Purchasing Power Parity in South East Asian Countries

Purchasing Power Parity in South East Asian Countries Economies: A Cointegration Approach* 國 Author: Ahmad Zubaidi Baharumshah、Mohamed Ariff Source: Asian Economic Journal 1997, Vol. 11 No. 2, pp. 141 -153 際 金 融 授課教授：楊奕農 學生：陳盈甄

Introduction • Reports tests on the long-run PPP relationship. The conventional method for testing PPP is to regress exchange rates on relative prices for pairs of countries and then to test the coefficient restrictions. • Employ the cointegration analysis suggested by Engle and Granger (1987) to test for the long-run relationship between exchange rates and prices. • The analysis used in this study is based on quarterly data (1974: Q 1 to 1993: Q 4) for five South East Asian countries: Malaysia, Indonesia, Thailand, the Philippines and Singapore with the US data as reference.

The rejection is -2. 93 at a significance level of 5%.

The rejection is -2. 93 at a significance level of 5%.

The rejection is -3. 29 at a significance level of 5%.

The rejection is -3. 75 at a significance level of 5%.

The rejection is -3. 75 at a significance level of 5%.

Conclusion • PPP conditions observed in the five South- east Asian countries namely Malaysia, Singapore, Thailand, the Philippines and Indonesia were not consistent with the prediction of PPP hypothesis, at least in relation to the post-1973 period. • PPP equilibria have not occurred in low-inflation economies like Malaysia, Singapore and Thailand as well as high-inflation countries like Indonesia and the Philippines.

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