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
收藏
页码：839 / 842
页数：4
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