Are Real Exchange Rates Nonlinear with a Unit Root? Evidence on Purchasing Power Parity for China: A Note

Autor:	Tsangyao Chang, Su-yuan Lin, Horng-jinh Chang
Rok vydání:	2010
Předmět:	jel:F3 jel:C5 Threshold Autoregressive Model Linearity and Stationarity Purchasing Power Parity Threshold Unit Root Test
Zdroj:	Economics Bulletin. 30(3):1897-1905
Popis:	This article applies the threshold autoregressive model proposed by Caner and Hansen (2001) to examine both linearity and stationarity of China's real exchange rate vis-Ã -vis her 9 trading partner countries over the period of January 1986 to October 2009. Two main conclusions are drawn. Firstly, the empirical results indicate that China's real exchange is a nonlinear process. Secondly, a unit root in real exchange rate was found for most of the cases under study. This result provides no support for purchasing power parity for China relative to their major trading partner countries.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______645::68678fb01e93aa9a1297b1ae24e882c0 http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I3-P172.pdf Zobrazit plný text záznamu