Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "8355"
  #_source: array:26 [
    "id" => "8355"
    "slug" => "purchasing-power-parity-dynamics"
    "yearMonth" => "1996-03"
    "year" => "1996"
    "title" => "Purchasing Power Parity Dynamics"
    "description" => "AFTALION, F. et INDJEHAGOPIAN, J.P. (1996). <i>Purchasing Power Parity Dynamics</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "INDJEHAGOPIAN Jean-Pierre"
        "bid" => "B00000258"
        "slug" => "indjehagopian-jean-pierre"
      ]
      1 => array:1 [
        "name" => "AFTALION Florin"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 21:00:33"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Les études menées depuis quatre vingts ans sur la validité de l'hypothèse de la parité des pouvoirs d'achat (PPA) ont donné des résultats controversés. Actuellement des techniques économétriques sophistiquées sont utilisées pour tester la validité de la PPA. Dans ce papier, nous avons appliqué la méthode de cointégration vectorielle de Johansen pour tester la PPA à long terme. Après avoir effectué des tests de racines unitaires, nous avons testé l'existence de relation d'équilibre à long terme et la validité de l'hypothèse de la PPA. Pour trois couples de pays, nous avons estimé un modèle à correction d'erreur parcimonieux et exécuté des tests d'exogénéité. L'estimation des fonctions de réponse impulsionnelle a complété ces résultats. Bien que nos investigations se soient limitées à trois couples de pays, la méthodologie utilisée semble prometteuse pour comprendre la dynamique du taux de change nominal."
      "en" => "Purchasing Power Parity (PPP) theory has been controversial for some eighty years now. Today, sophisticated econometric techniques allow us not only to make more powerful tests of its validity than was ever possible in the past, but also to give out forecasts of nominal exchange rate dynamics. 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 of these couples, we have also estimated parcimonious VECMs and performed exogeneity tests. Impulse response analyses have completed our results. Although our investigations are based on only  three exchange rates, the methodology seems to be promising for understanding nominal exchange rate dynamics."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2024-12-22T01:21:46.000Z"
    "docTitle" => "Purchasing Power Parity Dynamics"
    "docSurtitle" => "Documents de travail"
    "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, Data Analytics et Opérations</span> | <span class="document-property-year">1996</span>"
    "keywordList" => ""
    "docPreview" => "<b>Purchasing Power Parity Dynamics</b><br><span>1996-03 | Documents de travail </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Purchasing Power Parity Dynamics</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 7.248253
  +"parent": null
}