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篇名
On Purchasing Power Parity and Interest Rate Parity: Unit Root, Co-Integration, and Error Correction
作者 Anlin Chen (Anlin Chen)Min-Hsien Chiang (Min-Hsien Chiang)Lanfeng Kao (Lanfeng Kao)
中文摘要
We doubt the OLS regression results of tests of purchasing power parity (PPP) and uncovered interest rate parity (UIRP) and employ the notions of unit root, cointegration, and error correction to test the PPP and UIRP conditions in US-Japan and in US-Germany. We find that logarithm of the exchange rate, logarithm of relative price, difference of interest rates are non- stationary. Because of the non-stationarity of the variables, we check if there exists long-run relationship in PPP. Since logarithm of the exchange rate and logarithm of relative price are not co-integrated, we conclude that PPP and UIRP are not supported by our data.
起訖頁 233-251
關鍵詞 Purchasing power parityInterest rate parityUnit root testCo-integrationError correction
刊名 Pan-Pacific Management Review  
期數 200002 (3:2期)
出版單位 義守大學
該期刊-上一篇 Offshore Money Market Interest Rate Transmission among Taiwan, Singapore, and the United Kingdom
該期刊-下一篇 An Empirical Analysis of the Critical Factors in the Development of Computerizing Manufacturing Systems: A Comparative Survey
 

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