Cointegration tests of purchasing power parity: the impact of non-traded goods

Article Abstract:

The Johansen maximum likelihood procedure was used to test the impact of non-traded goods' price fluctuations to the rate of foreign exchange. Results confirmed the concept that global differences in relative prices of non-traded goods significantly affect real exchange rate. An increase in non-traded goods relative prices triggers the appreciation of real exchange rate, and vice versa. The relationship may also be used to explain the deviation of real exchange rates from purchasing power parity.

Foreign Currency Management, Foreign exchange

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Capital market integration in the Pacific Basin region: an impulse response analysis

Article Abstract:

The capital market integration in six Pacific Basin countries, namely, Singapore, Hong Kong, Malaysia, Taiwan, Japan and Korea, was examined. The objective was to determine whether the financial influence of Japan in the region is greater than that of the US. Results based on impulse response and cointegration analyses revealed the close link that the six countries have with world financial markets and the greater influence of Japan over the US.

Research, Economic aspects, Japan, Influence, Capital market, Capital markets, Pacific Area

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Purchasing power parity and cointegration: The Greek evidence from the 1920s

Article Abstract:

The purchasing power parity (PPP) theory is supported by empirical evidence from three bilateral exchange rates involving the Greek drachma from 1923 to 1925. This period in Greece is characterized by rapid growth in money supply and high and variable inflation rate. The cointegration of economic time series was used to allow testing for long-run PPP and abstracting from short-run dynamics.

Foreign exchange market

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