This paper examines the information on future exchange rate movements provided by the doctrine of purchasing power parity (PPP). Previous research has studied this issue by analysing the time-series properties of period-by-period levels of, or changes in, exchange rates. In contrast, the present stu
Purchasing Power Parity and the Yen/Dollar Exchange Rate
β Scribed by Gunther Schnabl
- Book ID
- 108544430
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 187 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0378-5920
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π SIMILAR VOLUMES
This paper examines the conditional heteroscedasticity of the yenΒ±dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the apprecia
## Abstract When there is a high concentration of informed yen/dollar traders active in Tokyo, theory suggests that there should be a faster adjustment of the yen/dollar exchange rate to the fullβinformation level. We exploit the data during a period believed to contain a high concentration of info