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標題: Purchasing power parity nonlinear threshold unit root test for East-Asian countries
作者: Chang, T.Y.
Su, C.W.
Lee, C.H.
關鍵字: purchasing power parity;East-Asian countries;nonlinear threshold unit;root test;real exchange-rates;time-series;2 centuries;adjustment;economics
Project: Applied Economics Letters
期刊/報告no:: Applied Economics Letters, Volume 19, Issue 10, Page(s) 975-979.
This study applies the Threshold Autoregressive (TAR) model proposed by Caner and Hansen (2001) to test the validity of long-run Purchasing Power Parity (PPP) of nine East-Asian countries over the period January 1986 to October 2009. The empirical results indicated that PPP holds true for more than half of these nine East-Asian countries under study, and the adjustment towards PPP is found to be nonlinear.
ISSN: 1350-4851
DOI: 10.1080/13504851.2011.608641
Appears in Collections:期刊論文

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