摘要:本文是旨在对美元和英镑的汇率分析的留学生论文,本文试图参考关于购买力平价的丰富的文献资料,分别调查世界上最发达的两个经济体——美国和英国长期购买力平价的总体情况。
s. Also, data based on CPI are less likely to reject than dataset for WPI. Lastly, the rejection of no-cointegration for floating exchange rates under the post Bretton-Woods period occur more often for trivariate systems than for bivariate systems and residuals appear to be more stationary by the weakening of the proportionality and symmetry restrictions.
To further increase the power of co-integration techniques, researchers have suggested the use of panel cointegration methods to produce more robust findings. {Banerjee (1999), Pedroni (2000, 2001b) and Qian and Strass (2001)}. This improved technique allows the researcher to selectively pool long run information in the panel while allowing for short run heterogeneity among the different members.
2.5.2 Fractional Integration
A more recent trend that is used by current researchers of PPP is fractional integration. This methodology was implemented due to the problems inherent in the unit root and co-integration tests. Cuestas and Gil-Alana (2009) suggested that the possibility of Type II error occurring in unit root test for Dickey-Fuller increases as the sample size expands. Thus creating structural changes with the increase of data sample and if not taken into consideration will have adverse effects on power of the test. In addition, Dumas (1994), Michael et al. (1997), Sarno et al. (2004), Juvenal and Taylor (2008), and Cuestas (2009) among many others, found that larger the deviation from long run equilibrium exchange rate, the faster the pace of reversion to the mean. Further, Gil-Alana (200) also found that if the speed of the mean reversion is slow, the results from Dickey-Fuller might be misleading and fail to identify the existence of unit root. As a result, fractional integration was seen as an alternative solution to the PPP puzzle. With this method, the real exchange rate will have to be estimated as a fractionally integrated process.
Where and are polynomial lag operators with roots outside the unit circle. is a white noise operator. If parameter d = 1 & equals to, the null hypothesis of random walk cannot be rejected. On the contrary, If d = 0 Null hypothesis rejected and PPP holds in the long run.
Baum, Barkoulas and Caglayan (1999) used fractional integration on 29 countries and suggested that rejection of absolute PPP in the long run. Cheung and Lai (1993) argues that the mean reversion of PPP exist and can be categorised by a fractionally integrated process in 3 out of 5 countries they tested. Masih and Masih (1995) concluded that the fractional cointegration approach “captures a much wider class of parity or mean-reversion behaviour” than simple cointegration method. On the other hand, Soofi (1998) found that although the variables are fractionally cointegrated, the PPP model for all countries does not have a mean-reversion property. Alves, Cati and Fava (2001) infer that the evidence does not seem to support the absolute PPP hypothesis but the relative PPP holds in the long run when they tested the PPP theory for Brazil.
2.6 Reasons for choosing U.S and UK
Before elaborating into the empirical section, it would be appropriate to explain the rationale for selection of the countries for the investigation, U.S and UK. Both these countries are considered the most advanced in the world and share uncanny similarity in various aspects; speak the same language, economi
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