원화환율의 장기구매력평가에 관한 실증분석: 부호검정법 = Test of Purchasing Power Parity for Korean Exchange Rate: Sign Unit Root Test

다국어 초록 (Multilingual Abstract)

Purchasing power parity(PPP) is of interest in international finance literatures. The most popular method for testing PPP is the Dickey-Fuller(DF) test based on the ordinary least squares estimator(OLSE). The OLSE-based unit root tests, however, suffer from size distortion and power loss. We use a new sign unit root test which has simple exact null distribution and is robust to possible outliers from heavy-tailed errors. We also investigate whether PPP holds between Korea won and other currencies of important trade countries such as United States, the United Kingdom, Germany, Canada, and Japan by testing for unit roots in real exchange rates. We use Korean won as the base currency.