Essec\Faculty\Model\Contribution {#2205
  #_index: "academ_contributions"
  #_id: "5002"
  #_source: array:26 [
    "id" => "5002"
    "slug" => "purchasing-power-parity-dynamics"
    "yearMonth" => "1996-03"
    "year" => "1996"
    "title" => "Purchasing Power Parity Dynamics"
    "description" => "AFTALION, F. et INDJEHAGOPIAN, J.P. (1996). Purchasing Power Parity Dynamics. Dans: <i>Forecasting Financial Markets - New Advances for Exchange Rates, Interest Rates and Asset Management</i>. Chemical Bank, Imperial College, pp. 1-9."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "INDJEHAGOPIAN Jean-Pierre"
        "bid" => "B00000258"
        "slug" => "indjehagopian-jean-pierre"
      ]
      1 => array:1 [
        "name" => "AFTALION Florin"
      ]
    ]
    "ouvrage" => "Forecasting Financial Markets - New Advances for Exchange Rates, Interest Rates and Asset Management"
    "keywords" => []
    "updatedAt" => "2021-04-19 17:57:25"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "1-9"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Actes d'une conférence"
      "en" => "Conference Proceedings"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Depuis quatre vingts ans les études faites sur la parité des pouvoirs d'achat (PPA) ont donné lieu à des résultats controversés. Dans ce papier, nous utilisons la procédure de cointégration de Johansen pour tester la validité de la PPA sur 12 couples de pays. Pour trois couples de pays, nous analysons plus précisément les relations de cointégration et estimons des modèles à correction d'erreur parcimonieux. Le calcul des fonctions de réponse impulsionnelle est aussi effectué. Cette méthodologie, bien que limitée à trois couples, paraît prometteuse pour comprendre la dynamique du taux de change."
      "en" => "Purchasing Power Parity (PPP) theory has been controversial for some eighty years now. Today, sophisticated econometric techniques allow not only for more powerful tests of its validity than was ever possible in the past, but also forecasts of nominal exchange rate dynamics to be made. In this paper we have essentially applied Johansen's multi-cointegration technique. After running unit root tests we have checked PPP's validity for 12 couples of countries and computed cointegration vectors. For three couples we have also estimated parsimonious VECMs and performed exogeneity tests. Impulse response analyses have complemented our results. Although our investigations are limited to three exchange rates, the methodology seems promising for understanding nominal exchange rate dynamics."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-23T16:21:57.000Z"
    "docTitle" => "Purchasing Power Parity Dynamics"
    "docSurtitle" => "Actes d'une conférence"
    "authorNames" => "<a href="/cv/indjehagopian-jean-pierre">INDJEHAGOPIAN Jean-Pierre</a>, AFTALION Florin"
    "docDescription" => "<span class="document-property-authors">INDJEHAGOPIAN Jean-Pierre, AFTALION Florin</span><br><span class="document-property-authors_fields">Systèmes d’Information, Sciences de la Décision et Statistiques</span> | <span class="document-property-year">1996</span>"
    "keywordList" => ""
    "docPreview" => "<b>Purchasing Power Parity Dynamics</b><br><span>1996-03 | Actes d'une conférence </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Purchasing Power Parity Dynamics</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 7.175804
  +"parent": null
}