Purchasing power parity in major OPEC countries: flexible Fourier stationary test

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	Purchasing power parity in major OPEC countries: flexible Fourier stationary test
	Su, Chi-Wei ; Liu, Yu-Shao ; Zhu, Meng-Nan ; Lee, Kuei-Chiu ; Su ZW(苏志伟)
刊名	http://dx.doi.org/10.1080/13504851.2011.564128
	2012
关键词	UNIT-ROOT TESTS REAL EXCHANGE-RATES SMOOTH BREAKS GREAT CRASH TIME-SERIES HYPOTHESIS INTERVENTION
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 Rates (RERs) for seven major countries of the Organization of the Petroleum Exporting Countries (OPEC). 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 (DGP) 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 that clearly indicates that PPP holds true for six countries, namely Algeria, Angola, Indonesia, Kuwait, Nigeria and Saudi Arabia. Our findings point out their exchange rate adjustment mean-reverts towards PPP equilibrium values in a nonlinear way.
语种	英语
出版者	APPL ECON LETT
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90079]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Su, Chi-Wei,Liu, Yu-Shao,Zhu, Meng-Nan,et al. Purchasing power parity in major OPEC countries: flexible Fourier stationary test[J]. http://dx.doi.org/10.1080/13504851.2011.564128,2012.
APA	Su, Chi-Wei,Liu, Yu-Shao,Zhu, Meng-Nan,Lee, Kuei-Chiu,&苏志伟.(2012).Purchasing power parity in major OPEC countries: flexible Fourier stationary test.http://dx.doi.org/10.1080/13504851.2011.564128.
MLA	Su, Chi-Wei,et al."Purchasing power parity in major OPEC countries: flexible Fourier stationary test".http://dx.doi.org/10.1080/13504851.2011.564128 (2012).