Evidence of long-run purchasing power parity: analysis of real asian exchange rates in terms of the Japanese yen

Japan and the World Economy - Tập 12 - Trang 351-361 - 2000
Raj Aggarwal1, Antonio Montañés2, Monserrat Ponz2
1John Carroll University, Cleveland, OH 44118, USA
2Departamento de Analisis Económico, Facultad de Ciencias Económicas y Empresariales, University of Zaragoza, Gran Vı́a 2, 50005 Zaragoza, Spain

Tài liệu tham khảo

Abuaf, 1990, Purchasing power parity in the long run, Journal of Finance, 45, 157, 10.2307/2328814 Aggarwal, 1997, Cointegration among asian currencies: evidence of the increasing influence of the Japanese yen, Japan and the World Economy, 8, 291, 10.1016/0922-1425(96)88806-2 Aggarwal, 1998, Common stochastic trends among asian currencies: evidence for Japan, Aseans and Asian Tigers, Review of Quantitative Finance and Accounting, 10, 193, 10.1023/A:1008247823487 Cheung, 1998, Economic growth and stationarity of real exchange rates: evidence from some fast-growing Asian countries, Pacific-Basin Finance Journal, 6, 61, 10.1016/S0927-538X(98)00003-1 Clemente, 1998, Testing for a unit root in variable with two changes in the mean, Economic Letters, 59, 175, 10.1016/S0165-1765(98)00052-4 Diebold, 1991, Real exchange rates under the gold standard, Journal of Political Economy, 99, 1252, 10.1086/261799 Dropsy, 1996, Real exchange rates and structural breaks, Applied Economics, 28, 209, 10.1080/000368496328849 Edison, 1997, Understanding the empirical literature on purchasing power parity: the post-bretton woods era, Journal of International Money and Finance, 16, 1, 10.1016/S0261-5606(96)00046-0 Frankel, J.A., 1990. Zen and the art of macroeconomics: a commentary, in: Haraf, W.S., Willett, T.D. (Eds.), Monetary Policy for a Volatile World, American Enterprise Institute, Washington, DC, pp. 117–123. Frankel, J.A., Rose, A.K., 1995. A panel project on purchasing power parity: mean reversion within and between countries. NBER. Working Paper no. 5006. Froot, K.A., Rogoff, K., 1995. Perspectives on PPP and long-run exchange rates in: Grossman, G., Rogoff, K. (Eds.), Handbook of International Economics, Elsevier, Amsterdam, pp. 1647-88. Glen, 1992, Real exchange rates in the short, medium, and long run, Journal of International Economics, 33, 147, 10.1016/0022-1996(92)90054-N Gregory, 1996, Residual based tests for cointegration in models with Regime-Shifts, Journal of Econometrics, 72, 99, 10.1016/0304-4076(69)41685-7 Hegwood, 1997, Quasi purchasing power parity, International Journal of Finance and Economics, 3, 279, 10.1002/(SICI)1099-1158(199810)3:4<279::AID-IJFE83>3.0.CO;2-K Lothian, 1997, Multi-country evidence on the behaviour of purchasing power parity under the current float, Journal of International Money and Finance, 16, 19, 10.1016/S0261-5606(96)00047-2 Michael, 1997, Transactions costs and nonlinear adjustment in real exchange rates and empirical investigation, Journal of Political Economy, 105, 862, 10.1086/262096 Montañés, A., 1999. Level shifts, unit roots and the purchasing power parity, Working paper, University of Zaragoza. Montañés, A., Reyes, M., 1997. Testing for unit roots in a variable with a change in the mean: a new pseudo F-ratio test, Working paper, University of Zaragoza. Montañés, 1998, Effect of a shift in the trend function on the Dickey-Fuller unit root tests, Econometric Theory, 14, 355, 10.1017/S0266466698143049 Mussa, 1986, Nominal exchange rate regimes, Nominal exchange rate regimes and the behaviour of real exchange rates Carnegie-Rochester series in public policy, 25, 117 Ng, 1995, Unit root tests — ARIMA Models with data-dependent method for selection of the truncation lag, Journal of American Statistical Association, 90, 268, 10.2307/2291151 Perron, 1989, The great crash, the oil shock and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712 Perron, 1990, Testing for a unit root in time series with a changing mean, Journal of Business and Economic Statistics, 8, 153, 10.2307/1391977 Perron, 1992, Nonstationarity and level shifts with an application to purchasing power parity, Journal of Business and Economic Statistics, 10, 301, 10.2307/1391544 Rogoff, 1996, The purchasing power parity puzzle, Journal of Economic Literature, 34, 647 Tse, 1997, The cointegration of Asian currencies revisited, Japan and the World Economy, 9, 109, 10.1016/S0922-1425(96)00239-3