TY  - JOUR
AU  - Imbs,Jean
AU  - Mumtaz,Haroon
AU  - Ravn,Morten O.
AU  - Rey,Hélène
TI  - "Aggregation Bias" DOES Explain the PPP Puzzle
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11607
PY  - 2005
Y2  - September 2005
UR  - http://www.nber.org/papers/w11607
L1  - http://www.nber.org/papers/w11607.pdf
N1  - Author contact info:
Jean Imbs
Paris School of Economics
48 boulevard Jourdan
Paris 75014
E-Mail: jeanimbs@gmail.com

Haroon Mumtaz
Bank of England
London UK
E-Mail: hmumtaz@london.edu

Morten Ravn
Department of Economics
University College London
London WC1E 6BT
UK
E-Mail: morten.ravn@eui.eu

Helene Rey
London Business School
Regents Park
London NW1 4SA
UNITED KINGDOM
Tel: 44 2070008412
E-Mail: hrey@london.edu
M2  - featured in NBER digest on 2005-09-19
AB  - This article summarizes our views on the role of an "aggregation bias" in explaining the PPP Puzzle, in response to the several papers recently written in reaction to our initial contribution. We discuss in particular the criticisms of Imbs, Mumtaz, Ravn and Rey (2002) presented in Chen and Engel (2005). We show that their contentions are based on: (i) analytical counter-examples which are not empirically relevant; (ii) simulation results minimizing the extent of "aggregation bias"; (iii) unfounded claims on the impact of measurement errors on our results; and (iv) problematic implementation of small-sample bias corrections. We conclude, as in our original paper, that "aggregation bias" goes a long way towards explaining the PPP puzzle.
ER  -