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Revisiting Purchasing Power Parity for Nine Transition Countries Using the Rank Test for Nonlinear Cointegration

Author

Listed:
  • Chang, Tsangyao

    (Department of Finance, Feng Chia University, Taichung, Taiwan)

  • Chiu, Chi Chen

    (Department of Banking and Finance, Tamkang University, Taipei, Taiwan)

  • Tzeng, Han Wen

    (Department of Finance, Overseas Chinese University, Taichung, Taiwan)

Abstract

This study applies the powerful rank test for nonlinear cointegration proposed by Brietung (2001) to test the validity of long-run purchasing power parity (PPP) for nine transition countries from January 1995 to December 2008. The empirical results indicate that PPP holds true for all nine transition countries studied. Our results have important policy implications for these nine transition countries.

Suggested Citation

  • Chang, Tsangyao & Chiu, Chi Chen & Tzeng, Han Wen, 2011. "Revisiting Purchasing Power Parity for Nine Transition Countries Using the Rank Test for Nonlinear Cointegration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 19-30, June.
    • Handle: RePEc:rjr:romjef:v::y:2011:i:2:p:19-30
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    References listed on IDEAS

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    Cited by:

    1. Mohsen Bahmani-Oskooee & Tsangyao Chang & Tsung-Hsien Chen & Han-Wen Tzeng, 2017. "Revisiting purchasing power parity in Eastern European countries: quantile unit root tests," Empirical Economics, Springer, vol. 52(2), pages 463-483, March.
    2. Kai-Hua WANG & Chi-Wei SU & Hsu-Ling CHANG & Ji MA & Cristina IOVU, 2017. "Purchasing Power Parity In China: An Empirical Investigation Based On Bootstrap Rollingwindow Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 166-181, December.
    3. Bahmani-Oskooee, Mohsen & Chang, Tsangyao & Lee, Kuei-Chiu, 2016. "Purchasing power parity in emerging markets: A panel stationary test with both sharp and smooth breaks," Economic Systems, Elsevier, vol. 40(3), pages 453-460.

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    More about this item

    Keywords

    Rank Test for Nonlinear Cointegration; Purchasing Power Parity; Transition Countries;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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