Purchasing Power Parity and Markov Regime Switching – Evidence from Asian Countries

• Main Authors: Ching-Wei Tsui, 崔靜惟
• Other Authors: 李建慧
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/76784368626418613593

碩士 === 國立高雄應用科技大學 === 國際企業系 === 97 === According to the purchasing power parity hypothesis, prices in different countries should move towards equality in common currency terms. There has been significant interest in the empirical performance of the PPP hypothesis. Initial studies were in general unfavorable for PPP. Recent research has found that linear model do not support the long-run PPP for real exchange rates. Some research found nonlinear dynamic in real exchange rates. This paper uses a Markov-switching model to test for long-run purchasing power parity among a sample of eight Asian countries. Standard univariate unit root testing suggests that real exchange rates are generally non-stationary. And we find that MS-ADF test suggests the stationary real exchange rates in two regimes.