Abstract

LAURENTE BLANCO, Luis Francisco  and  MACHACA HANCCO, Froylan. Econometrical analysis of the purchasing power parity in Peru. Investigación y Negocios [online]. 2020, vol.13, n.22, pp.57-69. ISSN 2521-2737.

Abstract Peru is a small economy and open to the world that depends heavily on transactions with its business partners and is exposed to financial shocks such as those created by the financial crisis of 2008. This research aims to ver-ify the validity of the Purchasing Power Parity between Peru and the US forthe period 2000-2018. Forthe analysis, the Johansen methodology is used forthe contrast of cointegration relationships and the VAR methodology for the modification of long-term parameters. The results reveal that the hypothesis of the Purchasing Power Parity for the Peruvian currency and the dollar is not fulfilled in any of its proposed functional forms, because the parameters estimated for both cases are different from the unit rejected by the hypothesis of long-term market efficiency for Peru and the US.

Keywords : Cointegration; long term; VAR; price index.

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