The exchange rate and long-run price movements in the US and Japan
The 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.
Volume (Year): 6 (1999)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:6:y:1999:i:4:p:227-230. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.