Purchasing power parity in transition countries: Panel stationary test with smooth and sharp breaks

Artikel

This study examines whether the long-run purchasing power parity (PPP) holds in transition economies (Bulgaria, the Czech Republic, Hungary, Latvia, Lithuania, Poland, Romania and Russia) using monthly data over the 1995 - 2011 period. We apply a recently introduced panel stationary test, which accounts for sharp breaks and smooth shifts. The results indicate that the PPP holds only in two countries (i.e., Lithuania and Poland).

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 3 ; Year: 2015 ; Issue: 2 ; Pages: 153-161 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Foreign Exchange
• Thema: purchasing power parity ; transition countries ; panel stationary test ; sharp breaks and smooth breaks ; Fourier function

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bahmani-Oskooee, Mohsen ; Chang, Tsangyao ; Wu, Tsung-Pao
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2015

Weitere Informationen

• DOI: doi:10.3390/ijfs3020153
• Handle: http://hdl.handle.net/10419/167780
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ