Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach

This study revisits purchasing power parity (PPP) for the G6 countries (i.e., Canada, Italy, Japan, France, Germany, the UK) using smooth time-varying cointegrating approach, proposed by Park and Hahn (Econom Theory 15:664-703, 1999). Using monthly data over the 1971M1-2013M12 period, our empirical results indicate that PPP holds in two out of six countries (i.e., France and Germany).