This report mainly examines whether the Purchasing Power Parity （PPP） theory is supported by the data. The data used in the report contains the exchange rate of US dollar against New Zealand dollar, Consumer Price I...This report mainly examines whether the Purchasing Power Parity （PPP） theory is supported by the data. The data used in the report contains the exchange rate of US dollar against New Zealand dollar, Consumer Price Index （CPI） of the US, and Consumer Price Index of New Zealand. The time period of the data is from September 30th, 1914 to March 31st, 2010, the data were collected quarterly. Mathematical regressions and graphs are contained in the research. In this research, the simplified form of the PPP theory is analyzed, and then there is a comparison between the spotted exchange rates and the expected exchange rates. Finally, the observation on long-run PPP is explained. The key conclusion of this research is that, the PPP theory is not supported by the data, however, the long-run PPP does hold.展开更多
Unlike the Brock,Dechert,and Scheinkman(BDS)test,the Surrogate Data method is not only able to provide a nonlinearity test for exchange rates,but also distinguish whether the nonlinear features come from the economic ...Unlike the Brock,Dechert,and Scheinkman(BDS)test,the Surrogate Data method is not only able to provide a nonlinearity test for exchange rates,but also distinguish whether the nonlinear features come from the economic system itself.Our analysis gives some evidence on the presence of nonlinear dependency of five emerging markets' exchange rates by using BDS test.Furthermore,we present evidence in existence of intrinsic and deterministic nonlinearity in the five exchange rates using the Surrogate Data method,comparing the original data and surrogate data and rejecting the null hypothesis in confidence coefficient 95%.The results provide the basis for the analyses of the chaotic properties of exchange rate time series and their future nonlinear forecasting.展开更多
文摘This report mainly examines whether the Purchasing Power Parity （PPP） theory is supported by the data. The data used in the report contains the exchange rate of US dollar against New Zealand dollar, Consumer Price Index （CPI） of the US, and Consumer Price Index of New Zealand. The time period of the data is from September 30th, 1914 to March 31st, 2010, the data were collected quarterly. Mathematical regressions and graphs are contained in the research. In this research, the simplified form of the PPP theory is analyzed, and then there is a comparison between the spotted exchange rates and the expected exchange rates. Finally, the observation on long-run PPP is explained. The key conclusion of this research is that, the PPP theory is not supported by the data, however, the long-run PPP does hold.
文摘Unlike the Brock,Dechert,and Scheinkman(BDS)test,the Surrogate Data method is not only able to provide a nonlinearity test for exchange rates,but also distinguish whether the nonlinear features come from the economic system itself.Our analysis gives some evidence on the presence of nonlinear dependency of five emerging markets' exchange rates by using BDS test.Furthermore,we present evidence in existence of intrinsic and deterministic nonlinearity in the five exchange rates using the Surrogate Data method,comparing the original data and surrogate data and rejecting the null hypothesis in confidence coefficient 95%.The results provide the basis for the analyses of the chaotic properties of exchange rate time series and their future nonlinear forecasting.
