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|標題:||Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries||作者:||Chang, T.Y.
|關鍵字:||Threshold cointegration test;Purchasing power parity;Asymmetric;adjustment;G-7 countries;Policy implications;threshold cointegration;nonlinear adjustment;exchange-rates;unit-root;stationarity;model||Project:||Japan and the World Economy||期刊/報告no：:||Japan and the World Economy, Volume 23, Issue 4, Page(s) 259-264.||摘要:||
In this study, we applied a threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment on long-run purchasing power parity (PPP) in G-7 countries between January 1994 and April 2010. Although there was strong evidence of long-run PPP for these G-7 countries, with the exception of Canada, the adjustment mechanism was asymmetric. These results have important policy implications for G-7 countries. (C) 2011 Elsevier B.V. All rights reserved.
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