Revisiting purchasing power parity in the ASEAN-5 countries: evidence from the Fourier quantile unit root test

被引：7

作者：

Bahramian, Pejman ^{[1
]}

Saliminezhad, Andisheh ^{[2
]}

机构：

[1] Queens Univ, Dept Econ, Kingston, ON, Canada

[2] Near East Univ, Dept Econ, Nicosia, Northern Cyprus, Turkey

来源：

APPLIED ECONOMICS LETTERS | 2021年 / 28卷 / 13期

关键词：

Fourier quantile unit root test; ASEAN-5; PPP; EXCHANGE-RATES; TIME-SERIES; LONG-RUN; REAL; STATIONARITY; PPP;

D O I：

10.1080/13504851.2020.1803473

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines the long-run validity of purchasing power parity (PPP) through the Fourier quantile unit root test for a sample of ASEAN-5 countries. Using the aforementioned test, we can model structural breaks as a gradual and smooth process. The application of the conventional unit root tests provides conflicting results in support of the PPP hypothesis. However, the results of the Fourier quantile unit root test indicate that the real effective exchange rate series are stationary for Indonesia, the Philippines, Singapore, and Thailand.

引用

页码：1104 / 1109

页数：6

共 20 条

[1]

[Anonymous], J AM STAT ASS

[2]

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[3] Panel asymmetric nonlinear unit root test and PPP in Africa [J].