PURCHASING POWER PARITY IN AFRICAN COUNTRIES: FURTHER EVIDENCE FROM FOURIER UNIT ROOT TESTS BASED ON LINEAR AND NONLINEAR MODELS

被引：16

作者：

Yilanci, Veli ^{[1
]}

Eris, Zehra Ayca ^{[1
]}

机构：

[1] Istanbul Univ, Dept Econometr, Fac Econ, Beyazit Fatih Istanbul, Turkey

来源：

SOUTH AFRICAN JOURNAL OF ECONOMICS | 2013年 / 81卷 / 01期

关键词：

C22; F31; Africa; Fourier series; nonlinearity; purchasing power parity; EXCHANGE-RATE; INTERVENTION; MARKET; COINTEGRATION; STATIONARITY; ADJUSTMENT; RATES; HOLD; PPP;

D O I：

10.1111/j.1813-6982.2012.01326.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the validity of purchasing power parity hypothesis for 33 African countries using recently developed Fourier unit root tests by Christopoulos and Leon-Ledesma that account for the existence of multiple breaks in the real exchange rates. The results support the evidence of the PPP in 20 countries, showing that most of the real exchange rates in the selected countries are characterised by linear or nonlinear stationary around multiple temporary mean changes.

引用

页码：20 / 34

页数：15

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