Purchasing Power Parity and the Efficient Markets: the Recent Empirical Evidence
Description:
The purpose of the study is to empirically determine the relevance of PPP theory under the traditional arbitrage and the efficient markets (EPPP) frameworks during the recent floating period of the 1980s. Monthly data was collected for fifteen industrial nations from January 1980 to December 1986. The models tested included the short-run PPP, the long-run PPP, the EPPP, the EPPP with deviations from expectations, the forward rates as unbiased estimators of future spot rates, the EPPP and the fo…
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Date:
December 1988
Creator:
Yuyuenyongwatana, Robert P. (Robert Privat)