A Study on Long-run Purchasing Power Parity : Empirical Inquiry

다국어 초록 (Multilingual Abstract)

This paper examines whether the long-run version of purchasing power parity(PPP) holds between Korea and its two major trading partners-the U.S. and Japan. The PPP relationship is tested by examining whether price levels and the exchange-rate-adjusted price levels between Korea and the U.S. as well as Korea and Japan form a cointegrated system. Empirical evidence is not favorable to the PPP hypothesis. No evidence of cointegration is found for any pair of prices for the Korea-U.S. system as well as the Korea-Japan system. For the empirical study, two price measures were employed-the wholesale price index and the consumer price index. However, the main results of this study are not affected by the price index chosen. Since cointegration is understood as evidence of a long-run equilibrium relation, the findings of this study indicate that prices and exchange rates are not in equilibrium and may diverge even in the long-run.

국문 초록 (Abstract)

본 논문은 한국경제와 미국 및 일본경제 간에 장기에 있어서 구매력평가(purchasing power parity)가 존재하는 가를 분석한다. 구매력평가설은 두 국가 사이의 환율변동이 해당국가들의 물가수준에 의해 결정됨을 의미한다. 즉, 이것은 환율과 물가수준이 시간이 경과함에 따라 함께 움직인다는 것을 말한다. 구매력평가가 단기에는 성립하지 않는다는 것이 경제학자들 사이에 일반적으로 받아들여지고 있으며 다수의 연구논문에 의해 뒷받침되고 있다. Frenkel(1981)은 단기에 구매력평가가 성립하지 않는 이유는 환율이 경제상황의 변화에 신속히 반응하는 반면 상품가격은 덜 유동적이기 때문으로 보고 있다. 그러나 장기에 있어서 구매력평가의 성립여부는 학자들 사이에 논쟁거리가 되고 있다. 본 논문은 구매력평가관계를 검증하는 데 있어서 McNown과 Wallace의 논문(1989)에서 사용된 분석방법을 적용한다. 따라서 한미, 한일경제 간의 구매력평가의 성립 여부는 물가수준과 환율에 의해 조정된 물가수준이 공적분체계(cointegrating system)를 형성하는 가를 연구함으로써 분석된다. 연구결과는 물가와 환율이 균형상태에 있지 않으며 장기에서조차도 발산(divergence)할 수 있음을 나타낸다. 즉 한미, 한일경제 간에 구매력평가가 장기에도 성립하지 않고 있음을 나타낸다.

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