Abstract
We reexamine long-run purchasing power parity (PPP) for the Dollar/Sterling exchange rate in the 1920s using a three-variable cointegration regression and the new statistics tabulated by Engle and Yoo (1987). Consistent with Taylor and McMahon's (1988) results, we reject cointegration for the Dollar/Sterling exchange rate, the U.K. and the U.S.A. price levels for the sample period February 1921 to May 1925. Contrary to Taylor and McMahon, however, we find only weak evidence of cointegration for the shorter sample period February 1921 to May 1924.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
