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

页码：1111 / 1116

页数：6

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