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| Masafumi Kozuka |
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| ''On the stationarity of Japanese-yen based purchasing power parity in the presence of the structural breaks
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| ( 2010, Vol. 30 No.1 ) |
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| 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). |
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| Keywords: real exchange rate, relative PPP, stationarity, KPSS test, structural breaks |
JEL: F3 - International Finance: General
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| Manuscript Received : Dec 07 2009 | | Manuscript Accepted : Jan 06 2010 |
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