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Measuring Misalignment
Menzie David Chinn
其他書名
Purchasing Power Parity and East Asian Currencies in the 1990s
出版International Monetary Fund, 1999-09-01
主題Business & Economics / Foreign ExchangeBusiness & Economics / Economics / Macroeconomics
ISBN14518542509781451854251
URLhttp://books.google.com.hk/books?id=7FkYEAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋The concept of purchasing power parity (PPP) is used to evaluate whether eight East Asian currencies were overvalued on the eve of the 1997 crises. The Johansen and Horvath-Watson cointegration test procedures are applied to bilateral and multilateral exchange rates, deflated using CPIs, producer price indices (PPIs), and price indices of export goods. The second deflator yields the greatest evidence of “stationarity.” The study find’s that the Malaysian, Philippines, and Thai currencies were overvalued, while the Korean and Indonesian were substantially undervalued. Mixed results were obtained for the others. Measures of the equilibrium rate based on time trends in CPI-deflated rates typically suggest larger overvaluations.