TESTING PURCHASING POWER PARITY IN TRANSITION COUNTRIES: EVIDENCE FROM STRUCTURAL BREAKS
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Tarih
2010
Yazarlar
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Editura Ase
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study examines the validity of the purchasing power parity (PPP) in 8 transition countries for monthly data from 1992:1 to 2009:1. While results from both the ADF unit root and the KPSS unit root test indicate that PPP does not hold for Bulgaria, Croatia, Czech Republic, Hungary, Macedonia (FYR), Poland, Romania and Slovak Republic. In the presence of structural breaks, PPP holds only for Bulgaria and Romania it does not hold for the other 6 transition countries. Testing the stationarity of real exchange rate series by using four types of unit roots tests, the evidence suggests that real effective exchange rate is nonstationary and thus PPP doesn't hold for all 6 transition countries in the long run. All results emphasized that there is weak evidence about the long-run PPP hypothesis in transition countries and the validity of PPP remains a controversial and unsettled issue.
Açıklama
Anahtar Kelimeler
real exchange rate, unit root tests, structural breaks, transition countries
Kaynak
Amfiteatru Economic
WoS Q DeÄŸeri
Q4
Scopus Q DeÄŸeri
Cilt
12
Sayı
27
