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|標題:||Purchasing power parity nonlinear threshold unit root test for East-Asian countries||作者:||Chang, T.Y.
|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.
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