EMPIRICAL INVESTIGATION OF LONG RUN PPP HYPOTHESIS: THE CASE OF TEMPORARY STRUCTURAL BREAK AND ASYMMETRIC ADJUSTMENT

IF 3 Q1 ECONOMICS
Vasif Abioglu, M. Hasanov
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引用次数: 1

Abstract

This study investigates the validity of the long-run PPP hypothesis for 60 economies using trade-weighted REER indices for the period 1994:01-2020:04. In addition to conventional tests, we also apply a battery of new unit root tests that allow for structural breaks and nonlinear adjustment. Our results suggest that test procedures that allow for both a structural break in the deterministic components of the series and nonlinearities in the adjustment towards equilibrium lead to a more frequent rejection of the unit root null hypothesis. In particular, after allowing for a temporary structural break in the series along with nonlinear adjustment towards the gradually changing equilibrium, we were able to reject the null hypothesis of unit root for all countries, thus providing some support for the PPP hypothesis.
长期购买力平价假说的实证研究:临时性结构断裂与不对称调整
本文利用贸易加权REER指数对60个经济体1994:01-2020:04期间的长期PPP假设的有效性进行了研究。除了常规测试,我们还应用了一系列新的单位根测试,允许结构断裂和非线性调整。我们的结果表明,允许序列的确定性成分的结构断裂和向平衡调整中的非线性的检验程序导致更频繁地拒绝单位根零假设。特别是,在允许序列中的暂时结构性断裂以及向逐渐变化的均衡进行非线性调整之后,我们能够拒绝所有国家单位根的零假设,从而为PPP假设提供了一些支持。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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