Does Purchasing Power Parity hold in Thailand?
AbstractThe main objective of this study is to use disaggregate data between Thailand and its major trading partners to examine the validity of the purchasing power parity (PPP). Bilateral exchange rates between domestic currency (Thai baht) and each currency of major trading partners as well as the relative prices during the period of July 1997 to December 2007 are used to investigate the existence of stationary real exchange rates and cointegration between nominal exchange rates and relative prices. The results from various unit root tests and cointegration test show that PPP does not seem to hold in Thailand.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 47032.
Date of creation: Sep 2009
Date of revision:
Publication status: Published in International Journal of Applied Economics and Econometrics 3.17(2009): pp. 268-280
Exchange rates; relative prices; unit root; cointegration; purchasing power parity;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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