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On the stationarity of Japanese-yen based purchasing power parity in the presence of the structural breaks

Author

Listed:
  • Masafumi Kozuka

    (Department of Economics, Okayama Shoka University)

Abstract

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).

Suggested Citation

  • Masafumi Kozuka, 2010. "On the stationarity of Japanese-yen based purchasing power parity in the presence of the structural breaks," Economics Bulletin, AccessEcon, vol. 30(1), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-09-00753
    as

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    References listed on IDEAS

    as
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    4. Azali, M. & Habibullah, M. S. & Baharumshah, A. Z., 2001. "Does PPP hold between Asian and Japanese economies? Evidence using panel unit root and panel cointegration," Japan and the World Economy, Elsevier, vol. 13(1), pages 35-50, January.
    5. Salah Nusair, 2001. "Testing for PPP in developing countries using confirmatory analysis and different base countries: an application to Asian countries," International Economic Journal, Taylor & Francis Journals, vol. 18(4), pages 467-489.
    6. Taufiq Choudhry, 2005. "Asian Currency Crisis and the Generalized PPP: Evidence from the Far East," Asian Economic Journal, East Asian Economic Association, vol. 19(2), pages 137-157, June.
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    More about this item

    Keywords

    real exchange rate; relative PPP; stationarity; KPSS test; structural breaks;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance

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