Use of Deviations of Purchasing Power Parity and Interest Rate Parity to Clarify 1997 Asian Financial Crisis
Resource
Review of Pacific Basin Financial Markets and Policies 5 (2): 195-218
Journal
Review of Pacific Basin Financial Markets and Policies
Journal Volume
5
Journal Issue
2
Pages
195-218
Date Issued
2002
Date
2002
Author(s)
Jan, Y.
Abstract
This study is an attempt to examine whether the deviations of purchasing power parity and uncover interest rate parity Granger-cause the 1997 Asian financial crisis by using vector autoregression and Granger causality tests. The results show that the purchasing power parity and uncover interest rate parity do not hold for most Asian markets. We find weak evidence to support that the deviations of purchasing power parity and uncover interest rate parity have the power to explicate the origin of the financial crisis.
Type
journal article