Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity

被引：4
|
作者：
Nazlioglu, Saban [1 ,2 ]
Altuntas, Mehmet [3 ]
Kilic, Emre [4 ]
Kucukkkaplan, Ilhan [1 ]
机构：
[1] Pamukkale Univ, Dept Int Trade & Finance, Denizli, Turkey
[2] Nisantasi Univ, Dept Econ & Finance, Istanbul, Turkey
[3] Nisantasi Univ, Dept Logist, Istanbul, Turkey
[4] Nisantasi Univ, Dept Capital Markets & Portfolio Management, Istanbul, Turkey
来源：
APPLIED ECONOMIC ANALYSIS | 2022年 / 30卷 / 90期
关键词：
PPP; Unit root tests; Real exchange rate; GIIPS; C22; F31; REAL EXCHANGE-RATES; OIL-PRICE SHOCK; TIME-SERIES; STATIONARY TEST; GREAT CRASH; HYPOTHESIS; ADJUSTMENT; BEHAVIOR; COSTS; EURO;
D O I：
10.1108/AEA-10-2020-0146
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
PurposeThis paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries. Design/methodology/approachThe authors conduct a comprehensive analysis by using unit root approaches without and with structural breaks and non-linearity. FindingsThe PPP is valid for the GIIPS countries. Considering structural breaks in non-linear framework plays a crucial role. Originality/valueThere is no empirical study testing PPP hypothesis by focusing on the GIIPS countries. This study further takes into account for structural breaks and non-linearity in the real exchange rates of these countries.
引用
收藏
页码：176 / 195
页数：20
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