논문KCI 등재
Testing of Purchasing Power Parity Theory Using the Doubly Truncated ARMA-GARCH Model and MCMC Algorithms
경제연구소 (Hanyang Economic Research Institute)|2003.11|Journal of Economic Research (JER)|제8권 제2호|pp. 111-138
0
조회
0
다운로드
0
인용
0
참고문헌
주제분류경제학
초록
Abstract
Using a Markov Chain Monte Carlo algorithm, we show that theexchange rates of the Baht and of the Won are explained by thepurchasing power parity theory when we incorporate the facts thatthese currencies were doubly truncated.
관련 논문AI추천
Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed CountriesMarkJ.Holmes경제연구소 · Journal of Economic Development2002 · 제27권 제1호A Bivariate ARFIMA-IGARCH-M Modelling of the Effects of Uncertainty on Inflation and Output Growth정상국경제연구소 · Seoul Journal of Economics2002 · 제15권 제1호Testing PPP for Asian Countries Using Panel Cointegration심성훈한국아시아학회 · 아시아연구2008 · 제11권 제1호TESTING THE VALIDITY OF PURCHASING POWER PARITY FOR ASIAN COUNTRIES DURING THE CURRENT FLOATSALAHA.NUSAIR경제연구소 · Journal of Economic Development2003 · 제28권 제2호The Yen Real Exchange Rate May Not be Stationary After All: New Evidence from Non-linear Unit-Root Tests김형우, 모영규한국은행 · 경제분석2012 · 제18권 제4호PURCHASING POWER PARITY TESTS IN COINTEGRATED PANELS: EVIDENCE FROM NEWLY INDUSTRIALIZED COUNTRIESSMRUTI RANJAN BEHERA경제연구소 · Journal of Economic Development2019 · 제44권 제1호
이 간행물의 다른 논문 (4건)
Financing Modes and Information Structure: Single Round Financing vs. Staged FinancingCheolParkpp. 139-167Lender Liability and Cleanup Procedure: A ComparisonHiroshiOsano, MamiKobayashipp. 169-178On the Interconnection of Networks and Gains from Trade in Business ServicesToruKikuchipp. 179-186The Effect of Dynamic Density Externalities on City Growth in Korea구영완, 심성훈pp. 203-211