Thesis (Ph. D.)--Iowa State University, 1994. / Includes bibliographical references (leaves 203-219).

Thesis (Ph. D.)--Iowa State University, 1994. / Includes bibliographical references (leaves 238-244).

Thesis (Ph. D.)--University of Washington, 2006. / Vita. Includes bibliographical references (leaves 101-104).

The present thesis provides a definite answer to the question of how comparisons of certain aggregate quantities and price levels should be made across two or more geographic regions. It does so from the viewpoint of both economic theory and the “test” (or “axiomatic”) approach to index-number theory. Chapter 1 gives an overview of the problem of multilateral interspatial comparisons and introduces the rest of the thesis. Chapter 2 focuses on a particular domain of comparison involving consumer goods and services, countries and households in developing a theory of international comparisons in terms of the the (Kontis-type) cost-of-living index. To this end, two new classes of purchasing power parity measures are set out and the relationship between them is explored. The first is the many-household analogue of the (single-household) cost-of-living index and, as such, is rooted in the theory of group cost-of-living indexes. The second Consists of sets of (nominal) expenditure-share deflators, each corresponding to a system of (real) consumption shares for a group of countries. Using this framework, a rigorous exact index- number interpretation for Diewert’s “own-share” system of multilateral quantity indexes is provided. Chapter 3 develops a novel multilateral test approach to the problem at hand by generalizing Eichhorn and Voeller’s bilateral counterpart in a sensible manner. The equivalence of this approach to an extended version of Diewert’s multilateral test approach is exploited in an assessment of the relative merits of several alternative multilateral comparison formulae motivated outside the test-approach framework. Chapter 4 undertakes an empirical comparison of the formulae examined on theoretical grounds in Chapter 3 using an appropriate cross-sectional data set constructed by the Eurostat—OECD Purchasing Power Parity Programme. The principal aim of this comparison is to ascertain the magnitude of the effect of choosing one formula over another. In aid of this, a new indicator is proposed which facilitates the measurement of the difference between two sets of purchasing power parities, each computed using a different multilateral index-number formula. / Arts, Faculty of / Vancouver School of Economics / Graduate

The Fisher and Seater [Fisher, M.E. and Seater, J.J., 1993. Long run neutrality and superneutrality in an ARIMA framework. American Economic Review 83, 402-415.] methodology is applied to Taylor's [Taylor, A.T., 2002. A century of purchasing power parity. Review of Economics and Statistics 84, 139-150.] data to test for purchasing power parity. Generally, the evidence is supportive of PPP. Further, FS test statistics have no size distortion problem and test power is improved with longer samples.

A country’s economy is becoming more and more dynamic and complicated in its scale and mobility. So, the concerns of exchange rate economics have become more popular. My research interest is in international economics with its major factor, exchange rates and other macroeconomic variables. Chapter 1 presents a brief introduction of the three studies. Chapter Two investigate the role of exchange rate changes with particular attention to international capital flows. With liberalization of capital movements, international capital movements became free and unrestricted in many emerging market economies as well as developed countries. Using a Vector Auto-regressive (VAR) model for a small open economy in which the endogeneity of exchange rate changes is fully taken into account, I find that capital movements are more likely to be a cause of output fluctuations and current account deficits in developing countries than a channel of equilibrium changes. I also find that domestic currency depreciation is far more likely to be contractionary on domestic output in developing countries than in developed countries. Interestingly, the trade balance improves after depreciation regardless of its output consequence. These findings suggest that there are important differences between developed and developing economies in the way capital movements and exchange rate changes affect and are affected. Chapter Three demonstrates the dynamic relationship between the current account and the real exchange rate in response to permanent and temporary shocks using structural VAR models for seven developed countries and five developing countries. Special focus is given to the issue of the stationarity of the current account. Capital flows are also included to capture external shocks as well as potential structural breaks due to financial liberalization. I find that the results for unit root tests for the current account are ambiguous. By testing two different VAR models, each taking an opposing stance on the stationarity of the current account, I conclude that responses based on a stationary current account are a better fit to the current theoretical view than those based on a nonstationary current account process. Additionally, the real exchange rate and the current account are positively correlated under a permanent shock while two variables are negatively correlated under a monetary shock. I also find that real exchange rate is an endogenous variable, which is not closely related to the temporary factors that affect the current account in the short run. Chapter Four examines the long-run mean reverting behavior of the real exchange rates with its six different definitions for 27 economies using annual data from 1974 to 2003. I find that Purchasing Power Parity (PPP) holds better, and the half-life of the real exchange rates is shorter when the wholesale price index, rather than consumer price index, is used as price level measure. Somewhat surprisingly, there is no evidence that PPP holds better with trade-weighted real exchange rates than with bilateral ones regardless of the price index used. Strong evidence for PPP emerges only with the use of Im, Pesaran, and Shin (2003) panel tests but not with the Levine, Lin, and Chu (2002).

<p>This paper tested the purchasing power parity hypothesis for Botswana and South Africa using cointegration analysis. The data used are the spot exchange rate between the two countries (rand and pula) and their consumer price indices.</p>

This dissertation examines Cassell's theory of purchasing power parity within the context of post-World War II foreign exchange markets and government policies.

Research Report: BUSA7167 (MM Finance and Investment Management). Submitted in Partial Fulfillment of the Requirements for the (Master of Management in Finance and Investments). Submitted on 06th June 2016 / The findings of the research have implications on the efficiency of the South African exchange rate market, and by extension, the efficiency of similar emerging foreign exchange markets. The study used Ordinary Least Square Approach and Johansen cointegration. Despite their theoretical appeal, and in line with a dozen of related past literature, the findings of the research generally favour the rejection UIP, PPP and IFE. The findings have implications on some regulatory measures that can be undertaken by the financial authority to improve the efficiency of the foreign exchange market. While there have been extensive studies on uncovered interest parity (UIP), purchasing power parity(PPP), and the international Fisher effect(IFE), research has scarcely tested these hypotheses in the context of emerging markets. This study attempts to bridge the existing gap by testing the three related parity condition for South Africa. / MT2016

O objetivo desse estudo é avaliar a validade da Teoria da Paridade do Poder de Compra (PPC) no Brasil em sua recente experiência de regime de câmbio flutuante, 1999M01-2009M12. São empreendidas decomposições da taxa de câmbio real de forma a evidenciar o papel da taxa de câmbio nominal, dos preços de bens comercializáveis e não comercializáveis, e preços das exportações e importações. A validade da PPC é diretamente testada através de testes de cointegração. Os resultados apontaram que ambos os setores, dos comercializáveis e não comercializáveis, são relevantes nos desvios da taxa de câmbio real, mas que a fonte de desvios não estacionários da PPC está relacionada ao setor dos não comercializáveis, tendo-se, portanto, evidência favorável à validade da Teoria da PPC para o setor dos comercializáveis no Brasil durante o período. Na relação de cointegração do setor dos comercializáveis, a taxa de câmbio nominal se apresentou fracamente exógena e os índices de preços tiveram velocidades de ajustamento significativas, sendo maior para os preços externos. Esses resultados são consistentes com um cenário em que a determinação da taxa de câmbio nominal é dominada por fatores fora do escopo da PPC e os preços dos comercializáveis se ajustam à relação de equilíbrio. / The aim of this study is to evaluate the validity of the Purchasing Power Parity Theory (PPP) in Brazil during its recent experience of floating exchange rate regime, 1999M01- 2009M12. Real exchange rate decompositions are undertaken in order to highlight the role of nominal exchange rate, prices of tradable goods and relative prices of nontradable goods, and prices of exports and imports. The validity of PPP is directly tested through cointegration tests. The results have shown that both sectors are relevant for the deviations of the real exchange rate, but that the source of non-stationary deviations from PPP is related to the nontradable sector, and, therefore, there was favorable evidence for the validity of PPP theory for tradable goods sector in Brazil between 1999 and 2009. For the cointegration relationship of the tradable sector, the nominal exchange rate appeared to be weakly exogenous and the index prices presented significant speeds of adjustment, which was higher for foreign prices. These results are consistent with a scenario in which the nominal exchange rate determination is dominated by factors outside the scope of the PPP and the prices of tradable goods adjusts to the equilibrium relationship.