非线性方法和购买力平价:来自82个国家的证据

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-02-28 DOI:10.1142/S2194565921500020

A. Arize, Mohsen Bahmani‐Oskooee

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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。

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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.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.