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In 1994, the United States, Canada, and Mexico signed the North American Free Trade Agreement (NAFTA) to strengthen economic cooperation. To examine the effects of the NAFTA, this study revisits Purchasing Power Parity (PPP) for NAFTA countries by applying a time-varying cointegration model. Under the time-varying assumption, it improves the explanatory power of reality via the model specification test. Given that, the validity of PPP for NAFTA countries varies over time. Especially, the PPP elasticity based on the consumer price index (CPI) is more volatile than the producer price index (PPI) -based. Thus, the stabilization policy of the consumption sector must be a high priority over the production sector. Moreover, the validity of the Uncovered Interest Rate Parity (UIRP) is examined by the time-varying cointegration model. The aim is to compare the results of the PPP and UIRP. This suggests that the PPP is more useful than the UIRP in evaluating the movement of the exchange rate in the long-run.
Jong Cheol Yoon; Dai Hong Min; Sang Young Jei. Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model. Economic Modelling 2019, 90, 494 -500.
AMA StyleJong Cheol Yoon, Dai Hong Min, Sang Young Jei. Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model. Economic Modelling. 2019; 90 ():494-500.
Chicago/Turabian StyleJong Cheol Yoon; Dai Hong Min; Sang Young Jei. 2019. "Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model." Economic Modelling 90, no. : 494-500.
On October 18, 2017, Chinese President Xi Jinping presented the blueprint for building a modernized socialist nation through the realization of the Xiao Kang (every nation enjoys a peaceful and affluent life; it is meaningless to eliminate the poor) social construction at the 19th Congress of China. Subsequent to the 2008 financial crisis, the world has moved on to the new economic status of the “new normal”. China has also entered the era of Xinchang Thai, which is moving from the high-growth to the moderate-growth phase. Therefore, the government of China emphasizes privatization, liberalization, and deregulation. China is also influenced by government policies due to the nature of socialism. This study confirms China’s current stage of economic development, based on Barro’s theory. Thus, we use a quantile regression model and examine the correlation between economic growth and functional classification of government expenditure during Xi Jinping’s term of office. Furthermore, we selected Korea as a comparative country, as the two countries have common features.
Jong Chan Lee; Yi Joong Won; Sang Young Jei. Study of the Relationship between Government Expenditures and Economic Growth for China and Korea. Sustainability 2019, 11, 6344 .
AMA StyleJong Chan Lee, Yi Joong Won, Sang Young Jei. Study of the Relationship between Government Expenditures and Economic Growth for China and Korea. Sustainability. 2019; 11 (22):6344.
Chicago/Turabian StyleJong Chan Lee; Yi Joong Won; Sang Young Jei. 2019. "Study of the Relationship between Government Expenditures and Economic Growth for China and Korea." Sustainability 11, no. 22: 6344.
This study revisits Okun’s law for the ASEAN-6. We apply a time-varying parameter model to simultaneously consider nonlinearity and asymmetric characteristics of Okun’s law. The result shows that Okun’s law does not hold in other countries except Thailand, Philippines, and Malaysia. That is because FDI plays an important role in economic growth, and the shortage of skilled workers and the surplus of unskilled workers coexist. On the other hand, Okun’s law is statistically valid for Thailand, Malaysia, and the Philippines. These countries have a low unemployment rate because of the characteristics of labor market. In addition, the detrend GDP shows a similar pattern to the time-varying coefficient. This indicates that the negative relationship between the unemployment rate and the output strengthens in the recession period because the economic growth in ASEAN-6 countries highly depends on foreign investment.
Jun Kim; Jong Cheol Yoon; Sang Young Jei. An empirical analysis of Okun’s laws in ASEAN using time-varying parameter model. Physica A: Statistical Mechanics and its Applications 2019, 540, 123068 .
AMA StyleJun Kim, Jong Cheol Yoon, Sang Young Jei. An empirical analysis of Okun’s laws in ASEAN using time-varying parameter model. Physica A: Statistical Mechanics and its Applications. 2019; 540 ():123068.
Chicago/Turabian StyleJun Kim; Jong Cheol Yoon; Sang Young Jei. 2019. "An empirical analysis of Okun’s laws in ASEAN using time-varying parameter model." Physica A: Statistical Mechanics and its Applications 540, no. : 123068.
This study revisits purchasing power parity (PPP) for China and the United Kingdom (UK) by applying a time-varying cointegration model. When traditional linear unit root tests and a time-invariant cointegration test are performed, we find fixed long-run equilibrium in China and the UK. However, we cannot check the movement of the cointegration vector. To solve this limitation, we perform a time-varying cointegration. The result of a time-varying cointegration model shows that the validity of PPP for China varies over time. On the other hand, PPP does not hold for all periods for the UK. This study shows that the effect of government policy varies depending on the degree of openness. In China with a low degree of openness, export-oriented policies have had a positive impact on PPP. However, in the UK with a high degree of openness, PPP was not valid due to the role of the exchange rate as an asset price and the downward rigidity of wage.
Jong Cheol Yoon; Dai Hong Min; Sang Young Jei. Empirical test of purchasing power parity using a time-varying cointegration model for China and the UK. Physica A: Statistical Mechanics and its Applications 2019, 521, 41 -47.
AMA StyleJong Cheol Yoon, Dai Hong Min, Sang Young Jei. Empirical test of purchasing power parity using a time-varying cointegration model for China and the UK. Physica A: Statistical Mechanics and its Applications. 2019; 521 ():41-47.
Chicago/Turabian StyleJong Cheol Yoon; Dai Hong Min; Sang Young Jei. 2019. "Empirical test of purchasing power parity using a time-varying cointegration model for China and the UK." Physica A: Statistical Mechanics and its Applications 521, no. : 41-47.
This article investigates Okun’s law for Japan, Korea, Hong Kong and Singapore over the period 1986–2011. Two time-varying parameter models, first-order difference and gap models, are considered to find a negative time-varying relationship between the real output and the unemployment rate. The empirical findings show that there exist time-varying negative relationships between the real output and the unemployment rate for all economies. We also find that the estimated time-varying Okun’s coefficients are dominated by changes in the real GDP for Korea. However, the Okun’s coefficients are dominated by changes in the unemployment rate for Japan, Hong Kong and Singapore.
Myeong Jun Kim; Sung Y. Park; Sang Young Jei. An empirical test for Okun’s law using a smooth time-varying parameter approach: evidence from East Asian countries. Applied Economics Letters 2014, 22, 788 -795.
AMA StyleMyeong Jun Kim, Sung Y. Park, Sang Young Jei. An empirical test for Okun’s law using a smooth time-varying parameter approach: evidence from East Asian countries. Applied Economics Letters. 2014; 22 (10):788-795.
Chicago/Turabian StyleMyeong Jun Kim; Sung Y. Park; Sang Young Jei. 2014. "An empirical test for Okun’s law using a smooth time-varying parameter approach: evidence from East Asian countries." Applied Economics Letters 22, no. 10: 788-795.
This study examines the validity of the Purchasing Power Parity (PPP) hypothesis for Japan and Korea by using a smooth time-varying cointegrating regression model. When we use the usual approaches, including unit root and cointegration tests, we fail to find the existence of the PPP for Japan and Korea. However, we find there is a time-varying cointegrating relationship between the logarithm of nominal exchange rates and the logarithm of the Producer Price Indices (PPI) ratio for Japan and Korea. This relationship does support the PPP theory. Moreover, we also find that the exact PPP theory holds for some periods in Japan and Korea.
Hyung-Gun Kim; Sang Young Jei. Empirical test for purchasing power parity using a time-varying parameter model: Japan and Korea cases. Applied Economics Letters 2013, 20, 525 -529.
AMA StyleHyung-Gun Kim, Sang Young Jei. Empirical test for purchasing power parity using a time-varying parameter model: Japan and Korea cases. Applied Economics Letters. 2013; 20 (6):525-529.
Chicago/Turabian StyleHyung-Gun Kim; Sang Young Jei. 2013. "Empirical test for purchasing power parity using a time-varying parameter model: Japan and Korea cases." Applied Economics Letters 20, no. 6: 525-529.