Publication: Paridad del poder adquisitivo: cointegración y cambios estructurales
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1999
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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Este trabajo tiene tres objetivos. El primero, analizar si existe evidencia de cointegración entre el tipo de cambio nominal bilateral y los precios relativos internacionales. En este análisis no es suficiente considerar la significatividad de los contrastes de cointegración sino que, además, es necesario ver si el coeficiente de la relación es significativo y presenta el signo correcto, lo que apoyaría el cumplimiento de la Paridad del Poder Adquisitivo (PPA). El segundo, detectar si hay evidencia de inestabilidad paramétrica en la relación de cointegración, analizando la presencia o no de cointegración en submuestras. El tercer objetivo es extraer conclusiones globales acerca de la interpretación económica de las regularidades empíricas observadas. Si al tener en cuenta la presencia de inestabilidad paramétrica el cumplimiento de la PPA se verifica en mayor medida, los resultados del presente trabajo diferirán substancialmente de los trabajos previos, que emplean las técnicas de cointegración para contrastar la PPA sin contemplar la posibilidad de cambios estructurales.
The aims of this paper are three. The first one, to analyze the cointegration relation between nominal exchange rate and international relative prices. We require not only the cointegration tests significance but the relation parameter significance with the right sing. It would support the Purchasing Power Parity (PPP) hypothesis. The second one, to examine the instability evidence and the subsamples cointegration. The third aim is to reach some global coclusions. If we provide evidence in favor of PPP using cointegration and estructural changes, the results of this paper will differentiate quite from the previous papers.
The aims of this paper are three. The first one, to analyze the cointegration relation between nominal exchange rate and international relative prices. We require not only the cointegration tests significance but the relation parameter significance with the right sing. It would support the Purchasing Power Parity (PPP) hypothesis. The second one, to examine the instability evidence and the subsamples cointegration. The third aim is to reach some global coclusions. If we provide evidence in favor of PPP using cointegration and estructural changes, the results of this paper will differentiate quite from the previous papers.
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