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Reexamining Yen Real Exchange Rate Dynamics by Recursive Mean Adjustment

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dc.contributor.author모영규-
dc.date.available2021-02-22T13:02:39Z-
dc.date.issued2012-09-
dc.identifier.issn1598-4869-
dc.identifier.urihttps://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/12372-
dc.description.abstractPPP asserts that the real exchange rate is a mean reverting stochastic process around its long-run equilibrium level. However, despite its popularity and extensive studies empirical validity of PPP remains elusive due to mixed empirical evidence. This paper revisits the empirical evidence of purchasing power parity by recursive mean adjustment (RMA) proposed by So and Shin (1999). Using the current float quarterly yen-based real exchange rate data I find that the unit-root test with the RMA estimator rejects the null of a unit root for only 2 out of 14 G7 and Asian/Pacific rim countries. Also the RMA-based confidence intervals for persistence parameter show that only 1 out of 14 countries has less than unity as upper bound at the 90% confidence intervals. This finding is in line with the findings from previous studies that yen real exchange rate can be better approximated as nonstationary process.-
dc.format.extent14-
dc.language영어-
dc.language.isoENG-
dc.publisher한국국제경영관리학회-
dc.titleReexamining Yen Real Exchange Rate Dynamics by Recursive Mean Adjustment-
dc.title.alternative재귀평균조정을 이용한 일본 엔 실질환율의 동태성 재조명-
dc.typeArticle-
dc.publisher.location대한민국-
dc.identifier.bibliographicCitation국제경영리뷰, v.16, no.3, pp 163 - 176-
dc.citation.title국제경영리뷰-
dc.citation.volume16-
dc.citation.number3-
dc.citation.startPage163-
dc.citation.endPage176-
dc.identifier.kciidART001699891-
dc.description.isOpenAccessN-
dc.description.journalRegisteredClasskci-
dc.subject.keywordAuthor재귀평균조정-
dc.subject.keywordAuthor구매력평가설-
dc.subject.keywordAuthor신뢰구간-
dc.subject.keywordAuthorRecursive Mean Adjustment-
dc.subject.keywordAuthorPurchasing Power Parity-
dc.subject.keywordAuthorConfidence Interval-
dc.identifier.urlhttp://www.earticle.net/Article/A195148-
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