Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity

被引：4

作者：

Nazlioglu, Saban ^{[1
,2
]}

Altuntas, Mehmet ^{[3
]}

Kilic, Emre ^{[4
]}

Kucukkkaplan, Ilhan ^{[1
]}

机构：

[1] Pamukkale Univ, Dept Int Trade & Finance, Denizli, Turkey

[2] Nisantasi Univ, Dept Econ & Finance, Istanbul, Turkey

[3] Nisantasi Univ, Dept Logist, Istanbul, Turkey

[4] Nisantasi Univ, Dept Capital Markets & Portfolio Management, Istanbul, Turkey

来源：

APPLIED ECONOMIC ANALYSIS | 2022年 / 30卷 / 90期

关键词：

PPP; Unit root tests; Real exchange rate; GIIPS; C22; F31; REAL EXCHANGE-RATES; OIL-PRICE SHOCK; TIME-SERIES; STATIONARY TEST; GREAT CRASH; HYPOTHESIS; ADJUSTMENT; BEHAVIOR; COSTS; EURO;

D O I：

10.1108/AEA-10-2020-0146

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

PurposeThis paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries. Design/methodology/approachThe authors conduct a comprehensive analysis by using unit root approaches without and with structural breaks and non-linearity. FindingsThe PPP is valid for the GIIPS countries. Considering structural breaks in non-linear framework plays a crucial role. Originality/valueThere is no empirical study testing PPP hypothesis by focusing on the GIIPS countries. This study further takes into account for structural breaks and non-linearity in the real exchange rates of these countries.

引用

页码：176 / 195

页数：20

共 61 条

[41] UNIT-ROOT TESTS IN ARMA MODELS WITH DATA-DEPENDENT METHODS FOR THE SELECTION OF THE TRUNCATION LAG [J].