비선형 단위근 검정을 이용한 원화환율의 구매력평가에 관한 실증분석

• 영문명: Empirical Investigation of Purchasing Power Parity for Korea : Further Evidence from Nonlinear Unit Root Test
• 발행기관: 한국무역연구원
• 저자명: 김애영(Ai-Young Kim) 조원길(Won-Gil Cho)
• 간행물 정보: 『무역연구』제7권 제1호, 49~66쪽, 전체 18쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2011.03.30

영문 초록

The object of this paper is to investigate whether or not won/dollar and won/yen real exchange rates are stationary. The price indices used to calculate bilateral real exchange rates are both the consumer price indices (CPI) and the producer price indices (PPI) of Korea, US and Japan. This study employs quarterly data and covers the period ranging from 1970:q1 to 2009:q4, providing 160 observations. To examine the stationarity of real exchange rates, the conventional linear unit root tests such as the augmented Dicky-Fuller (ADF), Dicky-Fuller generalized least squares (DF-GLS) and KPSS are used but fail to reject the non-stationarity except CPI-based won-dollar real exchange rates. Due to the market frictions such as transportation costs and other various trade barriers, the deviations of exchange rates tend to be non-linearly mean-reverting toward the purchasing power parity (PPP) equilibrium values. So the negligence of non-linearity may result in the non rejection of non-stationarity of real exchanges rates when the conventional linear unit root tests are used. To support this view, non-linear unit root test proposed by Kapetanois et al. (2003) is used and is able to reject unit root, implying that the deviations of exchange rates is mean-reverting toward the PPP equilibrium values from the non-linear perspectives while the conventional augmented Dicky-Fuller (ADF) test fails. Thus this paper shows that nonlinear characteristic of exchange rate behavior should be taken into account to examine the validity of PPP.

목차

Abstract

Ⅰ. 서론

Ⅱ. 구매력평가의 기본모형과 분석방법

Ⅲ. 자료 및 실증분석 결과

Ⅳ. 결론

참고문헌

키워드

Purchasing Power Parity Real Exchange Rates Stationarity Non-linearity