Purchasing Power Parity and aggregation bias for a developing country: The case of Mexico

• 成果类型: Article
• 署名作者: Robertson, Raymond; Kumar, Anil; Dutkowsky, Donald H.
• 署名单位: Macalester College; Federal Reserve System - USA; Federal Reserve Bank - Dallas; Syracuse University
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2008.11.009
• 发表日期: 2009
• 页码: 237-243
• 关键词: Purchasing Power Parity (PPP); Aggregation bias; Mexico

摘要

This paper investigates long-run Purchasing Power Parity (PPP) between the US and Mexico. We use a panel of disaggregated price data between the US and Mexico with a long time series to look at two types of aggregation bias. The first is examined in Imbs et al. - which we refer to as estimator aggregation bias - and the second is put forth by Broda and Weinstein - hereafter, data aggregation bias. The findings indicate substantial estimator aggregation bias and data aggregation bias. Although estimates using aggregate data and imposing homogeneous coefficients provide little evidence of PPP, findings with disaggregated data and heterogeneous coefficient estimators offer strong support. The results also suggest the presence of small-sample bias as examined in Chen and Engel, but with little effect on the qualitative results. Tradable goods and non-tradable goods show little distinction in convergence rates. Estimated half-lives are lower under flexible than fixed exchange rates and indicate rapid convergence during the Mexican peso crisis. (C) 2008 Elsevier B.V. All rights reserved