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Re-examing purchasing power parity for East-Asian currencies : 1976-2002.

We investigate the behaviour of real exchange rates of six East-Asian countries in relation to their two major trading partners – the United States and Japan. These countries, except, Singapore were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to 2002 an...

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Main Authors: Baharumshah, Ahmad Zubaidi, Chan, Tze Haw, Fountas, Stilianos
Format: Article
Language:English
Published: Taylor & Francis 2008
Online Access:http://psasir.upm.edu.my/id/eprint/16467/1/Re.pdf
http://psasir.upm.edu.my/id/eprint/16467/
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spelling my.upm.eprints.164672015-09-04T08:14:43Z http://psasir.upm.edu.my/id/eprint/16467/ Re-examing purchasing power parity for East-Asian currencies : 1976-2002. Baharumshah, Ahmad Zubaidi Chan, Tze Haw Fountas, Stilianos We investigate the behaviour of real exchange rates of six East-Asian countries in relation to their two major trading partners – the United States and Japan. These countries, except, Singapore were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to 2002 and the autoregressive distributed lag (ARDL) cointegration procedure we test for the long-run purchasing power parity (PPP) hypothesis. We find no evidence for the weak form of PPP in the pre-crisis period, but strong evidence in the post-crisis period. For the post-crisis period, we also find very small persistence of PPP deviations as indicated by very small half-lives (<7 months) and narrow confidence intervals with an upper bound of 1 year or less in most countries. Our findings reveal that the East Asian countries are returning to some form of PPP-oriented rule as a basis for their exchange rate policies. Taylor & Francis 2008 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/16467/1/Re.pdf Baharumshah, Ahmad Zubaidi and Chan, Tze Haw and Fountas, Stilianos (2008) Re-examing purchasing power parity for East-Asian currencies : 1976-2002. Applied Financial Economics, 18 (1). pp. 75-85. ISSN 1466-4305 10.1080/09603100601018856
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description We investigate the behaviour of real exchange rates of six East-Asian countries in relation to their two major trading partners – the United States and Japan. These countries, except, Singapore were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to 2002 and the autoregressive distributed lag (ARDL) cointegration procedure we test for the long-run purchasing power parity (PPP) hypothesis. We find no evidence for the weak form of PPP in the pre-crisis period, but strong evidence in the post-crisis period. For the post-crisis period, we also find very small persistence of PPP deviations as indicated by very small half-lives (<7 months) and narrow confidence intervals with an upper bound of 1 year or less in most countries. Our findings reveal that the East Asian countries are returning to some form of PPP-oriented rule as a basis for their exchange rate policies.
format Article
author Baharumshah, Ahmad Zubaidi
Chan, Tze Haw
Fountas, Stilianos
spellingShingle Baharumshah, Ahmad Zubaidi
Chan, Tze Haw
Fountas, Stilianos
Re-examing purchasing power parity for East-Asian currencies : 1976-2002.
author_facet Baharumshah, Ahmad Zubaidi
Chan, Tze Haw
Fountas, Stilianos
author_sort Baharumshah, Ahmad Zubaidi
title Re-examing purchasing power parity for East-Asian currencies : 1976-2002.
title_short Re-examing purchasing power parity for East-Asian currencies : 1976-2002.
title_full Re-examing purchasing power parity for East-Asian currencies : 1976-2002.
title_fullStr Re-examing purchasing power parity for East-Asian currencies : 1976-2002.
title_full_unstemmed Re-examing purchasing power parity for East-Asian currencies : 1976-2002.
title_sort re-examing purchasing power parity for east-asian currencies : 1976-2002.
publisher Taylor & Francis
publishDate 2008
url http://psasir.upm.edu.my/id/eprint/16467/1/Re.pdf
http://psasir.upm.edu.my/id/eprint/16467/
_version_ 1643826222396866560
score 13.211869

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