Does extracting inflation from stock returns solve the purchasing power parity puzzle? (Emp Econ 2012)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Shiu-Sheng Chen Does extracting inflation from stock returns solve the purchasing power parity puzzle? Emp Econ 2012 3 1097 - 1105 F31, E31 Purchasing power parity, Inflation, Long-run PPP puzzle

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
0 - not available online 0 - not available online 0 - not available online augmented, Dickey-Fuller test, Phillips–Perron (PP) test, Generalized least squares (GLS), Ordinary least squares (OLS), cross-sectionally augmented DF (CADF) regression Macro, Panel official CPI data from, IMF International Financial Statistics (IFS), 1983 to 1999 for Japan, from 1986 to 1999 for the UK, from 1988 to 1999 for Germany Japan, UK, Germany, USA -

This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Bhagwan Chowdhry, Richard Roll, Yihong Xia Extracting Inflation from Stock Returns to Test Purchasing Power Parity AER 2005 1 255 - 276 F31, G15 - 3 - reproduction (new methods) 4 - partially successful 3 - final dataset can be exactly replicated from raw data 2 - partly -

References

DOI: 10.1007/s00181-010-0435-y IDEAS: a/spr/empeco/v42y2012i3p1097-1105.html EconPapers: RePEc:spr:empeco:v:42:y:2012:i:3:p:1097-1105


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