Estimating Structural Change in Long Run PPP

• 영문명: Estimating Structural Change in Long Run PPP
• 발행기관: 한국무역연구원
• 저자명: Yang-Seung Lee
• 간행물 정보: 『무역연구』제8권 제3호, 35~52쪽, 전체 18쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2012.09.30

영문 초록

This paper focuses on a study of purchasing power parity. There have been arguments for whether a long run PPP holds or not. First, this paper empirically shows that a long run PPP is actually held between Korea and US. Second, we attempt to detect a break point of a long-run PPP since a structural change is highly suspected to exist in a long-run equilibrium since the disastrous financial crisis damaged the Asian economy around 1997. In fact, we can detect a structural change on the basis of the methodology of Seo (1998). After estimation, a break point is found in a long run relationship between nominal exchange rate and price levels of both countries. Thus, our conclusion should be that the financial crisis affected a long run PPP.

목차

Abstract

Ⅰ. Introduction

Ⅱ. A Brief Overview and Literature

Ⅲ. Methodologies and Empirical Studies

Ⅱ. Conclusion

References

키워드

Purchasing Power Parity Cointegration Test Structual Change