This paper studies the feasibility of purchasing power parity (PPP) as a long-run relationship, using quarterly data from twenty countries and two price in-dices. The econometric background of this study is one of cointegration in a context of autoregressive vectors. The different versions of PPP are defined, their economic implications stated and the relationship between the number of cointegrating vectors and the study of the real exchange rate established.
The results support the existence of a long-run relationship between the no-minal exchange rate and the price indices, althought in the majority of occa-sions this relationship does not agree with the predictions of PPP theory. From the successive tests we deduce a greater support for the monetanst ver-sion of PPP, as well as the existence of a second cointegrating vector that is only linked to prices.

Keywords: purchasing power parity, cointegration, multivariate analysis.