Are real exchange rates stationary based on panel unit-root tests? Evidence from Pacific Basin countries

被引：0

作者：

Wu, JL ^{[1
]}

Chen, SL

机构：

[1] Natl Chung Cheng Univ, Dept Econ, Chiayi 621, Taiwan

[2] Fu Jen Catholic Univ, Dept Econ, Taipei 242, Taiwan

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 1999年 / 4卷 / 03期

关键词：

purchasing power parity; real exchange rates; panel unit-root tests; bootstrap; contemporaneous correlation;

D O I：

10.1002/(SICI)1099-1158(199907)4:3<243::AID-IJFE99>3.3.CO;2-R

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Recently, there have been many studies that apply the panel unit-root test of Levin and Lin (1992) to support the validity of long-run purchasing power parity (PPP) for industrial countries. This paper applies two recently developed panel unit-root tests, provided by Im ef al. (1995) and Maddala and Wu (1998), respectively, to re-examine the PPP hypothesis for eight Pacific Basin countries. The empirical evidence fails to support PPP for Pacific Basin countries. This finding is robust to different base countries and to I different subsets of the panel. Copyright (C) 1999 John Wiley & Sons, Ltd.

引用

页码：243 / 252

页数：10

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