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Testing Conventional and Ex Ante Purchasing Power Parity: The Case of Three CIS Currencies |
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| รหัสดีโอไอ | |
| Creator | 1. Razzaque H.Bhatti 2. M.Mujibul Haque |
| Title | Testing Conventional and Ex Ante Purchasing Power Parity: The Case of Three CIS Currencies |
| Publisher | Asian Forum on Business Education (AFBE) |
| Publication Year | 2556 |
| Journal Title | AFBE Journal |
| Journal Vol. | 6 |
| Journal No. | 1 |
| Page no. | 63 |
| Keyword | Ex ante PPP,Exchange rate,International financial markets |
| ISSN | 2071-7873 |
| Abstract | This paper tests whether conventional or ex ante purchasing power parity holds for the exchange rates of the three CIS currencies Kazakh tenge, Kyrgyz som and Russian Ruble vis-เ-vis the US dollar and for the exchange rates of Kazakh tenge and Kyrgyz som vis-เ-vis the Russian Ruble over the period 1995m1-2010m6. Results obtained by employing two residual-based cointegration tests of Engle and Granger (1987) and Phillips and Ouliaris (1990) and coefficient restrictions tests based on the West (1988) corrected t-statistic lend strong support to ex ante PPP against conventional one. These results suggest that the real exchange rate for the underlying currency combinations is not stationary; rather it follows a random walk. This also implies that PPP does not hold for the three CIS currencies even in the long run. |
