The exchange rate and long-run price movements in the US and Japan
AbstractThe close economic relationship between the US and Japan raises an interesting question about the effect of price movements in the US and Japan on the bilateral exchange rate. This paper investigates the long-run purchasing power parity between the US dollar and the Japanese yen. While earlier empirical studies often rejected the PPP hypothesis for the US and Japan, our results show that allowing measurement errors in price indices, the long-run PPP between the two countries is supported based on both the Engle-Granger and the Johansen cointegration tests.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 6 (1999)
Issue (Month): 4 ()
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- Sideris, Dimitrios, 2006.
"Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan,"
Journal of International Financial Markets, Institutions and Money,
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- Dimitrios Sideris, 2004. "Testing for Long-Run PPP in a System Context: Evidence for the US, Germany and Japan," Working Papers 19, Bank of Greece.
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- Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.
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