Structural breaks and purchasing power parity -The empirical study for eight countries of East Asian
碩士 === 國立高雄應用科技大學 === 國際企業研究所 === 96 === In this paper, we apply a newly-developed and refined panel stationary test with structural breaks, as advanced by Lee and Strazicich (2003) minimum Lagrange Multiplier unit root test with one and two structural breaks to examine PPP for eight countries (Taiw...
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ndltd-TW-096KUAS03200082016-05-16T04:10:14Z http://ndltd.ncl.edu.tw/handle/72895922390289900374 Structural breaks and purchasing power parity -The empirical study for eight countries of East Asian 結構改變與購買力平價說-東亞八國之實證研究 Fang-Yi Su 蘇芳儀 碩士 國立高雄應用科技大學 國際企業研究所 96 In this paper, we apply a newly-developed and refined panel stationary test with structural breaks, as advanced by Lee and Strazicich (2003) minimum Lagrange Multiplier unit root test with one and two structural breaks to examine PPP for eight countries (Taiwan, Japan, South Korea, Singapore, Malaysia, Thailand, Philippines, Indonesia) within East Asian during 1973–2007. The empirical results from unit root tests which do not take structural breaks into account indicate that real exchange rates are not stationary, inconsistent with PPP hypothesis. When we apply Lee and Strazicich (2003) minimum Lagrange Multiplier unit root test with one and two structural breaks, we find that real exchange rates of East Asian eight countries have more countries are stationary than traditional unit root tests with no break. It turns out that our finding based on an array of unit root tests appears to be variant to the choice of the price index(CPI and WPI). It is far likelier to get rejections using WPI data as opposed to CPI data. Before this paper, domestic empirical results from unit root tests which take structural breaks into account indicate that real exchange rates are not stationary, inconsistent with PPP hypothesis. But in this paper apply panel stationary test with structural breaks, as advanced by Im and Lee (2001) Panel Lagrange Multiplier unit root test with one or two structural breaks to examine PPP for eight countries within East Asian during 1973–2007 which consistent with PPP hypothesis. Chien- Hui Lee 李建慧 2008 學位論文 ; thesis 62 zh-TW |
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碩士 === 國立高雄應用科技大學 === 國際企業研究所 === 96 === In this paper, we apply a newly-developed and refined panel stationary test with structural breaks, as advanced by Lee and Strazicich (2003) minimum Lagrange Multiplier unit root test with one and two structural breaks to examine PPP for eight countries (Taiwan, Japan, South Korea, Singapore, Malaysia, Thailand, Philippines, Indonesia) within East Asian during 1973–2007. The empirical results from unit root tests which do not take structural breaks into account indicate that real exchange rates are not stationary, inconsistent with PPP hypothesis.
When we apply Lee and Strazicich (2003) minimum Lagrange Multiplier unit root test with one and two structural breaks, we find that real exchange rates of East Asian eight countries have more countries are stationary than traditional unit root tests with no break. It turns out that our finding based on an array of unit root tests appears to be variant to the choice of the price index(CPI and WPI). It is far likelier to get rejections using WPI data as opposed to CPI data.
Before this paper, domestic empirical results from unit root tests which take structural breaks into account indicate that real exchange rates are not stationary, inconsistent with PPP hypothesis. But in this paper apply panel stationary test with structural breaks, as advanced by Im and Lee (2001) Panel Lagrange Multiplier unit root test with one or two structural breaks to examine PPP for eight countries within East Asian during 1973–2007 which consistent with PPP hypothesis.
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Chien- Hui Lee |
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Chien- Hui Lee Fang-Yi Su 蘇芳儀 |
author |
Fang-Yi Su 蘇芳儀 |
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Fang-Yi Su 蘇芳儀 Structural breaks and purchasing power parity -The empirical study for eight countries of East Asian |
author_sort |
Fang-Yi Su |
title |
Structural breaks and purchasing power parity -The empirical study for eight countries of East Asian |
title_short |
Structural breaks and purchasing power parity -The empirical study for eight countries of East Asian |
title_full |
Structural breaks and purchasing power parity -The empirical study for eight countries of East Asian |
title_fullStr |
Structural breaks and purchasing power parity -The empirical study for eight countries of East Asian |
title_full_unstemmed |
Structural breaks and purchasing power parity -The empirical study for eight countries of East Asian |
title_sort |
structural breaks and purchasing power parity -the empirical study for eight countries of east asian |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/72895922390289900374 |
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