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Purcharsing power parity theory in the context of the euro currency
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Resumo(s)
O foco desta tese é na teoria da paridade do poder de compra (PPC) no contexto do Euro entre 1999 até 2016. Esta teoria tem em vista a ligação entre as taxas de câmbio, juro e inflação. Assim, pretende-se saber se com a eliminação da taxa de câmbio, a teoria de PPC é consistente com a ligação entre taxa de juro e taxa de inflação para os países da Zona Euro.
Para este estudo a amostra contém doze países com informações entre 1999 até 2016. Os países presentes na amostra são: Austria, Bélgica, Finlândia, França, Alemanha, Grécia, Irelanda, Itália, Luxemburgo, Holanda, Portugal e Espanha.
Verifica-se que apesar de apesar de não haver grandes oscilações num periodo inicial à entrada da moeda única, a taxa de juro e a taxa de inflação sofreram posteriormente uma variação considerável entre os países da amostra. Estas observações podem questionar assim a validade da teoria do PPC no contexto do Euro.
This thesis focuses on the purchasing power parity (PPP) theory in the context of the euro from 1999 to 2016. PPP suggests a specific association between exchange, inflation and interest rates. The euro has eliminated exchange rates among participating countries. We inquire whether the elimination of the exchange rate could be reflected, similar to the inflation and interest rates of euro-area countries, consistent with PPP. The study has followed a panel of twelve countries from the introduction of the euro in 1999 until 2016. These countries are Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Spain. The findings show that after an initial period of similarity, and despite the elimination of exchange rates among these countries, inflation and especially country-level interest rates have exhibited a great degree of divergence. Therefore, these results may question the validity of the relationships PPP predicts in the context of the euro. Although the exchange rate between these countries remained the same, inflation and interest rates did not.
This thesis focuses on the purchasing power parity (PPP) theory in the context of the euro from 1999 to 2016. PPP suggests a specific association between exchange, inflation and interest rates. The euro has eliminated exchange rates among participating countries. We inquire whether the elimination of the exchange rate could be reflected, similar to the inflation and interest rates of euro-area countries, consistent with PPP. The study has followed a panel of twelve countries from the introduction of the euro in 1999 until 2016. These countries are Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Spain. The findings show that after an initial period of similarity, and despite the elimination of exchange rates among these countries, inflation and especially country-level interest rates have exhibited a great degree of divergence. Therefore, these results may question the validity of the relationships PPP predicts in the context of the euro. Although the exchange rate between these countries remained the same, inflation and interest rates did not.
Descrição
Mestrado em Mathematical Finance
Palavras-chave
taxa de câmbio taxa de juro taxa de inflação estacionariedade cointegração raízes unitárias paridade de poder e compra Exchange rate interest rate inflation rate stationarity cointegration, unit roots purchasing power parity
Contexto Educativo
Citação
Coelho, Afonso Salgado Porto (2017). "Purcharsing power parity theory in the context of the euro currency". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão