Flexible Fourier stationary test in purchasing power parity for African countries

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	Flexible Fourier stationary test in purchasing power parity for African countries
	Su, Chi-Wei ; Chang, Hsu-Ling ; Zhu, Meng-Nan ; Su ZW(苏志伟)
刊名	http://dx.doi.org/10.1080/00036846.2011.570729
	2012
关键词	UNIT-ROOT TESTS REAL EXCHANGE-RATE TIME-SERIES SMOOTH BREAKS GREAT CRASH 2 CENTURIES RATES HYPOTHESIS ECONOMICS NULL
英文摘要	This study applies stationary test with a Fourier function proposed by Enders and Lee (2004, 2009) to test the validity of long run Purchasing Power Parity (PPP) to assess the nonstationary properties of the real exchange rate for 20 African countries. We find that our approximation has higher power to detect U shaped breaks and smooth breaks than linear method if the true data generating process of exchange rate is in fact a stationary nonlinear process. We examine the validity of PPP from the nonlinear point of view and provide robust evidence clearly indicate that PPP holds true for almost African countries. Our findings point out their exchange rate adjustment is mean reversion towards PPP equilibrium values in a nonlinear way.
语种	英语
出版者	APPL ECON
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90074]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Su, Chi-Wei,Chang, Hsu-Ling,Zhu, Meng-Nan,et al. Flexible Fourier stationary test in purchasing power parity for African countries[J]. http://dx.doi.org/10.1080/00036846.2011.570729,2012.
APA	Su, Chi-Wei,Chang, Hsu-Ling,Zhu, Meng-Nan,&苏志伟.(2012).Flexible Fourier stationary test in purchasing power parity for African countries.http://dx.doi.org/10.1080/00036846.2011.570729.
MLA	Su, Chi-Wei,et al."Flexible Fourier stationary test in purchasing power parity for African countries".http://dx.doi.org/10.1080/00036846.2011.570729 (2012).