非线性方法和购买力平价:来自82个国家的证据

IF 1 Q3 ECONOMICS

Global Economy Journal Pub Date : 2021-02-28 DOI:10.1142/S2194565921500020

A. Arize, Mohsen Bahmani‐Oskooee

{"title":"非线性方法和购买力平价:来自82个国家的证据","authors":"A. Arize, Mohsen Bahmani‐Oskooee","doi":"10.1142/S2194565921500020","DOIUrl":null,"url":null,"abstract":"Since the introduction of asymmetric cointegration and error-correction modeling, old theories have been getting a renewed attention, and purchasing power parity theory (PPP) is no exception. In this paper, we revisit the PPP by applying this relatively new technique. When we applied the symmetric cointegration test of Pesaran et al. [Pesaran, MH, Y Shin and RJ Smith (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326], we found cointegration between the nominal exchange rate and relative prices in 22 out of 82 countries. However, application of the asymmetric cointegration method of Shin et al. [Shin, Y, B Yu and M Greenwood-Nimmo (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. Sickels and W. Horrace (eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, pp. 281–314. New York: Springer] increased the number to 51 out of 82 countries. Nonlinear adjustment of relative prices was said to be the main contributing factor.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"40 1","pages":"1-17"},"PeriodicalIF":1.0000,"publicationDate":"2021-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"NONLINEAR ARDL APPROACH AND PPP: EVIDENCE FROM 82 COUNTRIES\",\"authors\":\"A. Arize, Mohsen Bahmani‐Oskooee\",\"doi\":\"10.1142/S2194565921500020\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Since the introduction of asymmetric cointegration and error-correction modeling, old theories have been getting a renewed attention, and purchasing power parity theory (PPP) is no exception. In this paper, we revisit the PPP by applying this relatively new technique. When we applied the symmetric cointegration test of Pesaran et al. [Pesaran, MH, Y Shin and RJ Smith (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326], we found cointegration between the nominal exchange rate and relative prices in 22 out of 82 countries. However, application of the asymmetric cointegration method of Shin et al. [Shin, Y, B Yu and M Greenwood-Nimmo (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. Sickels and W. Horrace (eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, pp. 281–314. New York: Springer] increased the number to 51 out of 82 countries. Nonlinear adjustment of relative prices was said to be the main contributing factor.\",\"PeriodicalId\":44015,\"journal\":{\"name\":\"Global Economy Journal\",\"volume\":\"40 1\",\"pages\":\"1-17\"},\"PeriodicalIF\":1.0000,\"publicationDate\":\"2021-02-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Global Economy Journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/S2194565921500020\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Global Economy Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/S2194565921500020","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 2

摘要

自引入非对称协整和纠错模型以来，旧理论重新受到关注，购买力平价理论(PPP)也不例外。在本文中，我们通过应用这种相对较新的技术来重新审视PPP。当我们应用Pesaran等人的对称协整检验[Pesaran, MH, Y Shin和RJ Smith(2001)]。关卡关系分析的边界测试方法。[j][应用计量经济学学报，16(3)，289-326]，我们发现在82个国家中有22个国家的名义汇率与相对价格之间存在协整关系。然而，Shin等人的非对称协整方法的应用[j] . Shin, Y, B Yu and M Greenwood-Nimmo(2014)。非线性ARDL框架中的非对称协整和动态乘数建模。在R. Sickels和W. Horrace(编)，Festschrift在荣誉彼得·施密特:计量经济学的方法和应用，第281-314。纽约:[b施普林格]在82个国家中增加到51个。相对价格的非线性调整被认为是主要因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

NONLINEAR ARDL APPROACH AND PPP: EVIDENCE FROM 82 COUNTRIES

Since the introduction of asymmetric cointegration and error-correction modeling, old theories have been getting a renewed attention, and purchasing power parity theory (PPP) is no exception. In this paper, we revisit the PPP by applying this relatively new technique. When we applied the symmetric cointegration test of Pesaran et al. [Pesaran, MH, Y Shin and RJ Smith (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326], we found cointegration between the nominal exchange rate and relative prices in 22 out of 82 countries. However, application of the asymmetric cointegration method of Shin et al. [Shin, Y, B Yu and M Greenwood-Nimmo (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. Sickels and W. Horrace (eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, pp. 281–314. New York: Springer] increased the number to 51 out of 82 countries. Nonlinear adjustment of relative prices was said to be the main contributing factor.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Global Economy Journal ECONOMICS-

CiteScore

1.60

自引率

14.30%

发文量

期刊介绍： The GEJ seeks to publish original and innovative research, as well as novel analysis, relating to the global economy. While its main emphasis is economic, the GEJ is a multi-disciplinary journal. The GEJ''s contents mirror the diverse interests and approaches of scholars involved with the international dimensions of business, economics, finance, history, law, marketing, management, political science, and related areas. The GEJ also welcomes scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations. One over-arching theme that unites IT&FA members and gives focus to this journal is the complex globalization process, involving flows of goods and services, money, people, and information.