지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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The object of this paper is to investigate whether or not won/dollar and won/yen real exchange rates are stationary. The price indices used to calculate bilateral real exchange rates are both the consumer price indices (CPI) and the producer price indices (PPI) of Korea, US and Japan. This study employs quarterly data and covers the period ranging from 1970:q1 to 2009:q4, providing 160 observations. To examine the stationarity of real exchange rates, the conventional linear unit root tests such as the augmented Dicky-Fuller (ADF), Dicky-Fuller generalized least squares (DF-GLS) and KPSS are used but fail to reject the non-stationarity except CPI-based won-dollar real exchange rates.
Due to the market frictions such as transportation costs and other various trade barriers, the deviations of exchange rates tend to be non-linearly mean-reverting toward the purchasing power parity (PPP) equilibrium values. So the negligence of non-linearity may result in the non rejection of non-stationarity of real exchanges rates when the conventional linear unit root tests are used. To support this view, non-linear unit root test proposed by Kapetanois et al. (2003) is used and is able to reject unit root, implying that the deviations of exchange rates is mean-reverting toward the PPP equilibrium values from the non-linear perspectives while the conventional augmented Dicky-Fuller (ADF) test fails. Thus this paper shows that nonlinear characteristic of exchange rate behavior should be taken into account to examine the validity of PPP.
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참고문헌 (26)
참고문헌 신청
Balassa, B. / 1964 / The Purchasing Parity Power Doctrine: a Reappraisal / The Journal of Political Economy 72 : 584 ~ 596
Baum, C. F. / 2001 / Nonlinear Adjustment to Purchasing Power Parity in the Post-Bretton Woods Era / Journal of International Money and Finance 20 : 379 ~ 399
Dickey, D.A. / 1981 / Likelihood Ratio Statistics for Autoregressive Time series with a Unit Root / Econometrica 49 : 1057 ~ 1072
Elliott, G. / 1996 / Efficient Tests for an Autoregressive Unit Root / Econometrica 64 : 813 ~ 836
Geweke, J. / 1983 / The Estimation and Application of Long Memory Time Series Models / Journal of Time Series Analysis 4 : 221 ~ 238
Baum, C. F. / 2001 / Nonlinear Adjustment to Purchasing Power Parity in the Post-Bretton Woods Era / Journal of International Money and Finance 20 : 379 ~ 399
Dickey, D.A. / 1981 / Likelihood Ratio Statistics for Autoregressive Time series with a Unit Root / Econometrica 49 : 1057 ~ 1072
Elliott, G. / 1996 / Efficient Tests for an Autoregressive Unit Root / Econometrica 64 : 813 ~ 836
Geweke, J. / 1983 / The Estimation and Application of Long Memory Time Series Models / Journal of Time Series Analysis 4 : 221 ~ 238
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