Purchasing power parity in transition countries: Old wine with new bottle

被引：2

作者：

He, Huizhen ^{[1
,2
]}

Ranjbar, Omid ^{[3
]}

Chang, Tsangyao ^{[4
]}

机构：

[1] Sichuan Univ, Sch Econ, Chengtu, Sichuan, Peoples R China

[2] Zhejiang Financial Coll, Dept Investment & Insurance, Hangzhou, Zhejiang, Peoples R China

[3] Minist Ind Mine & Trade, Dept Int Affairs, Tehran, Iran

[4] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan

来源：

JAPAN AND THE WORLD ECONOMY | 2013年 / 28卷

关键词：

Purchasing power parity; Transition countries; Sequential Panel Selection Method; Panel KSS test; Fourier function; REAL EXCHANGE-RATES; UNIT-ROOT TESTS; TIME-SERIES; GREAT CRASH; CENTURIES; PANEL-DATA; INTERVENTION; STATIONARITY; HYPOTHESIS; ECONOMIES;

D O I：

10.1016/j.japwor.2013.06.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study questions whether the long-run purchasing power parity (PPP) holds in the transition economies (Bulgaria, the Czech Republic, Hungary, Latvia, Lithuania, Poland, Romanian, and Russia) for the period from January 1995 to October 2011. We employ the Sequential Panel Selection Method (SPSM) procedure using the Panel KSS unit root test with a Fourier function, a novel approach to panel unit root testing. The SPSM approach classifies the whole panel into a group of stationary and non-stationary series and is able to account for structural breaks, nonlinearity, and cross-section dependence. The results indicate that the PPP holds true for more than half of these transition countries studied, with the exception of Hungarian, the Czech Republic and the Russia. The findings have important policy implications for the transition countries. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：24 / 32

页数：9