Empirical analysis on purchasing power parity hypothesis based on scanner data

• Project/Area Number: 24830049
• Research Category: Grant-in-Aid for Research Activity Start-up
• Allocation Type: Single-year Grants
• Research Field: Applied economics
• Research Institution: Osaka University
• Principal Investigator: MATSUOKA Takayasu 大阪大学, 国際公共政策研究科, 助教 (80634386)
• Project Period (FY): 2012-08-31 – 2014-03-31
• Project Status: Completed (Fiscal Year 2013)
• Budget Amount: ¥3,120,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥720,000); Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2012: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
• Keywords: 購買力平価仮説 / POSデータ / 物価指数 / 為替レート / 国際金融

Research Abstract

This study aims to analyze the dynamics of the yen-dollar real exchange rate using scanner data collected at retail stores in the United States and Japan from September 1989 to May 1997. I calculate a weekly multilateral price index, free from chain-index drift, for items commonly available in both countries. The results reveal that the weekly real exchange rate shows strong mean-reverting tendencies even when the yen appreciated sharply. To conclude, we apply the unit-root test to the real exchange rate, rejecting the purchasing power parity hypothesis.

Research Products

• [Presentation] Testing Purchasing Power Parity Based on High-Frequency Scanner Data Summer (2013)
  • Author(s): 松岡孝恭
  • Organizer: Workshop on Economic Theory2013
  • Place of Presentation: 北海道大学
  • Year and Date: 2013-08-10
• [Presentation] Testing Purchasing Power Parity Based on High-Frequency Scanner Data (2013)
  • Author(s): 松岡孝恭
  • Organizer: 第2回大阪大学経済学研究会(IPP研究会共催)
  • Place of Presentation: 大阪大学
  • Year and Date: 2013-04-25
• [Presentation] Testing Purchasing Power Parity Based on High-Frequency Scanner Data (2013)
  • Author(s): 松岡孝恭
  • Organizer: 第２回大阪大学経済学研究会 （IPP研究会共催）
  • Place of Presentation: 大阪大学大学院経済学研究科
• [Presentation] Testing Purchasing Power Parity Based on High-Frequency Scanner Data (2013)
  • Author(s): 松岡孝恭
  • Organizer: Summer Workshop on Economic Theory 2013
  • Place of Presentation: 北海道大学
• [Presentation] Testing Purchasing Power Parity Based on High-Frequency Scanner Data (2012)
  • Author(s): 松岡孝恭
  • Organizer: 広島大学大学院社会科学研究科セミナー
  • Place of Presentation: 広島大学
  • Year and Date: 2012-11-29
• [Presentation] Testing Purchasing Power Parity Based on High-Frequency Scanner Data (2012)
  • Author(s): 松岡孝恭
  • Organizer: 日本経済学会2012年度秋季大会
  • Place of Presentation: 九州産業大学