Testing for purchasing power parity for ASEAN-5 using asymmetric cointegration tests

Choji, Niri Martha; Sek, Siok Kun

doi:10.21833/ijaas.2017.011.025

Cited by 2 publications

(1 citation statement)

References 14 publications

(20 reference statements)

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“…According to Munir and Kok (2015), an important piece of empirical evidence on PPP could be obtained by elaborating on the different numeraire currencies in future studies. Additionally, we emphasize the work of Choji and Sek (2017) who analysed five ASEAN members via threshold cointegration tests but detected long-run PPP in only two cases.…”

Section: Concise Review Of Literaturementioning

confidence: 87%

Testing the Purchasing Power Parity Hypothesis: Case of ASEAN Economies

Bekő

Boršič

2018

Naše Gospodarstvo/Our Economy

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We examine the purchasing power parity (PPP) hypothesis of 10 members of ASEAN. A battery of panel unit root tests is employed on data series from January 1995 to January 2018 in order to search for validity of PPP in the period before the Great Recession and in the post-crisis period. All the calculations are based on four numeraire currencies: Chinese yuan (CNY), Japanese yen (JPY), US dollar (USD), and the euro (EUR). First, following the outcome of the present study for ASEAN countries, the PPP holds mostly with respect to CNY rates. Second, for the post-financial crisis period, our research proves conclusively that the PPP supposition is predominantly valid between the currencies of ASEAN countries and EUR rates. The sample of countries in the study is limited to the ASEAN group of economies. Based on the evaluated parity conditions, the emergence of global economic crisis brought about significant currency shifts in the ASEAN. The selection and testing of a broader range of numeraire currencies is vital to provide empirical underpinning for PPP notion.

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Section: Concise Review Of Literaturementioning

confidence: 87%

Testing the Purchasing Power Parity Hypothesis: Case of ASEAN Economies

Bekő

Boršič

2018

Naše Gospodarstvo/Our Economy

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Purchasing power parity in ASEAN+3: an application of panel unit root tests

Boršič

Bekő

2018

Croatian Review of Economic, Business and Social Statistics

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The paper assesses the existence of purchasing power parity (PPP) in ASEAN+3 economies taking into account EUR and USD as reference currencies. The research refers to the period from January 2000 to June 2017 and there are three points of view: we tested the period as a whole and then the pre-crisis period and the postcrisis period regarding the structural break due to the economic crisis. The evaluated economies include Brunei, Cambodia, China, Indonesia, Japan, Korea, Laos, Malaysia, Myanmar, the Philippines, Singapore, Thailand and Vietnam. A range of panel unit root tests are applied, covering the Levin, Lin and Chu test, the Breitung test, the Im, Pesaran and Shin test, the ADF-Fisher test and the PP-Fisher test. In cases where the unit root is rejected, the validity of PPP is confirmed. However, our results are ambiguous and depend on the selection of the base currency, the time period observed and on the choice of the methodology.

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Testing for purchasing power parity for ASEAN-5 using asymmetric cointegration tests

Cited by 2 publications

References 14 publications

Testing the Purchasing Power Parity Hypothesis: Case of ASEAN Economies

Testing the Purchasing Power Parity Hypothesis: Case of ASEAN Economies

Purchasing power parity in ASEAN+3: an application of panel unit root tests

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