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

页码：975 / 979

页数：5

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