The Analysis of Long-run Real Exchange Rate in Japan
| Autor: | Ya-chun Liu, 劉雅君 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 Purchasing Power Parity (PPP) has been regarded as the most important theory to explain the exchange rate movement based on relative price levels of two countries. After 1973, more and more countries were taking the floating exchange rate system, and the real exchange is testing out to be a non-stationary time seriess. This would be some real factors to have an effect on the real exchange rate. In the article, We study how these possible factors change the real exchange rate and make use of Wu et.al (2008) and Lee (2010)’s local projection to estimate the impulse responses under the non-stationary time series which has cointegration vectors, and then we compare the difference between the impulse response in conventional VAR and the impulse response in Local Projection. The emprical model we use is the smae one as in Zhou (1995) and Wang and Dunne (2003), and the rule of the data is the same as in Wang and Dunne (2003). Finally, we get the consistent conclusion with Wu et.al (2008), Zhou (1995) and Wang and Dunne (2003). |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|