Causes of Deviations from Purchasing Power Parity
研究了1973年至1993年间五种主要货币的实际汇率与购买力平价汇率之间的动态关系，发现两者无长期均衡，且实际和货币冲击均无法充分解释偏离，对跨国公司汇率风险管理有启示。
This paper investigates the dynamic relationship between actual and PPP exchange rates involving five major currencies over the period 1973:01-1993:10. The result of cointegration analysis indicate no long-run relationships between actual and PPP exchange rates. The vector autoregressive framework is used to show that both real and monetary shocks influence deviations from the PPP exchange rates. However, except for the Japanese yen neither real nor monetary shocks can adequately explain the deviations from PPP for three other major currencies. A major implication for multinational businesses is that exchange rate exposure will require innovative management practices to deal with related budgeting problems. INTRODUCTION It is widely recognized that uncertainty in international markets generates considerable challenges for firms with international activities, particularly with regard to performance evaluation, strategic planning, profit planning, and budget control (Grauer, et al., 1976; Jacque, 1981; Aggarwal and Soenen, 1989; Copeland, 1989). In recent years, the volatility of foreign currency markets has highlighted the impact of exchange rate uncertainty on the internal accounting practices, foreign exchange risk management, and budgeting exercises of multinational businesses. Perhaps the most significant effects of exchange rate movements for multinational businesses are on decisions in the budgeting process that reflect the influences of translation, transaction, and economic exposure arising from foreign exchange risk (Mannino and Milani, 1992). Typically, these decisions hinge on anticipated exchange rates that are used to develop budget financial statements or applied while the budget is used for control purposes. It is in this context that exchange rate forecasts are of considerable importance to multinational businesses. Although standard economic theory emphasizes the likely occurrence of relatively constant long term real exchange rates based on the law of one price (commonly referred to as the purchasing power parity - PPP - theorem), numerous empirical studies reject this idea (Adler and Lehmann, 1983; Fung and Lo, 1992). While much attention has been given to possible explanations of the limited empirical support for the PPP theorem, there has been a growing focus on the characteristics of deviations between actual and PPP exchange rates (Kim, 1990; Kim and Enders, 1991; MacDonald and Taylor, 1992). From the perspective of multinational businesses this focus is opportune, since budgetary variances are influenced by the magnitude, duration, and sources of deviations between forecasted and actual exchange rates. This paper investigates the dynamic relationship between actual and PPP exchange rates involving five major currencies - British pound, Canadian dollar, German mark, Japanese yen, and U.S. dollar - over the period 1973:011993:10. The cointegration approach is initially used to evaluate the long-run relationship between actual and PPP exchange rates. Based on the findings of noncointegration, vector autoregressions (VAR) are employed to examine the dynamic response of deviations from the PPP exchange rates to monetary and real shocks. The main finding is that although real shocks have a greater impact than monetary shocks, neither of these can adequately explain the deviations from the PPP rates except for the Japanese yen. An important implication of the results is that multinational corporate management needs to pay closer attention to the likely causes of exchange rate changes in order to make correct operating and strategic decisions. The rest of the paper is organized as follows: The next section outlines the PPP theorem and reports the results of cointegration analysis; the following section presents the findings of the VAR estimation; and the last section summarizes the paper with concluding remarks. THE PPP THEOREM AND COINTEGRATION ANALYSIS The PPP theorem postulates a particular empirical regularity in the link between inflation and a currency's value. …