Depositing User: Chris Stewart
Date Deposited: 10 May 2013 15:01
Last Modified: 14 Aug 2013 10:36
URI: http://eprints.kingston.ac.uk/id/eprint/25534

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