Evidence of long-run purchasing power parity: analysis of real asian exchange rates in terms of the Japanese yen

2000 ◽  
Vol 12 (4) ◽  
pp. 351-361 ◽  
Author(s):  
Raj Aggarwal ◽  
Antonio Montañés ◽  
Monserrat Ponz
Keyword(s):  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Purchasing Power ◽  
Power Parity ◽  
Long Run ◽  
Japanese Yen

scholarly journals Exchange rates, market efficiency and purchasing power parity: Long-run tests for the Latin American currencies

2009 ◽  
Vol 36 (141) ◽  
Author(s):  
ALEJANDRA CABELLO ◽  
RAÚL DE JESÚS ◽  
ROBERT JOHNSON ◽  
EDGAR ORTÍZ
Keyword(s):  
Exchange Rates ◽  
Market Efficiency ◽  
Latin American ◽  
Purchasing Power Parity ◽  
Purchasing Power ◽  
Power Parity ◽  
Long Run

En mercados eficientes, los precios corrientes reflejan toda la información disponible. Los precios pasados no contienen ninguna información útil para predecir precios futuros y realizar ganancias extraordinarias. Este principio, hipótesis débil de la eficiencia informativa de los mercados, ha sido incorporado a la teoría de la paridad del poder adquisitivo (PPA), a fin de sobreponer sus limitaciones en el análisis intertemporal del ajuste de los tipos de cambio a las tendencias inflacionarias. En general, estudios de mercados de divisas de los países desarrollados validan su eficiencia; sin embargo, la investigación para el caso de los países en vías de desarrollo es limitada. En este trabajo se analiza la eficiencia de los mercados de divisas de 15 países latinoamericanos para el periodo 1970-2000. Basándose en el modelo ampliado de PPA, se aplican dos modelos de análisis de regresión y uno de raíz unitaria.

scholarly journals A Correct Test of Purchasing Power Parity: The Case of Pak-Rupee Exchange Rates

1996 ◽  
Vol 35 (4II) ◽  
pp. 671-682 ◽  
Author(s):  
Razzaque H. Bhatti
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Empirical Evidence ◽  
Purchasing Power Parity ◽  
Trade Balance ◽  
Purchasing Power ◽  
Power Parity ◽  
Long Run ◽  
Bayesian Test ◽  
Almost All

This paper presents some empirical evidence on long-run purchasing power parity (PPP) for eight Pak-rupee exchange rates over the period 1982:1–1994:4. Results obtained from testing for cointegration and coefficient restrictions using the Johansen (1988, 1991) procedure are supportive of PPP in almost all cases. These results are also supported by those obtained from testing for mean reversion in the real exchange rate using the Sims (1988) Bayesian test. One of the conclusions that emerge from these results is that devaluation of Pak-rupee vis-à-vis major industrial currencies under investigation may be unlikely to improve the country’s external competitiveness and, consequently, the deficit in its trade balance.

scholarly journals A Test Of Purchasing Power Parity (PPP) Theory And The International Fisher Effect: A Case Of The U.S. Dollar And The Japanese Yen

2011 ◽  
Vol 7 (1) ◽  
pp. 82
Author(s):  
Kishore G. Kulkarni
Keyword(s):  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Explanatory Power ◽  
Early Years ◽  
Purchasing Power ◽  
Fisher Effect ◽  
Power Parity ◽  
Time Period ◽  
Japanese Yen ◽  
The U.S

The present paper discusses the theories of Purchasing Power Parity (PPP) and the International Fisher Effect dating back to the early years of the twentieth century, and tests their evidence for the recent time period data for the U.S. dollar Yen exchange rate. The results show that both these theories provide a satisfactory explanation of the behavior of exchange rates. One of the main reasons why these theories lost their explanatory power in recent years was the inflexibility of exchange rates in the Bretton Woods System. However, as the exchange rates became flexible again in recent years, the theories have become more applicable. It is further observed that the quarterly data are more relevant for these theories than the monthly data.

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