New Evidence from a Panel Stationary test with Structural Breaks on Purchasing Power Parity of East Asia

• Main Authors: Chia-Hao Lee, 李家豪
• Other Authors: Tsang-Yao Chang
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/59407821077010331642

碩士 === 逢甲大學 === 經濟學所 === 94 === In this paper, we use the newly-developed and refined panel stationary test with structural breaks, as advanced by Carrion-i-Silvestre(2005), to examine long-run purchasing power parity(PPP) for US dollar real exchange rates of East Asian 10 countries during 1987-2005 period. The empirical results from numerous earlier panel-based unit root tests which do not take structural breaks into account indicate that purchasing power parity for all the countries we study here are non-stationary. When we employ Carrion-i-Silvestre(2005) panel stationary test with structural breaks, we find that real exchange rates of 7 East Asian countries have three structural breaks and other countries have two structural breaks. Moreover, the real exchange rates of East Asian 10 countries are still exhibits a non-stationary process. In other words, evidence shows that the long-run purchasing power parity for East Asian 10 countries does not hold even if structural breaks are taken into consideration.