Purchasing Power Parity in transition economies: evidence from the Commonwealth of Independent States

Autor:	Mübariz Hasanov, Erdinc Telatar
Rok vydání:	2009
Předmět:	Economics and Econometrics Purchasing power parity Exchange rate Stationary process Economy Relative purchasing power parity Transition (fiction) Economics Commonwealth Unit root Null hypothesis
Zdroj:	Post-Communist Economies. 21:157-173
ISSN:	1465-3958 1463-1377
DOI:	10.1080/14631370902778468
Popis:	This article tests the validity of Purchasing Power Parity (PPP) for Commonwealth of Independent States (CIS) countries. For this purpose we test whether the real exchange rate series of 10 CIS countries vis-a-vis the US dollar follow a stationary process. Considering the fact that the CIS countries have undergone major structural changes during the transition period, in addition to conventional unit root tests, we employ recently developed unit root tests that allow for structural breaks and non-linearities. When possible structural changes and non-linearities are not taken into account, the null hypothesis of unit root is rejected only in two out of 10 series. However, allowing for structural breaks and/or non-linearities in the data generating process results in more rejection of the null hypothesis of unit root. All in all, our results provide evidence in favour of the PPP hypothesis in these transition countries.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::59688d5f69e4a6123dbb90c5bbb6731c https://doi.org/10.1080/14631370902778468 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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