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標題: Nonlinear adjustment to purchasing power parity in Latin American countries: the ADL test for threshold cointegration
作者: Pan, G.C.
Chang, T.Y.
Tang, D.P.
Lee, C.H.
關鍵字: purchasing power parity;Latin American countries;ADL test;threshold;cointegration;asymmetric adjustment;real exchange-rates;2 centuries;economics
Project: Applied Economics Letters
期刊/報告no:: Applied Economics Letters, Volume 19, Issue 9, Page(s) 857-862.
This study applies a newly developed Autoregressive Distributed Lag (ADL) test for threshold cointegration proposed by Li and Lee (2010) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of 15 Latin American countries from December 1994 to February 2010. Empirical results indicate that PPP holds true for most of the countries studied, with the exception of Brazil, Chile, Dominica, Haiti and Uruguay, and the long-run PPP adjustment process towards its equilibrium is asymmetric. Our results have important policy implications for these Latin American countries under study.
ISSN: 1350-4851
DOI: 10.1080/13504851.2011.607113
Appears in Collections:期刊論文

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