Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates

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Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates

Cheng, Benjamin S.

Journal of international money and finance, 12/1999, Letnik: 18, Številka: 6

Journal Article

This paper reexamines the causality between the dollar and the yen in a multivariate framework with the aid of cointegration and error-correcting modeling for the 1951–94 period. The Phillips-Perron tests and Johansen's tests are performed. While causality from interest rates to exchange rates is found in the short run, no causality between prices and exchange rates is found in the short run. However, causality is found running from relative prices to exchange rates along with interest rates between the U.S. and Japan in the long run, which supports the long-run PPP hypothesis.

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Leto	Faktor vpliva		Izdaja		Kategorija		Razvrstitev
Leto	JCR	SNIP	JCR	SNIP	JCR	SNIP	JCR	SNIP

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