Thesis (Ph.D.)--Wayne State University, 2001. / Adviser: Jay H. Levin. Includes bibliographical references.

In this thesis an international investment filter rule is used to test both the tendency for Purchasing Power Parity (PPP) to hold in the long run and the hypothesis of foreign exchange market efficiency for the four most actively traded currencies in the world vis-a-vis the United States dollar: the British pound, the Japanese yen, the Germany mark, and the Canadian dollar. One way to examine whether there is a tendency for PPP to hold in the long run and whether the foreign exchange market is efficient, is to place more money in the 'undervalued' currency according to PPP deviations or to invest according to PPP deviations, putting more money into interest bearing securities in the 'undervalued' currency, the more this currency is undervalued. The return can then be compared with a reference rule which does not use this filter, but instead puts an equal value of money into the currencies or the securities of each country. This thesis has produced three results. First, using the PPP filter in the exchange money market yields no significantly abnormal rate of return compared with the reference rule. The result suggests that we can not reject the hypothesis that the tendency for PPP to hold in the long run does not exist. Second, using the PPP filter to invest in securities also yields no significantly higher rate of return compared with the reference rule. And third, when comparing the domestic (or foreign) interest rates with the rates of return for the domestic (or foreign) investor who uses the PPP filter, there is no significant difference between these rates in the long run. The last two results suggest that we can not reject the hypothesis that the foreign exchange-market is efficient. / Business, Sauder School of / Graduate

There has been significant interest in the empirical performance of the Purchasing Power Parity (PPP) hypothesis. Initial studies were, in general, unfavorable for PPP. Recent research has found that trend-break unit root test derived form linear models do not support the hypothesis of long-run PPP for real exchange rates. In this paper, we propose unit root tests that use STR models and minimum LM unit root tests that endogenously determine structural breaks to investigate long-run PPP in real exchange rates for Asia Pacific countries.

Thesis (Ph. D.)--Virginia Polytechnic Institute and State University, 1994. / Vita. Abstract. Includes bibliographical references (leaves 166-174). Also available via the Internet.

M.Com. (Economics) / This dissertation offers an evaluation of the performance of purchasing power parity (PPP) and the monetary approach as explanations of rand exchange rate behaviour over the last three decades. The theory of purchasing power parity is examined in detail. Thereafter purchasing power parity is combined with the quantity theory of money placing the theory in the broader context of the monetary approach. A modified monetary model illustrating exchange rate overshooting in the short-run and adjustment to PPP in the long-run is then examined in some detail. Chapter 4 presents an overview of the: empirical evidence on PPP and the monetary approach from industrialized countries and developing nations. Results are generally mixed but there does appear to be some strong support for PPP holding in the (very) long run in the case of the currencies of industrialized countries. However, it has proven very difficult to reconcile the persistence of deviations from PPP over the short to medium term with the theory of long-run purchasing power parity. This is known as, the purchasing power parity puzzle and is particularly evident for floating exchange rate regimes of industrialized countries. Studies of developing nation currencies are less supportive of PPP. However, much more research needs to be done before any firm conclusions can be made regarding exchange rate behaviour in developing countries...

by So Wai-man, Raymond. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 294-302. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.xii / LIST OF APPENDICES --- p.xvi / ACKNOWLEDGEMENT --- p.xvii / CHAPTER / Chapter I. --- INTRODUCTION --- p.1 / Importance of Real Exchange Rate Movement --- p.1 / Concepts and Hypotheses --- p.2 / The Purchasing Power Parity (PPP) Doctrine --- p.2 / Real Exchange Rate --- p.6 / Long Run Economic Series --- p.9 / Conclusion --- p.10 / Chapter II. --- LITERATURE REVIEW --- p.11 / Introduction --- p.11 / Literatures In Purchasing Power Parity --- p.12 / Literatures In Real Exchange Rates --- p.18 / Conclusions --- p.23 / Chapter III. --- METHODOLOGY --- p.25 / Introduction --- p.25 / Construction of Real Exchange Rate --- p.25 / Economic Time Series & Stationarity --- p.29 / Box-Jenkins Models --- p.32 / Autoregressive (AR) Models --- p.33 / Moving Average (MA) Models --- p.34 / Autoregressive Moving Average (ARMA) Models --- p.35 / Autoregressive Integrated Moving Average (ARIMA) Models --- p.35 / Random Walk Hypothesis --- p.36 / Unit Root Tests --- p.37 / The Dickey-Fuller Test --- p.38 / The Augmented Dickey-Fuller Test --- p.39 / The Sims Test --- p.40 / Hypothesis --- p.42 / The Dickey-Fuller Test --- p.42 / The Augmented Dickey-Fuller Test --- p.42 / The Sims Test --- p.43 / Conclusions --- p.44 / Chapter IV. --- EMPIRICAL RESULTS --- p.45 / Description of Data and Movement of Real Exchange Rates --- p.45 / Tentative AR(1) Models for Real Exchange Rates --- p.48 / Original Series: Whole Period --- p.49 / Original Series: Fixed Rate Period --- p.49 / Original Series: Floating Rate Period --- p.50 / Logarithmic Series: Whole Period --- p.50 / Logarithmic Series: Fixed Rate Period --- p.51 / Logarithmic Series: Floating Rate Period --- p.51 / The Dickey-Fuller Test Statistics --- p.52 / The Augmented Dickey-Fuller Test Statistics --- p.56 / The Sims Test Statistics --- p.59 / Summary of Empirical Results --- p.62 / Chapter V. --- SUMMARY AND CONCLUSIONS --- p.64 / Highlights of the Findings of this Study --- p.64 / Policy Implications --- p.65 / Conclusions --- p.66 / Limitations --- p.67 / APPENDICES --- p.68 / BIBLIOGRAPHY --- p.294

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Thesis (Ph. D.)--University of Washington, 2000. / Vita. Includes bibliographical references (leaves 98-101).

This study is concerned with the behaviour of exchange rate movements focusing specifically on purchasing power parity (PPP) and the non-stationarity of real exchange rates, for a number of East Asian currencies during their recent floating periods. As one of the most important building blocks in international economies, PPP forms a core component of several models of exchange rate determination, and it is the most intensively tested hypothesis in open-economy macroeconomics. Nevertheless, in contrast to the relative abundance of research on the currencies of industrialised countries, very few studies on East Asian currencies have been carried out, leaving an important gap in the literature. Using recent advances in time series analysis, the results reveal for the East Asian countries that there existed long-run comovement between the nominal exchange rate and domestic and foreign price levels, but that the strict PPP condition claimed by the theory did not hold. This implied that any deviation from the PPP equilibrium was permanent and that there was little tendency for the real exchange rate to be mean reverting. Further investigation suggested that the real exchange rate was cointegrated with fundamentals, with most of the variables entering the cointegration vector significantly, suggesting that the movements of real exchange rate were driven by these factors. Investigating the dynamic paths of the real exchange rate and the long-run relationship (cointegrating relationship) in response to exogenous shocks also revealed that the real exchange rates did not revert to their pre-shock equilibrium, but that the long-run relationship did. It took, normally three to five years, for the real exchange rate to reach and settle down to a new equilibrium and even if the effect of shocks on the long-run relationship was transitory, the speed of convergence to the equilibrium was slow. The results also showed that the effects of shocks vary from one country to another. This meant that there was no universal panacea to deal with fluctuations in real exchange rates, as they were influenced by a country's natural endowment, stage in industrialisation, as well as monetary and exchange policies.

Thesis (Ph. D.)--George Washington University, 2002. / Includes bibliographical references (leaves 229-235).