Nonlinear adjustment to purchasing power parity in G-7 countries

被引：1

作者：

Chang, Tsangyao ^{[1
]}

Lee, Chia-Hao ^{[2
]}

Chou, Pei-I ^{[2
]}

机构：

[1] Feng Chia Univ, Coll Finance, Dept Finance, Taichung 40724, Taiwan

[2] Natl Chung Hsing Univ, Coll Social Sci & Management, Dept Finance, Taichung 402, Taiwan

来源：

APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 02期

关键词：

nonlinear unit root test; purchasing power parity; G-7; countries; REAL EXCHANGE-RATES; UNIT-ROOT; MEAN-REVERSION; TIME-SERIES; CENTURIES; HYPOTHESIS; ECONOMICS;

D O I：

10.1080/13504851.2011.568389

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 proposed by Sollis (2009) to test the validity of long-run Purchasing Power Parity (PPP) in G-7 countries over the period January 1980 to September 2008. The empirical results indicate that PPP holds true for all G-7 countries, with the exception of Canada, and the adjustment towards PPP is nonlinear but in a symmetric way. These results have important policy implications for the G-7 countries under study.

引用

页码：123 / 128

页数：6

共 50 条

[1] Nonlinear adjustment to purchasing power parity with flexible Fourier function in G-7 countries
Chang, Tsangyao
Su, Chi-Wei
Lee, Chia-Hao
[J]. APPLIED ECONOMICS LETTERS, 2012, 19 (12) : 1111 - 1116
[2] Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries
Chang, Tsangyao
Lee, Chia-Hao
Chou, Pei-I
Tang, Dai-Piao
[J]. JAPAN AND THE WORLD ECONOMY, 2011, 23 (04) : 259 - 264
[3] Purchasing power parity for G-7 countries: panel SURADF tests
Chang, Tsangyao
Liu, Wen-Chi
Tzeng, Han-Wen
Yu, Chin-Ping
[J]. APPLIED ECONOMICS LETTERS, 2010, 17 (12) : 1223 - 1228
[4] Home bias and purchasing power parity: Evidence from the G-7 countries
Mylonidis, Nikolaos
Sideris, Dimitrios
[J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2008, 13 (02) : 199 - 204
[5] Nonlinear adjustment to purchasing power parity for ASEAN countries
Chang, Tsangyao
Lee, Chia-Hao
Liu, Wen-Chi
[J]. JAPAN AND THE WORLD ECONOMY, 2012, 24 (04) : 325 - 331
[6] Purchasing power parity in G-7 countries: Further evidence based on ADL test for threshold cointegration
Chang, Tsangyao
Lee, Chia-hao
Chou, Pei-I
[J]. ECONOMICS BULLETIN, 2011, 31 (02): : 1172 - 1182
[7] Purchasing power parity and nonlinear adjustment
Perez-Rodriguez, J. V.
Ledesma-Rodriguez, F.
Torra-Porras, S.
[J]. APPLIED ECONOMICS LETTERS, 2009, 16 (01) : 35 - 38
[8] Nonlinear adjustment to purchasing power parity in China
Chang, Tsangyao
[J]. APPLIED ECONOMICS LETTERS, 2012, 19 (09) : 843 - 848
[9] Purchasing power parity with nonlinear and asymmetric smooth adjustment for the Middle Eastern countries
Chang, Tsangyao
Liu, Yu-Shao
Su, Chi-Wei
[J]. APPLIED ECONOMICS LETTERS, 2012, 19 (05) : 487 - 491
[10] Validity of Absolute Purchasing Power Parity in G7 Countries
Zhang, Zhi-bai
Bian, Zhi-cun
[J]. 3RD INTERNATIONAL CONFERENCE ON ECONOMICS AND MANAGEMENT (ICEM 2016), 2016, : 68 - 72

← 1 2 3 4 5 →