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Chinn, Menzie David.

Measuring Misalignment Purchasing Power Parity and East Asian Currencies in the 1990s / Menzie David Chinn. [electronic resource] : Menzie David Chinn. - Washington, D.C. : International Monetary Fund, 1999. - 1 online resource (29 p.) - IMF Working Papers; Working Paper ; No. 99/120 . - IMF Working Papers; Working Paper ; No. 99/120 .

The concept of purchasing power parity (PPP) is used to evaluate whether eight East Asian currencies were overvalued on the eve of the 1997 crises. The Johansen and Horvath-Watson cointegration test procedures are applied to bilateral and multilateral exchange rates, deflated using CPIs, producer price indices (PPIs), and price indices of export goods. The second deflator yields the greatest evidence of "stationarity." The study find's that the Malaysian, Philippines, and Thai currencies were overvalued, while the Korean and Indonesian were substantially undervalued. Mixed results were obtained for the others. Measures of the equilibrium rate based on time trends in CPI-deflated rates typically suggest larger overvaluations.

ISBN: 1451854250 : 15.00 USD

ISSN: 1018-5941

Standard No.: 10.5089/9781451854251.001 doi

Subjects--Topical Terms:
Cointegration
Exchange Rate
Exchange Rates
Overvaluation
Purchasing Power Parity
Real Exchange Rate

Subjects--Geographic Terms:
Hong Kong Special Administrative Region of China
Indonesia
Philippines
Singapore
Thailand