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Does Purchasing Power Parity hold in Thailand?

Author

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  • Jiranyakul, Komain
  • Batavia, Bala

Abstract

The 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.

Suggested Citation

  • Jiranyakul, Komain & Batavia, Bala, 2009. "Does Purchasing Power Parity hold in Thailand?," MPRA Paper 47032, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:47032
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    File URL: https://mpra.ub.uni-muenchen.de/47032/1/MPRA_paper_47032.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Exchange rates; relative prices; unit root; cointegration; purchasing power parity;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 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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