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Long-run purchasing power parity and long-term memory: evidence from Asian newly industrialized countries

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  • W. L. Chou
  • Y. C. Shih
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    Abstract

    Fractional cointegration in a trivariate model is used to test the long-run purchasing power parity hypothesis in four Asian newly industrialized economies. Critical values for the Geweke-Porter-Hudak tests based on Monte Carlo simulations are provided. Evidence of fractional cointegration arises when a linear trend is included. Subperiod analysis indicates that a shift in the exchange rate regime is likely to affect the results of cointegration tests

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 4 (1997)
    Issue (Month): 9 ()
    Pages: 575-578

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    Handle: RePEc:taf:apeclt:v:4:y:1997:i:9:p:575-578

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    Cited by:
    1. Wong Keung-Wing & Habibullah Khan & Jun Du, 2006. "Money, Interest Rate and Stock Prices: New Evidence from Singapore and The United States," Departmental Working Papers wp0601, National University of Singapore, Department of Economics.
    2. Sandrine Lardic & Valérie Mignon, 2004. "Fractional cointegration and the term structure," Empirical Economics, Springer, vol. 29(4), pages 723-736, December.
    3. repec:ebl:ecbull:v:3:y:2003:i:14:p:1-10 is not listed on IDEAS
    4. Wing-Keung Wong & Aman Agarwal & Jun Du, 2005. "Financial Integration for India Stock Market, a Fractional Cointegration Approach," Departmental Working Papers wp0501, National University of Singapore, Department of Economics.
    5. Wilson, Peter & Tat, Kua Choon, 2001. "Exchange rates and the trade balance: the case of Singapore 1970 to 19961," Journal of Asian Economics, Elsevier, vol. 12(1), pages 47-63.
    6. Choudhry, Taufiq, 1999. "Purchasing Power Parity in High-Inflation Eastern European Countries: Evidence from Fractional and Harris-Inder Cointegration Tests," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 293-308, April.
    7. Choudhry, Taufiq, 1999. "Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 433-453, November.
    8. E. Dubois & S. Lardic & V. Mignon, 2003. "The exact maximum likelihood-based test for fractional cointegration: critical values, power and size," THEMA Working Papers 2003-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    9. Heng Chen & Bento J. Lobo & Wing-Keung Wong, 2006. "Links between the Indian, U.S. and Chinese Stock Markets," Departmental Working Papers wp0602, National University of Singapore, Department of Economics.
    10. Sandrine Lardic & Valérie Mignon, 2003. "Cointégration fractionnaire entre la consommation et le revenu," Économie et Prévision, Programme National Persée, vol. 158(2), pages 123-142.
    11. Zheng Yi & Chen Heng & Wing-Keung Wong, 2009. "China’s Stock Market Integration with a Leading Power and a Close Neighbor," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 2(1), pages 38-74, December.

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