Baharumshah, Ahmad Zubaidi and Aggarwal, Raj and Chan, Tze-Haw (2005): East Asian Real Exchange Rates and PPP: New Evidence from panel-data tests. Forthcoming in: Global Economic Review
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Abstract: This paper empirically tests purchasing power parity (PPP) using panel unit root designed for heterogeneous panels. Monthly data of six East Asian countries (South Korea, Thailand, Indonesia, Malaysia, Singapore and the Philippines) were used to test the long-run PPP relationship. This study documents the fact that unlike the pre-crises period, mean reversion in real Asian exchange rates is a feature of the post-crises period in all six countries considered in this study. It turns out that our finding based on an array of panel unit root tests appears to be invariant to the choice of the numeraire currency, namely the US and Japanese yen.
|Item Type:||MPRA Paper|
|Institution:||Universiti Putra Malaysia|
|Original Title:||East Asian Real Exchange Rates and PPP: New Evidence from panel-data tests|
|Keywords:||Purchasing power parity; Panel unit root tests; Asian financial crisis|
|Subjects:||F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C23 - Models with Panel Data; Longitudinal Data; Spatial Time Series
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
|Depositing User:||Tze-Haw Chan|
|Date Deposited:||06. Mar 2007|
|Last Modified:||13. Feb 2013 12:14|
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