Purchasing power parity in ASEAN-5 countries: revisit with cross-sectional dependence and structural breaks

被引：3

作者：

Munir, Qaiser ^{[1
]}

Kok, Sook Ching ^{[2
]}

Lean, Hooi Hooi ^{[3
]}

Teplova, Tamara ^{[4
]}

机构：

[1] IBA, Dept Econ, Karachi, Pakistan

[2] Univ Malaysia Sabah, Fac Business Econ & Accountancy, Kota Kinabalu, Malaysia

[3] Univ Sains Malaysia, Sch Social Sci, Econ Program, George Town, Malaysia

[4] Natl Res Univ, Higher Sch Econ, Fac Econ Sci, Dept Financial Market Infrastruct, Moscow, Russia

来源：

MACROECONOMICS AND FINANCE IN EMERGING MARKET ECONOMIES | 2018年 / 11卷 / 03期

关键词：

Asian crisis; exchange rate; purchasing power parity; cointegration; panel data;

D O I：

10.1080/17520843.2018.1505760

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper re-examines the purchasing power parity (PPP) hypothesis for a panel of ASEAN-5 countries. The panel unit root and cointegration tests, which incorporate cross-sectional dependence and multiple structural breaks, are innovatively used for testing the PPP hypothesis. We could riot find evidence that supports the existence of a long-run equilibrium between the relative price ratio and the nominal exchange rate for the whole period. Nevertheless, there is evidence of a cointegrating relationship for the post-crisis period. Our finding implies that a flexible exchange rate regime is suitable for the individual ASEAN countries.

引用

页码：233 / 249

页数：17

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