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題名：Temporal Causality in Purchasing Power Parity Relationship: Evidence from Australia
書刊名：Academy of Taiwan Business Management Review
作者：Hassan, Kamrul／Hoque, Arifol
出版日期：2013
卷期：9:3
頁次：頁138-146
主題關鍵詞：Purchasing power parity；PPP
原始連結：連回原系統網址new window
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Studies to date have not yet been able to resolve the issue of the purchasing power parity (PPP) relationship in Australia. There have been mixed results regarding the validity of the PPP relationship. Moreover, the causality issue between exchange rate and relative prices has not been investigated in previous studies in the context of Australia. Using quarterly data from 1984:Q1 to 2012:Q4, this paper examines three issues: (i) the co-integration between the exchange rate and relative prices, (ii) causality between the exchange rate and relative prices, and (iii) the time-varying property of the co-integrating vector. A log of the nominal exchange rate between Australia and the United States (AUD/USD) and a log of the ratio of the consumer price indices (CPIs) of the two countries were found to be co-integrated in the long run, which supports long-run PPP. Causality tests indicate that there is a causal effect of relative prices on the exchange rate in the long run. A time-varying co-integration analysis indicates that the co-integrating vector is not time-invariant and that the source of this invariant nature of the co-integrating vector seems to come from the coefficients of relative prices. The policy implication of these findings is that no policy intervention is needed to maintain the sustainability of external balance.
期刊論文
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研究報告
1.Stephens, Dominick(2004)。The equilibrium exchange rate according to PPP and UIP。Reserve Bank of New Zealand。  new window
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1.Angell, James W.(1926)。The Theory of International Prices。Cambridge, MA。  new window
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3.Sarno, L.、Taylor, M. P.、Frankel, J. A.(2002)。The economics of exchange rates。Cambridge University Press。  new window
 
 
 
 
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