Exchange Rate Misalignment : A New Test of Long-Run PPP Based on Cross-Country Data
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アイテムタイプ
テクニカルレポート / Technical Report
言語
英語
キーワード
Purchasing Power Parity, Country Specificity of Exchange Rate Misalignment, Misalignment and Growth, Country-specific Real Exchange Rates, The Ricardo-Samuelson-Balassa Effect, JEL Classification Numbers: F31
University of Florence
Stanford University
University of Tokyo
抄録
We formulate and implement a new empirical procedure to examine the validity of PPP in the long-run for 153 countries by using the familiar cross-country data set of Heston, Summers, and Aten (2002). Unlike the existing studies that rely on mean reversion of real exchange rates, we explicitly examine country-specificity in the deviations of the nominal exchange rate from PPP. We find, first, that out of a total of 153 countries, 132 countries have achieved PPP within twenty years, 1980-2000 and 105 countries have attained PPP over ten years, 1990-2000. Second, according to the results, our method can be accepted as a workable shortcut of the direct, fullinformation approach of Yotopoulos (1996) that tests for long-run PPP utilizing micro-ICP data. This becomes an important characteristic of this paper since comprehensive micro-ICP data are no longer easily available. As a by-product, of the empirical validation of our shortcut approach, our empirical results are in favor of the Ricardo-Balassa-Samuelson effect.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-318
発行年
2005-02
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
330
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
Exchange Rate Misalignment : A New Test of Long-Run PPP Based on Cross-Country Data
