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    题名: Revisiting Purchasing Power Parity for Major OPEC Countries: Evidence based on Non-linear Panel Unit-root Tests
    作者: Chang, Hsu-ling;Su, Chi-wei
    贡献者: 淡江大學國際貿易學系暨國際企業研究所
    日期: 2010
    上传时间: 2011-07-28 00:49:19 (UTC+8)
    出版者: Taylor & Francis
    摘要: In this study, we apply nonlinear panel unit-root test to assess the nonstationary properties of the real exchange rate for seven major Organization of the Petroleum Exporting Countries (OPEC). We find that nonlinear panel unit-root test has higher power than linear method suggested by Breuer et al. (2001 Breuer, J. B., McNown, R. and Wallace, M. S. 2001. Misleading inferences from panel unit-root tests with an illustration from purchasing power parity. Review of International Economics, 9: 482–93.
    [Crossref], , [Google Scholar]
    ) if the true data generating process of exchange rate is in fact a stationary nonlinear process. We re-examine the validity of Purchasing Power Parity (PPP) from the panel nonlinear point of view and provide robust evidence clearly indicating that PPP holds true for four countries, namely Angola, Indonesia, Iran and Saudi Arabia. Our findings point out their exchange rate adjustment is mean reversion towards PPP equilibrium values in a nonlinear way.
    關聯: Applied Economics Letters 17(11), pp.1119-1123
    DOI: 10.1080/00036840902817565
    显示于类别:[國際企業學系暨研究所] 期刊論文

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