The theory of generalized purchasing power parity: multivariate cointegration and dynamic analysis of cointegrating systems

摘要: Unit root tests, augmented Dickey-Fuller and Phillips-Perron indicate that the bilateral real exchange rates of six small Asian countries (India, Indonesia, Korea, Philippines, Singapore, Thailand) three larger (Germany, U.K., U.S.) are not stationary, each has a unit over period January 1973 to December 1989 (i.e., flexible rates). This result does support purchasing power parity (PPP);The theory Generalized Purchasing Power Parity (Generalized-PPP) is developed due failure PPP. Generalized-PPP states are, in general, non-stationary since fundamental variables generally non-stationary. If some share common trends, these countries' will same trends. By sharing cointegrated, there exists at least one stationary linear combination rates. Indeed, PPP just special case Generalized-PPP;Tests for performance by Johansen's multivariate cointegration methodology presented. There evidence as long Singapore rate included. It likely main linkage existence Asia. On other hand, hold (except India) with large U.S.);The implies an error correction model. Using this model, it possible use resulting impulse response functions trace out time paths various shocks countries. Both results variance decomposition movements influenced rates, especially largest country, U.S.