กฎราคาเดียวและสมมติฐานอำนาจซื้อระหว่างประเทศ : การทดสอบเชิงประจักษ์ในกรณีประเทศไทย / ภูดินันท์ อดิทิพยางกูร = Law of one price and purchasing power parity hypothesis : an empirical test in the case of Thailand / Pudinan Adithipyangkul
The objective of this study is to test the purchasing power parity hypothesis (PPP) and the law of one price (LOP). The period of the empirical study is from the end of the 1970’s to October 1999. The data used were monthly data. The test was done by determining the relationship between Thai goods prices and foreign goods prices in terms of Thai baht. In the study we assumed that Thailand was a small country and we used the cointegration method for our econometric testing. The PPP test used aggregated price data while the LOP test used goods prices data disaggregated by commodity group and by individual commodity. To accept PPP and LOP, elasticity coefficients are specified to be in the range of 0.75-1.25 and R² to be at feast equal to 0.8 Furthermore, the cointegration relationship should not be rejected. The study results show that for the period during the end of 1970’s to October 1999, there were 10 cases out of totally 33 cases where the PPP hypothesis was accepted. For the LOP test using 20 groups of disaggregated goods prices data, there were 27 cases out of totally 151 cases where the LOP was accepted. In addition, we also used 67 commodity price data to examine the LOP hypothesis. There were 33 cases out of totally 169 cases where the LOP was accepted. Overall we do not find much evidence supporting the PPP or the LOP. Moreover, the results seem to be sensitive to periods of study and the sample size. Small sample size led to rejecting the PPP and the LOP because of the volatile exchange rates. Increased sample size enhanced the likelihood of accepting both the PPP and the LOP. All evidence indicates the slow adjustment process of Thai goods prices in response to the changes in exchange rates and foreign prices. However, the more disaggregated data we used, the more robust the PPP and the LOP tests were found. The potential benefit of this study is for helping guiding economic policies that need prediction of long-term directions of price changes. It is also helpful for conjecturing the impacts and the evaluation results of economic policies affecting commodity prices.