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Purchasing
Power Parity of Papua New Guinea: A Cointegration Analysis
-- Guneratne B Wickremasinghe
The
paper attempts to examine the validity of the Purchasing
Power Parity (PPP) hypothesis for Papua New Guinea (PNG)
during the floating exchange rate regime. Exchange rates
for the Australian dollar, Japanese yen, the UK pound and
the US dollar in terms of kina are used in the empirical
analysis. Two models—restricted and unrestricted—are
used to investigate the validity of the PPP hypothesis.
For the restricted model, Johansen cointegration test finds
that there are long run relationships between the kina exchange
rates for the Australian dollar, Japanese yen and the US
dollar and the ratio of PNG price level to price levels
of Australia, Japan and the US. The results for the unrestricted
model indicate long run relationships between the kina exchange
rates for all the four currencies and price level of PNG
and those of the four countries. These results are consistent
with the PPP hypothesis. However, results for any of the
currencies do not support the symmetry and proportionality
conditions implied by the PPP hypothesis.
©
2007 IUP . All Rights Reserved.
Interdependence
among the Asian Pacific Stock Market during the Asian Financial
Crisis
-- Wan Mansor Mahmood
and Marlinda Ali
The
paper examines the short run and long run price interdependences
among the Asian Pacific equity markets, in the period surrounding
the Asian financial crisis. The daily data composed of value
weighted equity market indexes of Malaysia, Japan, Hong
Kong and Australia, for the period from January 1997 to
December 2000 are used. The unit root test, cointegration
test, error correction model and causality test are conducted
to examine the relationship among these markets. Our results
show that there is a stationary long run relationship and
significant short run causal linkage for certain cases among
the Asian Pacific equity markets. Furthermore, the long
run interdependence has strengthened since the onset of
the crises. The causal relationships that exist between
the developed, and emerging equity markets suggest that
opportunities for international portfolio diversification
in the Asian Pacific equity markets still exist.
©
2007 IUP . All Rights Reserved.
The
Puzzling Effect of September 11 on Interdependences of
International Stock Markets
-- João
Leitão and Cristóvão Oliveira
In
the context of interdependence of the financial markets,
it becomes interesting to analyze the effects of the terrorist
attacks of September 11, 2001, in USA, on the different
financial markets. The paper attempts to demonstrate the
occurence of a contagion effect among few important international
stock markets, by comparing two contrasting periods—the
pre-attack period and the post-attack period. The results
obtained by estimation of a vector autoregressive model
detect cointegrating relationships among the different stock
indexes. A dynamic analysis is conducted, using the block
exogeneity tests to check the existence of causality relations.
The contagion effect initiating from the USA, which yielded
greater volatility, with a positive sign in two European
stock markets—the Portuguese and the English stock
markets—is ratified.
©
2007 IUP . All Rights Reserved.
Similarity
and Geographical Issues in Evaluating the Impact of R&D
Spillovers at Firm Level: Evidence from Italy
-- Francesco Aiello and Paola Cardamone
This
paper assesses the impact of R&D spillovers on production,
for a balanced panel of 1203 Italian manufacturing firms,
over the period 1998-2003. The estimations are based on
a translog production function augmented by a measure of
R&D spillovers, that combines the geographical distance
and technological similarity within each pair of firms.
We find three key results. Firstly, we show that the translog
production function is more suitable to model firm behavior
than the Cobb-Douglas model. Secondly, we argue that the
external stock of technology exerts a significant impact
on production. This impact is high, whatever way is chosen
to weight the innovation flows, and is highly sensitive
to the geographical diffusion of technology. Lastly, it
emerges that R&D spillovers are Morishima complements
to physical and R&D -own capital and Morishima substitute
for labor.
©
2007 IUP . All Rights Reserved.
Research Note
Road
Pricing, Traffic Congestion and Economic Welfare: A Note
-- Ingo Bobel and Casimir de Rham
Until
recently, in Switzerland (and elsewhere in Europe), the
subject of road pricing to reduce traffic congestion was
not a primary matter of public or academic interest. However,
as the number of congested hours per year keeps growing,
and information regarding successful experiences abroad
become available (see the London Congestion Charge), mentalities
begin to change slowly. Road pricing is increasingly considered
as an alternative to "just keep waiting in the traffic
jam" (UK Department for Transport; Grieco and Jones,
1994; Ahlstrand, 2001; Willoughby, 2001; Raux and Souche,
2004).
©
2007 IUP . All Rights Reserved.
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