비교역재의 상대가격과 FM-OLS 공적분추정에 의한 축약형 구매력평가 모형 검정

• 영문명: Exchange Rate Determinants Using a Reduced Form of Purchasing Power Parity Model with Relative Prices of Non-tradable and FM-OLS Cointegration Methodology
• 발행기관: 한국무역연구원
• 저자명: 이현재(Hyun-Jae Rhee)
• 간행물 정보: 『무역연구』제13권 제2호, 256~276쪽, 전체 21쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2017.04.30

영문 초록

The aim of this paper is to investigate the determinants of nominal and real exchange rates by introducing a model utilizing the reduced form of purchasing power parity (RF-PPP) suggested by Deloach. The key feature of the model is that relative prices of non-tradable goods are taken as an empirical proxy variable in formulating a testable hypothesis which is extended with lagged variables. Fully modified-OLS (FM-OLS) cointegration methodology with IFS database is employed for empirical analysis. Empirical evidence reveals that relative prices of non-tradable goods are consistent with predictions for long-run relationships between level of prices and exchange rates. Accordingly, these predictions are highly explainable when the real exchange rate and lagged variables are involved in the analysis. Findings suggest that level of prices still plays an important role in causing a long-run equilibrium in the foreign exchange markets. It also has to be mentioned that the impact of economic shocks is asymmetrically transmitted to tradable and non-tradable goods. Therefore, trade policy should be implemented elaborately to take care of the level of prices which is originated from non-tradable goods. Such policy would help to avoid imbalance between tradable and non-tradable goods.

목차

Ⅰ. 서론

Ⅱ. 기존의 연구

Ⅲ. 이론적 배경

Ⅳ. 실증분석 결과

Ⅴ. 요약 및 결론

키워드

FM-OLS Non-tradable Reduced Form of PPP Tradable