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Under the Balassa-Samuelson model, the long-run equilibrium exchange rate condition is derived by assuming that the wage in the tradable goods equals that in the non-tradable goods.
This paper relaxes this assumption and empirically examines the importance of wage differential between tradable and non-tradable goods in the long-run exchange rate. The cointegration analyses show that, in both nominal won/dollar exchange rate and in nominal effective exchange rate of won, the long-run equilibrium patterns in exchange rates are not found with the classical Balassa-Samuelson model. However, with the wage differential in the model, we find a strong long-run equilibrium in exchange rate. Based on the results, it is suggested that wage differential which also accounts for the differences in the labor market between tradable and non-tradable goods, should be included to analyze the long-run movement in the nominal exchange rate.
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참고문헌 (23)
참고문헌 신청
Balassa, B. / 1964 / The Purchasing Power Parity Doctrine : Reappraisal / Journal of Political Economy 72 : 584 ~ 596
Bank of Korea / 2013 / Analsis of Economics Structure of Korea using 2011 Input-Output Table / Quarterly National Accounts Review 201 : 3 ~ 2
Cheung, Y. / 1993 / Long-run Purchasing Power Parity during the Recent Float / Journal of International Economics 34 : 181 ~ 192
Enders, W. / 1988 / ARIMA and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes / The Review of Economics and Statistics 50 : 4 ~ 508
Engle, R. F. / 1987 / Co-integration and Error-Correction : Representation, Estimation and Testing / Econometrica 55 : 251 ~ 276
Bank of Korea / 2013 / Analsis of Economics Structure of Korea using 2011 Input-Output Table / Quarterly National Accounts Review 201 : 3 ~ 2
Cheung, Y. / 1993 / Long-run Purchasing Power Parity during the Recent Float / Journal of International Economics 34 : 181 ~ 192
Enders, W. / 1988 / ARIMA and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes / The Review of Economics and Statistics 50 : 4 ~ 508
Engle, R. F. / 1987 / Co-integration and Error-Correction : Representation, Estimation and Testing / Econometrica 55 : 251 ~ 276
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