TY - JOUR
T1 - Purchasing power parity and structural instability in the US/UK exchange rate
AU - Karoglou, M.
AU - Morley, Bruce
PY - 2012/10
Y1 - 2012/10
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84863314155&partnerID=8YFLogxK
UR - http://dx.doi.org/10.1016/j.intfin.2012.05.001
U2 - 10.1016/j.intfin.2012.05.001
DO - 10.1016/j.intfin.2012.05.001
M3 - Article
SN - 1042-4431
VL - 22
SP - 958
EP - 972
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 4
ER -