Umtauschkurs und PPP – Warum es nicht funktioniert

Purchasing Power Parity (PPP) ist ein Konzept das auf Goods-Arbitrage basiert und wie so viele Konzepte, keine Transaktionskosten berücksichtigt, Kurz gesagt geht das Konzept davon aus, dass dann, wenn in einem Land A ein Auto die Hälfte dessen kostet, was es im Land B kostet, wobei die unterschiedlichen Preise durch den Wechselkurs abgebildet werden, Bürger aus A ihr Auto in B kaufen werden. Aufgrund des Abflusses von Geld aus A nach B, verändert sich der Wechselkurs, die Autos in B werden für Bürger aus A teurer, das Gleichgewicht wird wieder hergestellt.

Eine schöne Theorie.

Aber sie funktioniert nicht. Die Empirie verhält sich nicht entsprechend. Keith Pilbeam hat ein paar Gründe zusammengestellt, warum sie nicht funktioniert:

  1. “Frenkel (1981) shows that PPP performs better for countries that are geographically close to one another and where trade linkages are high. This is also borne out in the graphical plots – the biggest differences between the actual and PPP exchange rates are between the pound, deutschmark and yen against the dollar, while the lira and French franc rates against the deutschmark are quite accurately tracked by PPP. Not only are France, Italy and Germany in close proximity to one another, minimizing transport cost, but they are also members of the European Community so that there exist no tariff impediments to restrict trade among them.
  2. The plots of the exchange rates and PPP rates show that there have been both substantial and prolonged deviations from PPP which have frequently been reversed.
  3. Empirically, PPP holds better in the long run than in the short run. Many authors such as Ardeni and Lubian (1991) show that although PPP holds in the long run, there can be prolonged and substantial deviations in the short run; the longer run over which PPP tends to hold can be anything from 5 to 15 years.
  4. Overall, PPP holds better for traded goods than for non-traded goods, and this is confirmed in a study by Officer (1976). In addition, a striking and major empirical regularity is that non-traded goods tend to be more expensive in rich countries than in poor countries once the prices are converted in to a common currency. This latter point is quite important because the reason why a dollar buys less in the United States than in a developing country is predominantly because non-traded goods are much cheaper in developing countries than in developed countries.
  5. The currencies of countries that have very high inflation rates relative to their trading partners tend to experience rapid depreciations reflecting their relatively high inflation rates. This suggests that PPP is the dominant force in determining their exchange rates.
  6. Exchange rates have been much more volatile than the corresponding national price levels; … This again is contrary to the PPP hypothesis in which exchange rates are only supposed to be as volatile as relative prices. This latter point is quite important, exchange rate volatility seems to be considerably greater than that justified by volatility in relative national price levels, which suggests that the goods and foreign exchange markets are to some considerable extent detached from each other” (Pilbeam, 2005: Finance and Financial Markets, pp.308-309)