메뉴 건너뛰기




Volumn 22, Issue 3, 2008, Pages 241-266

Purchasing power parity under regime shifts: An application to Asian countries

Author keywords

Cointegration tests; Multiple structural breaks; Purchasing power parity; Stability test

Indexed keywords

COINTEGRATION ANALYSIS; ECONOMIC STRUCTURE; PURCHASING POWER PARITY;

EID: 52049117935     PISSN: 13513958     EISSN: 14678381     Source Type: Journal    
DOI: 10.1111/j.1467-8381.2008.00277.x     Document Type: Article
Times cited : (10)

References (45)
  • 1
    • 84977737410 scopus 로고
    • Purchasing power parity in the long run
    • Abuaf, N. and P. Jorion, 1990, Purchasing power parity in the long run. Journal of Finance, 45, 157-74.
    • (1990) Journal of Finance , vol.45 , pp. 157-174
    • Abuaf, N.1    Jorion, P.2
  • 2
    • 0041411826 scopus 로고    scopus 로고
    • Evidence of long-run purchasing power parity: Analysis of real exchange rates in terms of the Japanese yen
    • Aggarwal, R., A. Montaňés and M. Ponz, 2000, Evidence of long-run purchasing power parity: Analysis of real exchange rates in terms of the Japanese yen. Japan and the World Economy, 12, 351-61.
    • (2000) Japan and the World Economy , vol.12 , pp. 351-361
    • Aggarwal, R.1    Montaňés, A.2    Ponz, M.3
  • 4
    • 0031462555 scopus 로고    scopus 로고
    • Purchasing power parity in South East Asian countries economies: A cointegration approach
    • Baharumshah, A. Z. and M. Ariff, 1997, Purchasing power parity in South East Asian countries economies: A cointegration approach. Asian Economic Journal, 11, 141-53.
    • (1997) Asian Economic Journal , vol.11 , pp. 141-153
    • Baharumshah, A.Z.1    Ariff, M.2
  • 5
    • 0346906789 scopus 로고    scopus 로고
    • Estimating and testing linear models with multiple structural changes
    • Bai, J. and P. Perron, 1998, Estimating and testing linear models with multiple structural changes. Econometrica, 66, 47-78.
    • (1998) Econometrica , vol.66 , pp. 47-78
    • Bai, J.1    Perron, P.2
  • 6
    • 0037286212 scopus 로고    scopus 로고
    • Computation and analysis of multiple structural change models
    • Bai, J. and P. Perron, 2003, Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18, 1-22.
    • (2003) Journal of Applied Econometrics , vol.18 , pp. 1-22
    • Bai, J.1    Perron, P.2
  • 7
    • 33746923059 scopus 로고    scopus 로고
    • Purchasing power parity during currency crisis: A panel unit root test under structural break
    • Breitung, J. and B. Candelon, 2005, Purchasing power parity during currency crisis: A panel unit root test under structural break. Review of World Economics, 141, 124-40.
    • (2005) Review of World Economics , vol.141 , pp. 124-140
    • Breitung, J.1    Candelon, B.2
  • 8
    • 0032061337 scopus 로고    scopus 로고
    • Economic growth and stationarity of real exchange rates: Evidence from some fast-growing Asian countries
    • Cheung, Y. W. and K. S. Lai, 1998, Economic growth and stationarity of real exchange rates: Evidence from some fast-growing Asian countries. Pacific-Basin Finance Journal, 6, 61-76.
    • (1998) Pacific-Basin Finance Journal , vol.6 , pp. 61-76
    • Cheung, Y.W.1    Lai, K.S.2
  • 9
    • 22744459755 scopus 로고    scopus 로고
    • Asian currency crisis and the generalized PPP: Evidence from the Far East
    • Choudhry, T., 2005, Asian currency crisis and the generalized PPP: Evidence from the Far East. Asian Economic Journal, 19, 137-57.
    • (2005) Asian Economic Journal , vol.19 , pp. 137-157
    • Choudhry, T.1
  • 11
    • 0033500931 scopus 로고    scopus 로고
    • India's International Monetary Fund loans: Financing win-set negotiations within domestic and international politics
    • Dash, K. C., 1999, India's International Monetary Fund loans: Financing win-set negotiations within domestic and international politics. Asian Survey, 39, 884-907.
    • (1999) Asian Survey , vol.39 , pp. 884-907
    • Dash, K.C.1
  • 12
    • 0032434196 scopus 로고    scopus 로고
    • Approximations to the asymptotic distributions of cointegration tests
    • Doornik, J. A., 1998, Approximations to the asymptotic distributions of cointegration tests. Journal of Economic Surveys, 12, 573-93.
    • (1998) Journal of Economic Surveys , vol.12 , pp. 573-593
    • Doornik, J.A.1
  • 13
    • 0039640503 scopus 로고    scopus 로고
    • Real exchange rates and structural breaks
    • Dropsy, V., 1996, Real exchange rates and structural breaks. Applied Economics, 28, 209-219.
    • (1996) Applied Economics , vol.28 , pp. 209-219
    • Dropsy, V.1
  • 14
    • 0000013567 scopus 로고
    • Co-integration and error correction: Representation, estimation, and testing
    • Engle, R. and C. W. Granger, 1987, Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55, 251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.1    Granger, C.W.2
  • 15
    • 0001107642 scopus 로고
    • Purchasing power parity: Doctrinal perspective and evidence form the 1920s
    • Frenkel, J., 1978, Purchasing power parity: Doctrinal perspective and evidence form the 1920s. Journal of International Economics, 8, 169-91.
    • (1978) Journal of International Economics , vol.8 , pp. 169-191
    • Frenkel, J.1
  • 16
    • 0002214578 scopus 로고
    • International capital mobility and crowding-out in the US economy: Imperfect integration of financial markets or goods markets?
    • In: (ed. Hafer W.), Lexington Books, Lexington
    • Frankel, J., 1986, International capital mobility and crowding-out in the US economy: Imperfect integration of financial markets or goods markets? In: How Open is the US Economy? (ed. Hafer W.), pp. 33-67. Lexington Books, Lexington.
    • (1986) How Open Is the US Economy? , pp. 33-67
    • Frankel, J.1
  • 17
    • 0030462091 scopus 로고    scopus 로고
    • A panel project on purchasing power parity: Mean reversion within and between countries
    • Frankel, J. and A. Rose, 1996, A panel project on purchasing power parity: Mean reversion within and between countries. Journal of International Economics, 40, 209-24.
    • (1996) Journal of International Economics , vol.40 , pp. 209-224
    • Frankel, J.1    Rose, A.2
  • 18
    • 0042253195 scopus 로고
    • National Bureau of Economic Research Working Paper No. 4952, National Bureau of Economic Research, Cambridge, MA
    • Froot, K. and K. Rogoff, 1994, Perspectives on PPP and long run real exchange rates. National Bureau of Economic Research Working Paper No. 4952, National Bureau of Economic Research, Cambridge, MA.
    • (1994) Perspectives on PPP and Long Run Real Exchange Rates
    • Froot, K.1    Rogoff, K.2
  • 19
    • 0036205895 scopus 로고    scopus 로고
    • Exchange rate and price adjustments in the aftermath of the Asian crisis
    • Fujii, E., 2002, Exchange rate and price adjustments in the aftermath of the Asian crisis. International Journal of Finance and Economics, 7, 1-14.
    • (2002) International Journal of Finance and Economics , vol.7 , pp. 1-14
    • Fujii, E.1
  • 20
    • 33947245751 scopus 로고    scopus 로고
    • Pacific Basin Working Paper No. PB00-05. Centre for Pacific Basin Monetary and Economic Studies, Economic Research Department, Federal Reserve Bank of San Francisco, San Francisco, CA, USA
    • Glick, R. and M. Hutchison, 2002, Capital controls and exchange rate instability in developing countries. Pacific Basin Working Paper No. PB00-05. Centre for Pacific Basin Monetary and Economic Studies, Economic Research Department, Federal Reserve Bank of San Francisco, San Francisco, CA, USA
    • (2002) Capital Controls and Exchange Rate Instability in Developing Countries
    • Glick, R.1    Hutchison, M.2
  • 21
    • 0008312427 scopus 로고    scopus 로고
    • Residual-based tests for cointegration in models with regime shifts
    • Gregory, A. W. and B. E. Hansen, 1996, Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70, 99-126.
    • (1996) Journal of Econometrics , vol.70 , pp. 99-126
    • Gregory, A.W.1    Hansen, B.E.2
  • 22
    • 0000343255 scopus 로고
    • Testing for structural breaks in cointegrated relationships
    • Gregory, A. W., J. M. Nason and D. G. Watt, 1994, Testing for structural breaks in cointegrated relationships. Journal of Econometrics, 71, 321-41.
    • (1994) Journal of Econometrics , vol.71 , pp. 321-341
    • Gregory, A.W.1    Nason, J.M.2    Watt, D.G.3
  • 23
    • 0004089182 scopus 로고
    • Discussion Paper, Institute of Mathematical Statistics, University of Copenhagen, Copenhagen
    • Hansen, H. and S. Johansen, 1993, Recursive estimation in cointegrated VAR models. Discussion Paper, Institute of Mathematical Statistics, University of Copenhagen, Copenhagen.
    • (1993) Recursive Estimation in Cointegrated VAR Models
    • Hansen, H.1    Johansen, S.2
  • 24
    • 0004998572 scopus 로고    scopus 로고
    • Some tests for parameter constancy in cointegrated VAR models
    • Hansen, H. and S. Johansen, 1999, Some tests for parameter constancy in cointegrated VAR models. Econometrics Journal, 2, 306-33.
    • (1999) Econometrics Journal , vol.2 , pp. 306-333
    • Hansen, H.1    Johansen, S.2
  • 26
    • 3142720999 scopus 로고    scopus 로고
    • Use of deviations of purchasing power parity and interest rate parity to clarify the 1997 Asian financial crisis
    • Hung, M. W. and Y. C. Jan, 2002, Use of deviations of purchasing power parity and interest rate parity to clarify the 1997 Asian financial crisis. Review of Pacific Basin Financial Markets and Policies, 5, 195-218.
    • (2002) Review of Pacific Basin Financial Markets and Policies , vol.5 , pp. 195-218
    • Hung, M.W.1    Jan, Y.C.2
  • 27
    • 0001750770 scopus 로고    scopus 로고
    • Tests of cointegrating rank with a trend-break
    • Inoue, A., 1999, Tests of cointegrating rank with a trend-break. Journal of Econometrics, 90, 215-37.
    • (1999) Journal of Econometrics , vol.90 , pp. 215-237
    • Inoue, A.1
  • 28
  • 29
    • 0000296390 scopus 로고    scopus 로고
    • Cointegration analysis in the presence of structural breaks in deterministic trends
    • Johansen, S., Mosconi, R. and B. Nielsen, 2000, Cointegration analysis in the presence of structural breaks in deterministic trends. Econometrics Journal, 3, 216-49.
    • (2000) Econometrics Journal , vol.3 , pp. 216-249
    • Johansen, S.1    Mosconi, R.2    Nielsen, B.3
  • 30
    • 11044223509 scopus 로고    scopus 로고
    • Exchange rate arrangements in East Asia: Lessons from the 1997-98 currency crisis
    • (special edition), Institute for Monetary and Economic Studies, Bank of Japan
    • Kawai, M., 2002, Exchange rate arrangements in East Asia: Lessons from the 1997-98 currency crisis. Monetary and Economic Studies (special edition), Institute for Monetary and Economic Studies, Bank of Japan, 20, 167-214.
    • (2002) Monetary and Economic Studies , vol.20 , pp. 167-214
    • Kawai, M.1
  • 31
    • 0030480824 scopus 로고    scopus 로고
    • Real exchange rate behavior: The recent float from the perspective of the past two centuries
    • Lothian, J. and Taylor, M., 1996, Real exchange rate behavior: The recent float from the perspective of the past two centuries. Journal of Political Economy, 104, 488-509.
    • (1996) Journal of Political Economy , vol.104 , pp. 488-509
    • Lothian, J.1    Taylor, M.2
  • 32
    • 52049110455 scopus 로고    scopus 로고
    • Tampere Economic Working papers, Net Series, Working Paper No. 44, University of Tampere, Finland. Available from:
    • Miyagawa, S. and Y. Morita, 2005, Lessons from Japan's prolonged recession. Tampere Economic Working papers, Net Series, Working Paper No. 44, University of Tampere, Finland. Available from: http://tampub.uta.fi/econet/wp44-2005.pdf
    • (2005) Lessons from Japan's Prolonged Recession
    • Miyagawa, S.1    Morita, Y.2
  • 33
    • 0036167596 scopus 로고    scopus 로고
    • Purchasing power parity: Error correction models and structural breaks
    • Morales, A. M. and R. Peruga, 2002, Purchasing power parity: Error correction models and structural breaks. Open Economies Review, 13, 5-26.
    • (2002) Open Economies Review , vol.13 , pp. 5-26
    • Morales, A.M.1    Peruga, R.2
  • 34
    • 0008503850 scopus 로고    scopus 로고
    • Exchange rate policy and macroeconomic management in ASEAN countries
    • In: (eds Hicklin J. Robinson D. and Singh A.). IMF, Washington, DC
    • Montiel, P., 1997, Exchange rate policy and macroeconomic management in ASEAN countries. In: Macroeconomic Issues Facing ASEAN Countries (eds Hicklin J. Robinson D. and Singh A.). IMF, Washington, DC.
    • (1997) Macroeconomic Issues Facing ASEAN Countries
    • Montiel, P.1
  • 35
    • 34249000939 scopus 로고    scopus 로고
    • Testing for PPP in developing countries using confirmatory analysis and different base countries: An application to Asian countries
    • Nusair, S. A., 2004, Testing for PPP in developing countries using confirmatory analysis and different base countries: An application to Asian countries. International Economic Journal, 18, 467-89.
    • (2004) International Economic Journal , vol.18 , pp. 467-489
    • Nusair, S.A.1
  • 36
    • 0000899296 scopus 로고
    • The great crash, the oil price shock, and the unit root hypothesis
    • Perron, P., 1989, The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, 1361-401.
    • (1989) Econometrica , vol.57 , pp. 1361-1401
    • Perron, P.1
  • 37
    • 0000786475 scopus 로고    scopus 로고
    • The purchasing power parity puzzle
    • Rogoff, K., 1996, The purchasing power parity puzzle. Journal of Economic Literature, 34, 647-68.
    • (1996) Journal of Economic Literature , vol.34 , pp. 647-668
    • Rogoff, K.1
  • 38
    • 0002028420 scopus 로고    scopus 로고
    • Purchasing power parity and the real exchange rate. IMF Staff Papers
    • Sarno, L. and M. P. Taylor, 2002, Purchasing power parity and the real exchange rate. IMF Staff Papers, 49, 65-105.
    • (2002) IMF Staff Papers , vol.49 , pp. 65-105
    • Sarno, L.1    Taylor, M.P.2
  • 39
    • 0042889390 scopus 로고    scopus 로고
    • Purchasing power parity. Review of International Economics
    • Taylor, M. P., 2003, Purchasing power parity. Review of International Economics, 11, 436-452.
    • (2003) Review of International Economics , vol.11 , pp. 436-452
    • Taylor, M.P.1
  • 40
    • 0032462524 scopus 로고    scopus 로고
    • The behavior of real exchange rates during the Post-Bretton Woods period
    • Taylor, M. P. and L. Sarno, 1998, The behavior of real exchange rates during the Post-Bretton Woods period. Journal of International Economics, 46, 281-312.
    • (1998) Journal of International Economics , vol.46 , pp. 281-312
    • Taylor, M.P.1    Sarno, L.2
  • 41
    • 0033928808 scopus 로고    scopus 로고
    • Testing PPP for Asian countries during the recent floating period
    • Wang, P., 2000, Testing PPP for Asian countries during the recent floating period. Applied Economics Letters, 7, 545-48.
    • (2000) Applied Economics Letters , vol.7 , pp. 545-548
    • Wang, P.1
  • 42
    • 0032840616 scopus 로고    scopus 로고
    • Are real exchange rates stationary based on panel unit root tests? Evidence from Pacific Basin countries
    • Wu, J. L. and Chen, S. L., 1999, Are real exchange rates stationary based on panel unit root tests? Evidence from Pacific Basin countries. International Journal of Finance and Economics, 4, 242-52.
    • (1999) International Journal of Finance and Economics , vol.4 , pp. 242-252
    • Wu, J.L.1    Chen, S.L.2
  • 43
    • 2942532114 scopus 로고    scopus 로고
    • Are real exchange rates non-stationary? The Pacific Basin perspective
    • Wu, J. L., Tsai L. J. and Chen, S. L., 2004, Are real exchange rates non-stationary? The Pacific Basin perspective. Journal of Asian Economics, 15, 425-38.
    • (2004) Journal of Asian Economics , vol.15 , pp. 425-438
    • Wu, J.L.1    Tsai, L.J.2    Chen, S.L.3
  • 44
    • 28444488750 scopus 로고
    • Further evidence on the great crash, the oil-price shock, and the unit root hypothesis
    • Zivot, E. and D. W. Andrews, 1992, Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business and Economic Statistics, 10, 251-70.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 251-270
    • Zivot, E.1    Andrews, D.W.2
  • 45
    • 4444324701 scopus 로고    scopus 로고
    • Purchasing power parity and the impact the East Asian currency crisis
    • Zurbruegg, R. and L. Allsopp, 2004, Purchasing power parity and the impact the East Asian currency crisis. Journal of Asian Economics, 15, 739-58.
    • (2004) Journal of Asian Economics , vol.15 , pp. 739-758
    • Zurbruegg, R.1    Allsopp, L.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.