Nonlinear adjustment to purchasing power parity in G-7 countries

被引：1

作者：

Chang, Tsangyao ^{[1
]}

Lee, Chia-Hao ^{[2
]}

Chou, Pei-I ^{[2
]}

机构：

[1] Feng Chia Univ, Coll Finance, Dept Finance, Taichung 40724, Taiwan

[2] Natl Chung Hsing Univ, Coll Social Sci & Management, Dept Finance, Taichung 402, Taiwan

来源：

APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 02期

关键词：

nonlinear unit root test; purchasing power parity; G-7; countries; REAL EXCHANGE-RATES; UNIT-ROOT; MEAN-REVERSION; TIME-SERIES; CENTURIES; HYPOTHESIS; ECONOMICS;

D O I：

10.1080/13504851.2011.568389

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study applies a simple and powerful nonlinear unit root proposed by Sollis (2009) to test the validity of long-run Purchasing Power Parity (PPP) in G-7 countries over the period January 1980 to September 2008. The empirical results indicate that PPP holds true for all G-7 countries, with the exception of Canada, and the adjustment towards PPP is nonlinear but in a symmetric way. These results have important policy implications for the G-7 countries under study.

引用

页码：123 / 128

页数：6

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