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TESTING THE VALIDITY OF PURCHASING POWER PARITY FOR ASIAN COUNTRIES DURING THE CURRENT FLOAT

SALAHA.NUSAIR
경제연구소 (Hanyang Economic Research Institute)|2003.12|Journal of Economic Development|제28권 제2호|pp. 129-147

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참고문헌

주제분류경제학

초록

Abstract

Previous studies on purchasing power parity (PPP), using unit root tests, have tested either the null hypothesis of a unit root or the null of stationary real exchange rate. It has been argued that using either approach is insufficient to confirm the existence or non-existence of PPP. To strengthen inferences made about a series, the two approaches should be applied within the same study. In contrast to previous studies undertaken to test PPP in developing countries, this paper tests PPP for a sample of developing countries in the Asian financial crisis countries during the current float. The paper applies the ADF and PP tests to test the null of a unit root and the newly developed KPSS test to test the null of stationarity. The null of a unit root can be rejected for Indonesia, Korea and Thailand. We cannot reject the null of stationarity for all countries except for Singapore. Joint testing of both nulls confirms stationarity for Indonesia and Korea. The impact of the Asian financial crisis on the behavior of the real exchange rates in the crisis countries is examined using Perron’s unit root test that accounts for potential structural breaks. The results indicate evidence of stationarity for Indonesia, Korea, Malaysia, and Thailand.

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관련 논문AI추천

Testing PPP for Asian Countries Using Panel Cointegration심성훈한국아시아학회 · 아시아연구2008 · 제11권 제1호Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed CountriesMarkJ.Holmes경제연구소 · Journal of Economic Development2002 · 제27권 제1호Equilibrium Exchange Rates in Asian CurrenciesHideki Toya, Tatsuji Makino, Tsutomu Miyagawa경제연구소 · Seoul Journal of Economics2004 · 제17권 제4호PURCHASING POWER PARITY TESTS IN COINTEGRATED PANELS: EVIDENCE FROM NEWLY INDUSTRIALIZED COUNTRIESSMRUTI RANJAN BEHERA경제연구소 · Journal of Economic Development2019 · 제44권 제1호Exchange Rate Regimes in East Asia After the Crisis: Implications from Intra-Daily DataSanae Ohno, Shin-ichi Fukuda경제연구소 · Seoul Journal of Economics2003 · 제16권 제2호Time-varying Cointegration Models and Exchange Rate Predictability in Korea박수경, 박철범한국개발연구원 · KDI Journal of Economic Policy2015 · 제37권 제4호

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