Purchasing power parity nonlinear threshold unit root test for East-Asian countries

被引：5
|
作者：
Chang, Tsangyao [2 ]
Su, Chi-Wei [1 ,3 ]
Lee, Chia-Hao [4 ]
机构：
[1] Tamkang Univ, Dept Int Business, Taipei 25137, Taiwan
[2] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan
[3] Xiamen Univ, Dept Finance, Xiamen, Peoples R China
[4] Natl Chung Hsing Univ, Dept Finance, Taichung 40227, Taiwan
来源：
APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 10期
关键词：
purchasing power parity; East-Asian countries; nonlinear threshold unit root test; REAL EXCHANGE-RATES; TIME-SERIES; 2; CENTURIES; ADJUSTMENT; ECONOMICS;
D O I：
10.1080/13504851.2011.608641
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study applies the Threshold Autoregressive (TAR) model proposed by Caner and Hansen (2001) to test the validity of long-run Purchasing Power Parity (PPP) of nine East-Asian countries over the period January 1986 to October 2009. The empirical results indicated 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：975 / 979
页数：5
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