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It is shown that the persistence of deviations from the PPP between a set of European countries and the United States may be empirically attributed to the presence of I(2) stochastic trends in prices using Consumer Price Indices. Interestingly, the slow adjustment towards the equilibrium can be modelled through \u2018integral\u2010proportional\u2019 equilibrium correction models and this evidence can be partly reconciled with theories where the inflation rate reduces the markup of profit\u2010maximizing firms acting on imperfectly competitive markets. 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