Baharumshah, Ahmad Zubaidi and Aggarwal, Raj and Chan, TzeHaw (2005): East Asian Real Exchange Rates and PPP: New Evidence from paneldata tests. Forthcoming in: Global Economic Review

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Abstract
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 longrun PPP relationship. This study documents the fact that unlike the precrises period, mean reversion in real Asian exchange rates is a feature of the postcrises 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 paneldata tests 
Language:  English 
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  Panel Data Models ; Spatiotemporal Models C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General 
Item ID:  2023 
Depositing User:  Dr TzeHaw Chan 
Date Deposited:  06 Mar 2007 
Last Modified:  30 Sep 2019 16:51 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/2023 