All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

Masafumi Kozuka
''On the stationarity of Japanese-yen based purchasing power parity in the presence of the structural breaks ''
( 2010, Vol. 30 No.1 )
In this paper we perform the stationarity test on the Japanese-yen based real exchange rate of major trade partners of Japan, and we investigate the existences of relative PPPs with these countries and areas. The empirical analyses support that relative PPPs with the United States, Germany (with marks and euro), Korea and Taiwan are upheld when we consider the constant, linear trend and structural breaks. However, relative PPP is not upheld with China (Mainland).
Keywords: real exchange rate, relative PPP, stationarity, KPSS test, structural breaks
JEL: F3 - International Finance: General
Manuscript Received : Dec 07 2009 Manuscript Accepted : Jan 06 2010

  This abstract has been downloaded 1833 times                The Full PDF of this paper has been downloaded 151994 times