Linear and Nonlinear Cointegration of Purchasing Power Parity: Further Evidence from Developing Countries

被引：4

作者：

Bozoklu, Seref ^{[1
]}

Kutlu, Sinem ^{[1
]}

机构：

[1] Istanbul Univ, Dept Econ, TR-34452 Istanbul, Turkey

来源：

GLOBAL ECONOMIC REVIEW | 2012年 / 41卷 / 02期

关键词：

Purchasing power parity; non-linear cointegration; non-linearities; rank tests; developing countries; UNIT-ROOT TESTS; EXCHANGE-RATE; RANK-TESTS; ADJUSTMENT; INTERVENTION; EAST;

D O I：

10.1080/1226508X.2012.684470

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this study, we search for evidence of empirical validity of long-run purchasing power parity (PPP) in case of eight developing countries. We consider both a linear and non-linear model of PPP based on cointegration analysis and apply firstly Johansen's linear approach and then conduct Breitung's rank and score tests to search for any non-linear cointegrating relationship. The results obtained from Breitung's rank test suggest that once the sources of non-linearities are taken into account, the results provide stronger evidence on the empirical fulfillment of PPP.

引用

页码：147 / 162

页数：16

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