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