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Re-Examining Purchasing Power Parity In Croatia: Quantile Autoregression Approach

Author

Listed:
  • Mile Bošnjak

    (Faculty of Economics and Business, University of Zagreb)

  • Vlatka Bilas

    (Faculty of Economics and Business, University of Zagreb)

  • Ivan Novak

    (Faculty of Economics and Business, University of Zagreb)

Abstract

The paper aims to re-examine validity of purchasing power parity (PPP) theory in Croatia. Data sample consists of monthly data on real effective exchange rate of Croatian kuna. The paper employed several unit root tests with different specification and quantile autoregression approach. The results from unit root tests unambiguously indicate existence of unit root and persistence of real effective exchange rate of Croatian kuna while quantile autoregression model indicate asymmetries in endogenous shocks. Eventually, the research results do not support validity of PPP theory in case of Croatia.

Suggested Citation

  • Mile Bošnjak & Vlatka Bilas & Ivan Novak, 2020. "Re-Examining Purchasing Power Parity In Croatia: Quantile Autoregression Approach," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), vol. 71(3), pages 203-214.
    • Handle: RePEc:hde:epregl:v:71:y:2020:i:3:p:203-214
    DOI: 10.32910/ep.71.3.1
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    More about this item

    Keywords

    Purchasing power parity; Real effective exchange rate; Quantile autoregression; Croatia;
    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
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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