[PDF] Top 20 Does Purchasing Power Parity hold in Thailand?

... Komain liranyakul* alld BaJa Batavia** ABSTRAct The main objective of this study is to use disaggregale data between Th;;ill!nd and ils major trading partners t6 examine the validity of [r] ... See full document

... background of the central bank's interest rate policy and the exchange rate regime, with the real sector motivated by entrepreneurial motives, production, distribution (trade) and investment (Allman, 2015). The real ... See full document

... if purchasing power parity holds, the three series must be cointegrated. Common single equation approaches to testing for cointegration include the error correction model (ECM) and the autoregressive ... See full document

... Popular papers use the unit root and cointegration tests to judge whether or not PPP holds. For example, Lothian and Taylor (1996) apply the Dickey-Fuller and the Phillips-Perron unit roots tests to the annual data ... See full document

... This paper examines PPP parity theory with data for Macedonia. We test the empirical consensus in this literature that real exchange rates tend towards PPP in the very long run, also we use co integration Engle ... See full document

... literatures purchasing power parity can be used to gauge the integration of goods markets between ...to hold among the Caribbean exchange rates and there seems to be some evidence of ... See full document

... PPP does not hold strictly or perfectly because of some factors, such as the transportation costs, tariffs, and nontariff barriers (Rogoff, 1996, ...PPP does not hold for any pair of ... See full document

... presence of a (linear) unit root. The absence of a unit root is evidence of mean reversion, usually regarded as evidence of reversion to its PPP value. 7 A series of linear unit root tests are applied to the full sample ... See full document

... in Thailand, the Philippines, and South Korea out of eight countries, namely, Taiwan, Thailand, the Philippines, Malaysia, Indonesia, Singapore, Japan, and South Korea, based on the Zivot-Andrews ... See full document

... The null hypothesis of the cointegration test is i 0 , which indicates no cointegration of the variables. For the alternative hypothesis Westerlund (2007) provides four test statistics, two for the pooled test and two ... See full document

... interest parity condition in the economics literature, of which most papers also fail to give evidence in favour of the UIP ...predictive power of the UIP hypothesis in empirical papers, Chinn and Meredith ... See full document

... The main objective of this paper is to test the validity of the pur- chasing power parity in the Maghreb countries (namely, Algeria, Morocco and Tunisia). We apply the threshold autoregressive non-linear ... See full document

... relative purchasing power parity (PPP), covered interest rate parity (CIP), and unbiased expectation relation are main basic international relationships which are widely investigated by ... See full document

... This does not conform to the results of unit-root tests with RMA since the upper bounds are too low with the percentile methods even for the countries where our unit-root test fails to reject the ... See full document

... Table 1 (Appendix A) presents results of the Augmented Dickey–Fuller (ADF) tests. The null hypothesis is the presence of unit root. As for the removal of serial correlation from the data, appropriate lags have been ... See full document

... We take a different avenue by investigating nonlinear mean-reversion properties for Taylor’s long-horizon data that may be consistent with the commodity arbitrage view of PPP with fi xed transaction costs. We test the null ... See full document

... In the second step, we estimate the equation (7) and select the lag lengths of the variables in the system based on Akaike Information Criterion (AIC). Based on the F-statistics results, the maximum lag length is set up ... See full document

... Ferreira (2004) also supported to the view that policy actions simultaneously interact with change in exchange rate for the emerging markets like Argentina, Brazil, Chile, Mexico and Turkey between 1995 and 2004. Thus, ... See full document

... First, we examine the time series case. In Table 4, each logarithmic RER in Eqs. (4) and (5) is also confirmed as I(0) by the ADF or KPSS test. In Eqs. (3) and (5), the number of lagged difference terms is set to be one, ... See full document

... To summarise, using the pairwise approach and the data on all real cross-rates reveals a number of features that one would miss if one confined attention to rates against the US dollar, for example some of the main ... See full document