Real exchange rates in the long run: an empirical study of purchasing power parity.

Description

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

Links & Downloads

1. cuhk:318797
2. http://library.cuhk.edu.hk/record=b5886932
3. http://repository.lib.cuhk.edu.hk/en/item/cuhk-318797

Tags

Foreign exchange rates

Purchasing power parity

Additional Fields

Identifer	oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_318797
Date	January 1991
Contributors	So, Wai-man., Chinese University of Hong Kong Graduate School. Division of Business Administration.
Publisher	Chinese University of Hong Kong
Source Sets	The Chinese University of Hong Kong
Language	English
Detected Language	English
Type	Text, bibliography
Format	print, xvii, 302 leaves : ill. ; 30 cm.
Rights	Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)