ECOM122(2019)Page1
CourworkPaper
ECOM122AppliedFinancewithEviewsDuration:1.5hours
AnswerALLsub-questions
IMPORTANTNOTE:THEACADEMICREGULATIONSSTATETHATPOSSESSIONOF
UNAUTHORISEDMATERIALATANYTIMEWHENASTUDENTISUNDER
EXAMINATIONCONDITIONSISANASSESSMENTOFFENCEANDCANLEADTO
CHECKNOWTOENSUREYOUDONOT
HAVEANYNOTES/USBFLASHDRIVES/OTHERELECTRONICDEVICESWHICHWILL
HAVEANYTHENPLEASERAISEYOURHANDANDGIVETHEMTOANINVIGILATOR
IMMEDIATELY.
Examiner:entimiglia
©QueenMary,UniversityofLondon,2019
Question1[100marks]
Abasicpropositionisthatexchangeratesadjustsoastomaintainthepurchasingpower
parity(PPP):thepriceofabundleofgoods,expresdincommoncurrency,shouldbethe
takingintoconsiderationtheexchangeratebetweentwo
countries,agoodincountryAshouldbesoldatthesamepriceincountryB.
TheaimofthixerciistotestwhetherPPPtheoryholdsbetweenJapanandUSinthe
aforthixerciarecontainedinthefileCourwork_data_18_,
whereJPCPIistheJapanConsumerPriceIndex,USCPIistheUSConsumerPriceIndex
andJPYUSDistheYentoUSdollarnominalexchangerate(yyenyouneed
tobuyoneUS$).vea
monthlyfrequencyandspanfrom1991to2015(source:IFS).
Let
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