Nonlinear adjustment to purchasing power parity for ASEAN countries

被引：8

作者：

Chang, Tsangyao ^{[2
]}

Lee, Chia-Hao ^{[1
]}

Liu, Wen-Chi ^{[3
]}

机构：

[1] Natl Chung Hsing Univ, Dept Finance, Taichung 40227, Taiwan

[2] Feng Chia Univ, Dept Finance, Taipei, Taiwan

[3] Da Yeh Univ, Dept Finance, Dacun Township, Taiwan

来源：

JAPAN AND THE WORLD ECONOMY | 2012年 / 24卷 / 04期

关键词：

Purchasing power parity; ASEAN countries; Nonlinear unit root test; Asymmetric; AESTAR test; REAL EXCHANGE-RATES; UNIT-ROOT; MEAN-REVERSION; CENTURIES; ECONOMICS;

D O I：

10.1016/j.japwor.2012.05.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study applies a simple and powerful nonlinear unit root test, proposed by Sollis (2009), to test the validity of long-run purchasing power parity (PPP) in a sample of ASEAN countries. The empirical results indicate that PPP only holds for three of these ASEAN countries studied, and the adjustment toward PPP is found to be nonlinear and asymmetric. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：325 / 331

页数：7

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