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標題: Nonlinear adjustment to purchasing power parity: the ADL test for threshold cointegration
作者: Liu, S.Y.
Chang, T.Y.
Lee, C.H.
Chou, P.I.
關鍵字: purchasing power parity;East Asian countries;ADL test;threshold;cointegration;asymmetric adjustment;real exchange-rates;2 centuries;unit-root;economics
Project: Applied Economics Letters
期刊/報告no:: Applied Economics Letters, Volume 19, Issue 6, Page(s) 569-573.
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 East Asian countries from January 1986 to October 2009. Empirical results indicate that PPP holds true for all the countries studied, with the exception of Japan and Philippines, and the long-run PPP adjustment process towards its equilibrium is asymmetric. Our results have important policy implications for these East Asian countries under study.
ISSN: 1350-4851
DOI: 10.1080/13504851.2011.587767
Appears in Collections:期刊論文

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