Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
Empirical test for purchasing power parity using a time-varying parameter model: Japan and Korea cases
- Authors
- Kim, Hyung-Gun; Jei, Sang Young
- Issue Date
- 2013
- Publisher
- ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
- Keywords
- Purchasing Power Parity; time-varying parameter; cointegrating regression; foreign exchange
- Citation
- APPLIED ECONOMICS LETTERS, v.20, no.6, pp.525 - 529
- Indexed
- SSCI
SCOPUS
- Journal Title
- APPLIED ECONOMICS LETTERS
- Volume
- 20
- Number
- 6
- Start Page
- 525
- End Page
- 529
- ISSN
- 1350-4851
- Abstract
- This study examines the validity of the Purchasing Power Parity (PPP) hypothesis for Japan and Korea by using a smooth time-varying cointegrating regression model. When we use the usual approaches, including unit root and cointegration tests, we fail to find the existence of the PPP for Japan and Korea. However, we find there is a time-varying cointegrating relationship between the logarithm of nominal exchange rates and the logarithm of the Producer Price Indices (PPI) ratio for Japan and Korea. This relationship does support the PPP theory. Moreover, we also find that the exact PPP theory holds for some periods in Japan and Korea.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - Graduate School > Department of Economics and Statistics > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.