How to cite this paper
Selmi, N & Hachicha, N. (2015). Purchasing power parity: Evidence of long memory processes and fractional integration.Decision Science Letters , 4(3), 397-406.
Refrences
Abuaf, N., & Jorion, P. (1990). Purchasing power parity in the long run. The Journal of Finance, 45(1), 157-174.
Baharumshah, A. Z., & Ariff, M. (1997). Purchasing power parity in South East Asian countries economies: a cointegration approach. Asian Economic Journal, 11(2), 141-153.
Bec, F., Ben Salem, M., & Carrasco, M. (2010). Detecting mean reversion in real exchange rates from a multiple regime STAR model. Annals of Economics and Statistics/Annales d’Economie et de Statistique, 99-100, 395-427.
Ben Ayed, H. (1985). Le taux de change du dinar 1970-1980. Revue Tunisienne d’Economie et de Gestion, 2, 7-25.
Bissoondeeal, R. K. (2008). Post-Bretton Woods evidence on PPP under different exchange rate regimes. Applied financial economics, 18(18), 1481-1488.
Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657.
Cheung, Y. W., & Lai, K. S. (1993). A fractional cointegration analysis of purchasing power parity. Journal of Business & Economic Statistics, 11(1), 103-112.
Christidou, M., & Panagiotidis, T. (2010). Purchasing Power Parity and the European single currency: Some new evidence. Economic Modelling, 27(5), 1116-1123.
Crucini, M. J., & Yilmazkuday, H. (2014). Understanding long-run price dispersion. Journal of Monetary Economics, 66, 226-240.
Dridi, J., & Kugler, P. (1995). An empirical analysis of long-run purchasing power parity using cointegration techniques: The case of the Tunisian dinar. Annales d’Economie et de Gestion, 4, 11-33.
Fisher, E. O. N., & Park, J. Y. (1991). Testing purchasing power parity under the null hypothesis of co-integration. The Economic Journal, 101, 1476-1484.
Frenkel, J. A. (1978). Purchasing power parity: doctrinal perspective and evidence from the 1920s. Journal of International Economics, 8(2), 169-191.
Froot, K. A., & Rogoff, K. (1995). Perspectives on PPP and long-run real exchange rates. Handbook of international economics, 3, 1647-1688.
Geweke, J., & Porter?Hudak, S. (1983). The estimation and application of long memory time series models. Journal of time series analysis, 4(4), 221-238.
Glen, J. D. (1992). Real exchange rates in the short, medium, and long run.Journal of International Economics, 33(1), 147-166.
Goldberg, P.K., & Knetter, M.M. (1997). Goods prices and exchange rates: what have we learned? Journal of Economic Literature, 35, 1243–1272.
Grilli, V., & Kaminsky, G. (1991). Nominal exchange rate regimes and the real exchange rate. Journal of Monetary Economics, 27, 191–212.
Lo, A.W. (1991). Long term memory in stock market price. Econometrica, 59, 1279-1313.
Lothian, J. R., & Taylor, M. P. (1996). Real exchange rate behaviour: The recent float from the perspective of the past two centuries. Journal of Political Economy, 104, 488–509.
Mark, P. (2003). Purchasing power parity. Review of International Economics, 11(3), 436-452.
Michael, P., Nobay, A. R., & Peel, D. A. (1997). Transactions costs and nonlinear adjustment in real exchange rates; An empirical investigation. Journal of Political Economy, 105(4), 862-879.
Mussa, M. (1986). Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications. Carnegie-Rochester Conference Series on Public Policy, 25(1), 117–214.
Obstfeld, M., & Taylor, A. M. (1997). Nonlinear aspects of goods-market arbitrage and adjustment: Heckscher & apos; s commodity points revisited. Journal of the Japanese and International Economies, 11(4), 441-479.
Parsley, D. C., & Popper, H. A. (2001). Official exchange rate arrangements and real exchange rate behavior. Journal of Money, Credit and Banking, 33, 976-993.
Robinson, P. M. (1994). Efficient tests of nonstationary hypotheses. Journal of the american statistical association, 89(428), 1420-1437.
Rogers, J. H. (2007). Monetary union, price level convergence, and inflation: How close is Europe to the USA?. Journal of Monetary Economics, 54(3), 785-796.
Rogoff, K. (1996). The purchasing power parity puzzle. Journal of Economic Literature, 34, 647-668.
Sarantis, N. (1999). Modeling non-linearities in real effective exchange rates.Journal of International Money and Finance, 18(1), 27-45.
Sarno, L., Taylor, M. P., & Chowdhury, I. (2004). Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study. Journal of International Money and Finance, 23(1), 1-25.
Parkes, A. L., & Savvides, A. (1999). Purchasing power parity in the long run and structural breaks: evidence from real sterling exchange rates. Applied Financial Economics, 9(2), 117-127.
Taylor, A.M., & Taylor, M.P. (2004). The purchasing power parity debate. Journal of Economic Perspective, 18 (4), 135–158
Wu, Y. H., & Lin, E. S. (2011). Does purchasing power parity hold following the launch of the euro? Evidence from the panel unit root test. Applied Economics Letters, 18(2), 167-172.
Baharumshah, A. Z., & Ariff, M. (1997). Purchasing power parity in South East Asian countries economies: a cointegration approach. Asian Economic Journal, 11(2), 141-153.
Bec, F., Ben Salem, M., & Carrasco, M. (2010). Detecting mean reversion in real exchange rates from a multiple regime STAR model. Annals of Economics and Statistics/Annales d’Economie et de Statistique, 99-100, 395-427.
Ben Ayed, H. (1985). Le taux de change du dinar 1970-1980. Revue Tunisienne d’Economie et de Gestion, 2, 7-25.
Bissoondeeal, R. K. (2008). Post-Bretton Woods evidence on PPP under different exchange rate regimes. Applied financial economics, 18(18), 1481-1488.
Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657.
Cheung, Y. W., & Lai, K. S. (1993). A fractional cointegration analysis of purchasing power parity. Journal of Business & Economic Statistics, 11(1), 103-112.
Christidou, M., & Panagiotidis, T. (2010). Purchasing Power Parity and the European single currency: Some new evidence. Economic Modelling, 27(5), 1116-1123.
Crucini, M. J., & Yilmazkuday, H. (2014). Understanding long-run price dispersion. Journal of Monetary Economics, 66, 226-240.
Dridi, J., & Kugler, P. (1995). An empirical analysis of long-run purchasing power parity using cointegration techniques: The case of the Tunisian dinar. Annales d’Economie et de Gestion, 4, 11-33.
Fisher, E. O. N., & Park, J. Y. (1991). Testing purchasing power parity under the null hypothesis of co-integration. The Economic Journal, 101, 1476-1484.
Frenkel, J. A. (1978). Purchasing power parity: doctrinal perspective and evidence from the 1920s. Journal of International Economics, 8(2), 169-191.
Froot, K. A., & Rogoff, K. (1995). Perspectives on PPP and long-run real exchange rates. Handbook of international economics, 3, 1647-1688.
Geweke, J., & Porter?Hudak, S. (1983). The estimation and application of long memory time series models. Journal of time series analysis, 4(4), 221-238.
Glen, J. D. (1992). Real exchange rates in the short, medium, and long run.Journal of International Economics, 33(1), 147-166.
Goldberg, P.K., & Knetter, M.M. (1997). Goods prices and exchange rates: what have we learned? Journal of Economic Literature, 35, 1243–1272.
Grilli, V., & Kaminsky, G. (1991). Nominal exchange rate regimes and the real exchange rate. Journal of Monetary Economics, 27, 191–212.
Lo, A.W. (1991). Long term memory in stock market price. Econometrica, 59, 1279-1313.
Lothian, J. R., & Taylor, M. P. (1996). Real exchange rate behaviour: The recent float from the perspective of the past two centuries. Journal of Political Economy, 104, 488–509.
Mark, P. (2003). Purchasing power parity. Review of International Economics, 11(3), 436-452.
Michael, P., Nobay, A. R., & Peel, D. A. (1997). Transactions costs and nonlinear adjustment in real exchange rates; An empirical investigation. Journal of Political Economy, 105(4), 862-879.
Mussa, M. (1986). Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications. Carnegie-Rochester Conference Series on Public Policy, 25(1), 117–214.
Obstfeld, M., & Taylor, A. M. (1997). Nonlinear aspects of goods-market arbitrage and adjustment: Heckscher & apos; s commodity points revisited. Journal of the Japanese and International Economies, 11(4), 441-479.
Parsley, D. C., & Popper, H. A. (2001). Official exchange rate arrangements and real exchange rate behavior. Journal of Money, Credit and Banking, 33, 976-993.
Robinson, P. M. (1994). Efficient tests of nonstationary hypotheses. Journal of the american statistical association, 89(428), 1420-1437.
Rogers, J. H. (2007). Monetary union, price level convergence, and inflation: How close is Europe to the USA?. Journal of Monetary Economics, 54(3), 785-796.
Rogoff, K. (1996). The purchasing power parity puzzle. Journal of Economic Literature, 34, 647-668.
Sarantis, N. (1999). Modeling non-linearities in real effective exchange rates.Journal of International Money and Finance, 18(1), 27-45.
Sarno, L., Taylor, M. P., & Chowdhury, I. (2004). Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study. Journal of International Money and Finance, 23(1), 1-25.
Parkes, A. L., & Savvides, A. (1999). Purchasing power parity in the long run and structural breaks: evidence from real sterling exchange rates. Applied Financial Economics, 9(2), 117-127.
Taylor, A.M., & Taylor, M.P. (2004). The purchasing power parity debate. Journal of Economic Perspective, 18 (4), 135–158
Wu, Y. H., & Lin, E. S. (2011). Does purchasing power parity hold following the launch of the euro? Evidence from the panel unit root test. Applied Economics Letters, 18(2), 167-172.