PURCHASING POWER PARITY TESTS IN COINTEGRATED PANELS: EVIDENCE FROM NEWLY INDUSTRIALIZED COUNTRIES
5
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This paper examines the long-run purchasing power parity (PPP) by testing for unit roots in real exchange rates of 10 newly industrialized countries (NICs) during the period 1980-2013. Alternatively, this paper examines the long-run PPP by evaluating the cointegration between nominal exchange rates and price ratios of the NICs. The Pesaran (2007) unit root test results support the evidence of long-run PPP during the period 1980-1990; however, during the other sub-periods, the results invalidate the long-run PPP. We find that the evidence against the unit root hypothesis is stronger for larger than small samples, for monthly than quarterly data. Moreover, the results suggest the mere evidence of strong PPP and also suggest that the speed at which the real exchange rates restore to equilibrium is relatively slow during the period 1991-2000.
Abstract
This paper examines the long-run purchasing power parity (PPP) by testing for unit roots in real exchange rates of 10 newly industrialized countries (NICs) during the period 1980-2013. Alternatively, this paper examines the long-run PPP by evaluating the cointegration between nominal exchange rates and price ratios of the NICs. The Pesaran (2007) unit root test results support the evidence of long-run PPP during the period 1980-1990; however, during the other sub-periods, the results invalidate the long-run PPP. We find that the evidence against the unit root hypothesis is stronger for larger than small samples, for monthly than quarterly data. Moreover, the results suggest the mere evidence of strong PPP and also suggest that the speed at which the real exchange rates restore to equilibrium is relatively slow during the period 1991-2000.
참고문헌 (40)
- Abuaf, N., "Purchasing Power Parity in the Long Run", Journal of Finance, 45, pp.157~174 (1990)
- Adler, M., "Deviations from Purchasing Power Parity in the Long Run", Journal of Finance, 38, pp.1471~1487 (1983)
- Cointegration in Panel Data with Breaks and Cross Section Dependence, "Banerjee, A.", ECB, ~, pp.ECB Working Paper No. 591 (2006)
- Bilson, J. F. O., "The Economics of Exchange Rates" (1978), Routledge
- Bożyk, P., "Globalization and the Transformation of Foreign Economic Policy" (2006), Ashgate Publishing
- Breitung, J., "Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Advances in Econometrics Vol. 15" (2000), JAI
- Chang, T., "Purchasing Power Parity in Nine Transition Countries : Panel SURKSS Test", International Journal of Finance and Economics, 18, pp.74~81 (2013)
- Diebold, F. X., "Real Exchange Rates under the Gold Standard", Journal of Political Economy, 99, pp.1252~1271 (1991)
- Dornbusch, R., "Expectations and Exchange Rate Dynamics", Journal of Political Economy, 84, pp.1161~1176 (1976)
- Edison, H. J., "A Reassessment of the Relationship between Real Exchange Rates and Real Interest Rates : 1974-1990", Journal of Monetary Economics, 31, pp.165~187 (1993)
- Elliot, G., "Efficient Tests for an Autoregressive Unit Root", Econometrica, 64, pp.813~836 (1996)
- Frankel, J., "The Collapse of Purchasing Power Parity during the 1970s", European Economic Review, 16, pp.145~165 (1981)
- Frenkel, J. A., "A Monetary Approach to the Exchange Rate : Doctrinal Aspects and Empirical Evidence", Scandinavian Journal of Economics, 78(2), pp.200~224 (1976)
- Froot, K. A., "Handbook of International Economics" (1995), Elsevier
- Guillén, M. F., "The Limits of Convergence" (2003), Princeton University Press
- Holmes, M. J., "New Evidence on Real Exchange Rate Stationarity and Purchasing Power Parity in Less Developed Countries", Journal of Macroeconomics, 23, pp.601~614 (2001)
- Holmes, M. J., "Does Long-run Real Interest Parity hold among EU Countries? Some New Panel Data Evidence", Quarterly Review of Economics and Finance, 42, pp.733~746 (2002)
- Im, K. S., "Testing for Unit Roots in Heterogeneous Panels", Journal of Econometrics, 115, pp.53~74 (2003)
- Kao, C., "Spurious Regression and Residual-Based Tests for Cointegration in Panel Data", Journal of Econometrics, 90, pp.1~44 (1999)
- Kim, B., "Are Asian Countries’ Current Accounts Sustainable? Deficits, Even When Associated with the High Investment, are not Costless", Journal of Policy Modeling, 31, pp.163~179 (2009)
- Kim, H., "Panel Cointegration Results on International Capital Mobility in Asian Economies", Journal of International Money and Finance, 24, pp.71~82 (2005)
- Lau, E., "Current Account: Mean Reverting or Random Walk Behavior?", Japan and the World Economy, 18, pp.90~107 (2006)
- Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties, "Levin, A.", University of California at San Diego, 92~93 (1992)
- Unit Root Test in Panel Data: New Results, "Levin, A.", University of California at San Diego, 93~96 (1993)
- Levin, A., "Unit Root Tests in Panel Data : Asymptotic and Fnite-sample Properties", Journal of Econometrics, 108, pp.1~24 (2002)
- MacDonald, R., "Panel Unit Root Tests and Real Exchange Rates", Economics Letters, 50, pp.7~11 (1996)
- Maddala, G., "A Comparative Study of Unit Root Tests and a New Simple Test", Oxford Bulletin of Economics and Statistics, 61, pp.631~652 (1999)
- A Computationally Simple Cointegration Vector Estimator for Panel Data, "Mark, N. C.", Ohio State University, ~ (1999)
- Mark, N. C., "Real and Nominal Exchange Rates in the Long Run : An Empirical Investigation", Journal of International Economics, 28, pp.115~136 (1990)
- Oh, K. Y., "Purchasing Power Parity and Unit Root Tests using Panel Data", Journal of International Money and Finance, 15, pp.405~418 (1996)
- Patel, J., "Purchasing Power Parity as a Long-Run Relation", Journal of Applied Econometrics, 5, pp.367~379 (1990)
- Pedroni, P., "Panel Cointegration : Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis", Econometric Theory, 20, pp.597~625 (2004)
- Pedroni, P., "Purchasing Power Parity in Cointegrated Panels", Review of Economics and Statistics, 83(4), pp.727~731 (2001)
- Perron, P., "Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties", Review of Economic Studies, 63, pp.435~465 (1996)
- Pesaran, M. H., "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence", Journal of Applied Econometrics, 27, pp.265~312 (2007)
- Rogoff, K., "The Purchasing Power Parity Puzzle", Journal of Economic Literature, 34(2), pp.647~668 (1996)
- Roll, R., "International Finance and Trade" (1979), Ballinger
- Waugh, D., "Geography, an Integrated Approach" (2000), Oxford University Press
- Westerlund, J., "Testing for Error Correction in Panel Data", Oxford Bulletin of Economics and Statistics, 69, pp.709~748 (2007)
- Wu, Y., "Are Real Exchange Rates Nonstationary? Evidence from a Panel-data Test", Journal of Money Credit and Banking, 28, pp.54~63 (1996)