{"product_id":"purchasing-power-parity-balanced-growth-and-volatility-forecasting-an-application-of-recent-developments-in-time-series-analysis","title":"Purchasing Power Parity, Balanced Growth, and Volatility Forecasting: An Application of Recent Developments in Time Series Analysis","description":"\u003cp\u003eI use recent advance in statistics and econometrics in an effort to re-test some well-known theoretical propositions, examine whether those new techniques support the theory, provide models that are better fitted to describe and forecast economic time-series. The Purchasing Power Parity theory is tested using the Fisher and Seater (1993) and King and Watson (1997) methodologies and strong evidence in support of PPP is found. I use the general class of ARCH\/GARCH processes to model financial time series in an ARIMA framework and the best fitted models outperform traditional ARIMA models in terms of the forecast variance. Finally, I test the balanced growth theory and try to estimate a money demand function using the Johansen and Juselius (1993) methodology. I do not find evidence in support of the balanced growth theory and a stable money demand function, and these results are not sensitive to different monetary aggregates that are constructed according to recent index number theory.\u003c\/p\u003e","brand":"Periklis Gogas","offers":[{"title":"Paperback","offer_id":44420309876897,"sku":"9781312750142","price":30.01,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0462\/1120\/3233\/files\/1zk656en-front-shortedge-384_0fc32d79-5b07-4714-a33f-ff4c3a9e996e.jpg?v=1748036440","url":"https:\/\/bookswholesale.myshopify.com\/products\/purchasing-power-parity-balanced-growth-and-volatility-forecasting-an-application-of-recent-developments-in-time-series-analysis","provider":"BooksWholesale","version":"1.0","type":"link"}