Please use this identifier to cite or link to this item: http://hdl.handle.net/2440/2293
Citations
Scopus Web of Science® Altmetric
?
?
Type: Journal article
Title: Purchasing power parity and the impact of the East Asian currency crisis
Author: Zurbrugg, R.
Allsopp, L.
Citation: Journal of Asian Economics, 2004; 15(4):739-758
Publisher: Elsevier BV, North-Holland
Issue Date: 2004
ISSN: 1049-0078
Abstract: This paper explores the impact of the East Asian crisis of 1997–1998 on foreign exchange markets and purchasing power parity within the region. While many studies have attempted to test for PPP prior to these events, there has been little opportunity to test for this long run phenomenon in the post-crisis period. This study addresses the issue by applying Inoue [J. Econometrics 90 (1999) 215] and Johansen, Mosconi, and Nielsen [Econometrics J. 3 (2000) 216] cointegration procedures to bilateral exchange rates deflated using consumer price indices. Along with endogenously determining a structural break at the time of the crisis, the empirical results shed light upon the significance of the East Asian crisis on long-run PPP within the region. The findings are generally supportive of PPP with the crisis leading to only shifts in long-run trends. However, the results are not homogenous across all countries which is partially attributed to how individual countries handled the crisis.
Keywords: Cointegration; Exchange rates; Purchasing power parity
Description: Copyright © 2004 Elsevier Inc
RMID: 0020041427
DOI: 10.1016/j.asieco.2004.05.017
Description (link): http://www.elsevier.com/wps/find/journaldescription.cws_home/620171/description#description
Appears in Collections:Economics publications

Files in This Item:
There are no files associated with this item.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.