Evidence of long-run purchasing power parity: analysis of real asian exchange rates in terms of the Japanese yen |
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Authors: | Raj Aggarwal Antonio Montas Monserrat Ponz |
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Institution: | Raj Aggarwal, Antonio Montañés,Monserrat Ponz |
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Abstract: | In this paper we find strong new evidence in favour of the long-run purchasing power parity (PPP) hypothesis in the bilateral real exchange rates between the Japanese yen and the currencies of the most important southeast Asian economies only when the presence of several possible structural breaks of the series is taken into account. Such evidence for PPP is weaker for these southeast Asian exchange rates with the US dollar, the German mark and the Australian dollar. |
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Keywords: | Real exchange rate Unit roots Level shifts |
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