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Purchasing power parity in South East Asian countries economies: a cointegration approach


Citation

Baharumshah, Ahmad Zubaidi and Ariff, Mohamed (1997) Purchasing power parity in South East Asian countries economies: a cointegration approach. Asian Economic Journal, 11 (2). pp. 141-153. ISSN 1351-3958; ESSN: 1467-8381

Abstract / Synopsis

This paper presents findings from a study of the long-run purchasing power parity (PPP) conditions in five Asian economies. The cointegration tests using exchange rates and price indices from end-of-quarter observations over the last twenty years reject the PPP proposition for all countries. The absolute version of the PPP hypothesis is tested next by using lower frequency, that is, semi-annual and annual, data. In general these tests also failed to support the long-run PPP hypothesis. Further analysis using the Johansen-Juselius (1990) multivariate approach also failed to support the hypothesis.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
DOI Number: https://doi.org/10.1111/1467-8381.00028
Publisher: East Asian Economic Association and Wiley Publishing Asia
Keywords: Purchasing power parity (PPP); Asia
Depositing User: Nabilah Mustapa
Date Deposited: 14 Sep 2015 10:14
Last Modified: 14 Sep 2015 10:14
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1111/1467-8381.00028
URI: http://psasir.upm.edu.my/id/eprint/40176
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