Nonlinear adjustment to purchasing power parity for ASEAN countries

被引：8
|
作者：
Chang, Tsangyao [2 ]
Lee, Chia-Hao [1 ]
Liu, Wen-Chi [3 ]
机构：
[1] Natl Chung Hsing Univ, Dept Finance, Taichung 40227, Taiwan
[2] Feng Chia Univ, Dept Finance, Taipei, Taiwan
[3] Da Yeh Univ, Dept Finance, Dacun Township, Taiwan
来源：
JAPAN AND THE WORLD ECONOMY | 2012年 / 24卷 / 04期
关键词：
Purchasing power parity; ASEAN countries; Nonlinear unit root test; Asymmetric; AESTAR test; REAL EXCHANGE-RATES; UNIT-ROOT; MEAN-REVERSION; CENTURIES; ECONOMICS;
D O I：
10.1016/j.japwor.2012.05.001
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 test, proposed by Sollis (2009), to test the validity of long-run purchasing power parity (PPP) in a sample of ASEAN countries. The empirical results indicate that PPP only holds for three of these ASEAN countries studied, and the adjustment toward PPP is found to be nonlinear and asymmetric. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：325 / 331
页数：7
相关论文
共 50 条
  • [31] Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices
    Beckmann, Joscha
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2013, 24 : 176 - 190
  • [32] ON THE PURCHASING POWER PARITY FOR LATIN-AMERICAN COUNTRIES
    Divino, Jose Angelo
    Teles, Vladimir Kuhl
    De Andrade, Joaquim Pinto
    JOURNAL OF APPLIED ECONOMICS, 2009, 12 (01) : 33 - 54
  • [33] Flexible Fourier stationary test in purchasing power parity for African countries
    Su, Chi-Wei
    Chang, Hsu-Ling
    Zhu, Meng-Nan
    APPLIED ECONOMICS, 2012, 44 (25) : 3255 - 3262
  • [34] Purchasing power parity in transition countries: Old wine with new bottle
    He, Huizhen
    Ranjbar, Omid
    Chang, Tsangyao
    JAPAN AND THE WORLD ECONOMY, 2013, 28 : 24 - 32
  • [35] Purchasing power parity with threshold effects for Central and Eastern European countries
    Liu, Yu-Shao
    Su, Chi-Wei
    Zhu, Meng-Nan
    APPLIED ECONOMICS LETTERS, 2011, 18 (18) : 1801 - 1806
  • [36] Purchasing power parity in transition countries: Sequential panel selection method
    He, Huizhen
    Chang, Tsangyao
    ECONOMIC MODELLING, 2013, 35 : 604 - 609
  • [37] Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries
    Chang, Tsangyao
    Lee, Chia-Hao
    Chou, Pei-I
    Tang, Dai-Piao
    JAPAN AND THE WORLD ECONOMY, 2011, 23 (04) : 259 - 264
  • [38] Examining the evidence of purchasing power parity by recursive mean adjustment
    Kim, Hyeongwoo
    Moh, Young-Kyu
    ECONOMIC MODELLING, 2012, 29 (05) : 1850 - 1857
  • [39] Purchasing power parity for 10 Latin American integration association countries: panel SURKSS tests
    Chang, Tsangyao
    Liu, Wen-Chi
    Yu, Chin-Ping
    Kang, Shuchen
    APPLIED ECONOMICS LETTERS, 2010, 17 (16) : 1575 - 1580
  • [40] Temporal aggregation and purchasing power parity persistence
    Ahmad, Yamin
    Craighead, William D.
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2011, 30 (05) : 817 - 830
12345