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標題: Nonlinear adjustment to purchasing power parity with flexible Fourier function in G-7 countries
作者: Chang, T.Y.
Su, C.W.
Lee, C.H.
關鍵字: 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
Project: Applied Economics Letters
期刊/報告no:: Applied Economics Letters, Volume 19, Issue 12, Page(s) 1111-1116.
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.
ISSN: 1350-4851
DOI: 10.1080/13504851.2011.615725
Appears in Collections:期刊論文

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