{"id":"https://openalex.org/W2165774948","doi":"https://doi.org/10.1002/jae.2418","title":"On the Empirical Failure of Purchasing Power Parity Tests","display_name":"On the Empirical Failure of Purchasing Power Parity Tests","publication_year":2014,"publication_date":"2014-09-19","ids":{"openalex":"https://openalex.org/W2165774948","doi":"https://doi.org/10.1002/jae.2418","mag":"2165774948"},"language":"en","primary_location":{"id":"doi:10.1002/jae.2418","doi":"https://doi.org/10.1002/jae.2418","is_oa":false,"landing_page_url":"https://doi.org/10.1002/jae.2418","pdf_url":null,"source":{"id":"https://openalex.org/S85739584","display_name":"Journal of Applied Econometrics","issn_l":"0883-7252","issn":["0883-7252","1099-1255"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","jufo-2","ki-jl-2","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Econometrics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5041483987","display_name":"Matteo Maria Pelagatti","orcid":"https://orcid.org/0000-0002-1860-7535","observed_orcids":["https://orcid.org/0000-0002-1860-7535"]},"institutions":[{"id":"https://openalex.org/I66752286","display_name":"University of Milano-Bicocca","ror":"https://ror.org/01ynf4891","country_code":"IT","type":"education","lineage":["https://openalex.org/I66752286"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Matteo Pelagatti","raw_affiliation_strings":["Department of Economics, Management and Statistics Universit\u00e0 degli Studi di Milano\u2010Bicocca  Milan Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Management and Statistics Universit\u00e0 degli Studi di Milano\u2010Bicocca  Milan Italy","institution_ids":["https://openalex.org/I66752286"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013367449","display_name":"Emilio Colombo","orcid":"https://orcid.org/0000-0002-0646-5680","observed_orcids":["https://orcid.org/0000-0002-0646-5680"]},"institutions":[{"id":"https://openalex.org/I66752286","display_name":"University of Milano-Bicocca","ror":"https://ror.org/01ynf4891","country_code":"IT","type":"education","lineage":["https://openalex.org/I66752286"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Emilio Colombo","raw_affiliation_strings":["Department of Economics, Management and Statistics Universit\u00e0 degli Studi di Milano\u2010Bicocca  Milan Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Management and Statistics Universit\u00e0 degli Studi di Milano\u2010Bicocca  Milan Italy","institution_ids":["https://openalex.org/I66752286"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5041483987"],"corresponding_institution_ids":["https://openalex.org/I66752286"],"apc_list":{"value":4030,"currency":"USD","value_usd":4030},"apc_paid":null,"fwci":0.9362,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.86687586,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"30","issue":"6","first_page":"904","last_page":"923"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9932000041007996,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9932000041007996,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0017000000225380063,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/purchasing-power-parity","display_name":"purchasing power parity","score":0.9990000128746033},{"id":"https://openalex.org/keywords/real-exchange-rate","display_name":"real exchange rate","score":0.8999999761581421},{"id":"https://openalex.org/keywords/consumer-price-index","display_name":"consumer price index","score":0.9409999847412109},{"id":"https://openalex.org/keywords/law-of-one-price","display_name":"law of one price","score":0.9620000123977661},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"mean reversion","score":0.8920000195503235},{"id":"https://openalex.org/keywords/unit-root-tests","display_name":"unit root tests","score":0.7519999742507935},{"id":"https://openalex.org/keywords/stationarity","display_name":"stationarity","score":0.8690000176429749},{"id":"https://openalex.org/keywords/integrated-process","display_name":"integrated process","score":0.4830000102519989}],"concepts":[{"id":"https://openalex.org/C109888216","wikidata":"https://www.wikidata.org/wiki/Q82135","display_name":"Purchasing power parity","level":3,"score":0.9521280527114868},{"id":"https://openalex.org/C195561663","wikidata":"https://www.wikidata.org/wiki/Q1307899","display_name":"Unit root","level":2,"score":0.7097430229187012},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7089882493019104},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6944101452827454},{"id":"https://openalex.org/C178131030","wikidata":"https://www.wikidata.org/wiki/Q631360","display_name":"Price index","level":2,"score":0.5985379219055176},{"id":"https://openalex.org/C191988596","wikidata":"https://www.wikidata.org/wiki/Q628374","display_name":"Null hypothesis","level":2,"score":0.5941727757453918},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.5868428945541382},{"id":"https://openalex.org/C120936955","wikidata":"https://www.wikidata.org/wiki/Q2155640","display_name":"Empirical research","level":2,"score":0.5363326072692871},{"id":"https://openalex.org/C79850504","wikidata":"https://www.wikidata.org/wiki/Q1364085","display_name":"Law of one price","level":4,"score":0.4555862545967102},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.43572869896888733},{"id":"https://openalex.org/C69048361","wikidata":"https://www.wikidata.org/wiki/Q7310798","display_name":"Relative purchasing power parity","level":4,"score":0.42569267749786377},{"id":"https://openalex.org/C144341231","wikidata":"https://www.wikidata.org/wiki/Q7887151","display_name":"Unit root test","level":3,"score":0.41232308745384216},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.35852348804473877},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.22075805068016052},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.19855165481567383},{"id":"https://openalex.org/C34881761","wikidata":"https://www.wikidata.org/wiki/Q1936341","display_name":"Price level","level":2,"score":0.19534963369369507},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.16379454731941223},{"id":"https://openalex.org/C162889289","wikidata":"https://www.wikidata.org/wiki/Q6841075","display_name":"Mid price","level":3,"score":0.1177574098110199},{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.07463628053665161}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1002/jae.2418","doi":"https://doi.org/10.1002/jae.2418","is_oa":false,"landing_page_url":"https://doi.org/10.1002/jae.2418","pdf_url":null,"source":{"id":"https://openalex.org/S85739584","display_name":"Journal of Applied Econometrics","issn_l":"0883-7252","issn":["0883-7252","1099-1255"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","jufo-2","ki-jl-2","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Econometrics","raw_type":"journal-article"},{"id":"pmh:oai:boa.unimib.it:10281/80380","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10281/80380","pdf_url":null,"source":{"id":"https://openalex.org/S4306401259","display_name":"BOA (University of Milano-Bicocca)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I66752286","host_organization_name":"University of Milano-Bicocca","host_organization_lineage":["https://openalex.org/I66752286"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321610","display_name":"Universit\u00e0 degli Studi di Milano-Bicocca","ror":"https://ror.org/01ynf4891"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":52,"referenced_works":["https://openalex.org/W59492490","https://openalex.org/W185799072","https://openalex.org/W1541722356","https://openalex.org/W1588163064","https://openalex.org/W1972861819","https://openalex.org/W1974786193","https://openalex.org/W1975994995","https://openalex.org/W1997778139","https://openalex.org/W1999063058","https://openalex.org/W2014245578","https://openalex.org/W2026633474","https://openalex.org/W2028500418","https://openalex.org/W2040641659","https://openalex.org/W2049752238","https://openalex.org/W2052827830","https://openalex.org/W2066991364","https://openalex.org/W2069995130","https://openalex.org/W2074231424","https://openalex.org/W2094508323","https://openalex.org/W2108446661","https://openalex.org/W2120292447","https://openalex.org/W2120380599","https://openalex.org/W2124211743","https://openalex.org/W2128414113","https://openalex.org/W2142316428","https://openalex.org/W2149292156","https://openalex.org/W2153873215","https://openalex.org/W2159541381","https://openalex.org/W2166484226","https://openalex.org/W2170301873","https://openalex.org/W2496601513","https://openalex.org/W2571184339","https://openalex.org/W2736567095","https://openalex.org/W2799624954","https://openalex.org/W2889830401","https://openalex.org/W2890554530","https://openalex.org/W2890840156","https://openalex.org/W2891528170","https://openalex.org/W2891641280","https://openalex.org/W3022817419","https://openalex.org/W3121401917","https://openalex.org/W3121418714","https://openalex.org/W3121616071","https://openalex.org/W3121888640","https://openalex.org/W3122568378","https://openalex.org/W3123185352","https://openalex.org/W3123779383","https://openalex.org/W3124669953","https://openalex.org/W3125911177","https://openalex.org/W3143518984","https://openalex.org/W4230644069","https://openalex.org/W4300647011"],"related_works":["https://openalex.org/W1486558913","https://openalex.org/W7067177466","https://openalex.org/W2112451354","https://openalex.org/W2035162029","https://openalex.org/W2004975329","https://openalex.org/W1976567375","https://openalex.org/W2151578121","https://openalex.org/W2323717225","https://openalex.org/W1502252302","https://openalex.org/W3138522934"],"abstract_inverted_index":{"Summary":[0],"Empirical":[1],"research":[2],"on":[3,16],"the":[4,7,22,44],"validity":[5],"of":[6,46],"purchasing":[8],"power":[9],"parity":[10],"(PPP)":[11],"condition":[12],"is":[13],"generally":[14],"based":[15],"real":[17,55],"exchange":[18,56],"rates":[19,57],"built":[20],"using":[21],"consumer":[23],"price":[24,48],"index":[25],"(CPI),":[26],"but":[27],"fails":[28],"to":[29,33],"provide":[30],"clear":[31],"support":[32],"PPP.":[34],"In":[35],"this":[36],"paper":[37],"we":[38],"show":[39],"theoretically":[40],"that,":[41],"even":[42],"if":[43],"law":[45],"one":[47],"(LOP)":[49],"holds":[50],"for":[51],"traded":[52],"goods,":[53],"CPI\u2010based":[54],"are":[58,63,82],"not":[59],"mean":[60],"reverting,":[61],"and":[62,72,87],"neither":[64],"stationary":[65],"nor":[66],"integrated.":[67],"Therefore,":[68],"both":[69,84],"unit":[70],"root":[71],"stationarity":[73],"tests":[74],"should":[75],"reject":[76],"their":[77],"null.":[78],"Our":[79],"theoretical":[80],"results":[81],"validated":[83],"by":[85],"simulations":[86],"an":[88],"empirical":[89],"application.":[90],"Copyright":[91],"\u00a9":[92],"2014":[93],"John":[94],"Wiley":[95],"&":[96],"Sons,":[97],"Ltd.":[98]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}