Purchasing power parity nonlinear threshold unit root test for East-Asian countries

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Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/67999

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.
摘要:	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.
URI:	http://hdl.handle.net/11455/67999
ISSN:	1350-4851
DOI:	10.1080/13504851.2011.608641
Appears in Collections:	期刊論文

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