Purchasing power parity with nonlinear threshold unit root test

被引：0

作者：

Chang, Tsangyao ^{[2
]}

Su, Chi-Wei ^{[1
,3
]}

Liu, Yu-Shao ^{[1
,2
]}

机构：

[1] Xiamen Univ, Dept Finance, Xiamen, Peoples R China

[2] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan

[3] Tamkang Univ, Dept Int Business, Taipei, Taiwan

来源：

APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 09期

关键词：

purchasing power parity; East Asian countries; nonlinear threshold unit root test; REAL EXCHANGE-RATES; TIME-SERIES; 2; CENTURIES; ECONOMICS;

D O I：

10.1080/13504851.2011.607110

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study applies a simple and powerful nonlinear threshold unit root test proposed by Caner and Hansen (2001) to test the validity of long-run Purchasing Power Parity (PPP) in a sample of nine East Asian countries. The empirical results indicate that PPP holds true for more than half of these nine East Asian countries under study, and the adjustment towards PPP is found to be nonlinear.

引用

页码：839 / 842

页数：4

共 50 条

[21] Nonlinear adjustment to purchasing power parity in Latin American countries: the ADL test for threshold cointegration
Pan, Guochen
Chang, Tsangyao
Tang, D. P.
Lee, Chia-Hao
APPLIED ECONOMICS LETTERS, 2012, 19 (09) : 857 - 862
[22] Purchasing power parity and unit root tests using panel data
Oh, KY
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1996, 15 (03) : 405 - 418
[23] Panel unit root tests of purchasing power parity for price indices
Fleissig, AR
Strauss, J
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2000, 19 (04) : 489 - 506
[24] PURCHASING POWER PARITY IN LATIN AMERICAN COUNTRIES: LINEAR AND NONLINEAR UNIT ROOT TESTS WITH STATIONARY COVARIATES
Liu, Siyue
Chang, Tsangyao
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2013, 47 (04): : 297 - 305
[25] Testing the validity of purchasing power parity for China: Evidence from the Fourier quantile unit root test
Chan, Kenneth S.
Lai, Jennifer T.
Liang, Xiaoyi
REVIEW OF INTERNATIONAL ECONOMICS, 2023, 31 (02) : 464 - 492
[26] Purchasing power parity during currency crises: A panel unit root test under structural breaks
Breitung, J
Candelon, B
REVIEW OF WORLD ECONOMICS, 2005, 141 (01) : 124 - 140
[27] Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks
Jörg Breitung
Bertrand Candelon
Review of World Economics, 2005, 141 : 124 - 140
[28] THE VALIDITY OF PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: A ROLLING NONLINEAR UNIT ROOT TEST (vol 25, pg 975, 2012)
Yilanci, Veli
EKONOMSKA ISTRAZIVANJA-ECONOMIC RESEARCH, 2013, 26 (01): : CP1 - CP1
[29] Panel unit root tests of purchasing power parity for Central Asian countries
Hung, S. H.
Weng, M. J.
APPLIED ECONOMICS LETTERS, 2011, 18 (06) : 585 - 590
[30] Testing the validity of purchasing power parity in alternative markets: Evidence from the fourier quantile unit root test
Doganlar, Murat
Mike, Faruk
Kizilkaya, Oktay
BORSA ISTANBUL REVIEW, 2021, 21 (04) : 375 - 383

← 1 2 3 4 5 →