Nonlinear adjustment to purchasing power parity with flexible Fourier function in G-7 countries

被引：2
|
作者：
Chang, Tsangyao [2 ]
Su, Chi-Wei [1 ,3 ]
Lee, Chia-Hao [4 ]
机构：
[1] Tamkang Univ, Dept Int Business, New Taipei, Taiwan
[2] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan
[3] Xiamen Univ, Dept Finance, Xiamen, Peoples R China
[4] Natl Chung Hsing Univ, Dept Finance, Taichung 40227, Taiwan
来源：
APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 12期
关键词：
purchasing power parity; G-7; countries; nonlinear KSS test; Fourier function; smooth breaks; REAL EXCHANGE-RATES; UNIT-ROOT; SMOOTH BREAKS; TIME-SERIES; INTERVENTION; STATIONARITY; HYPOTHESIS; TESTS;
D O I：
10.1080/13504851.2011.615725
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study applied the nonlinear Kapetanios et al. (2003) test with a Fourier function (capturing the smooth breaks) to test the validity of long-run Purchasing Power Parity (PPP) for G-7 countries over the period January 1994 to April 2010. The empirical results indicate that PPP holds for all the G-7 countries studied. Our results have important policy implications for the G-7 countries under study.
引用
收藏
页码：1111 / 1116
页数：6
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