PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: AN ANALYSIS OF UNIT ROOTS AND NONLINEARITIES

The aim of this paper is to analyse the empirical fulfilment of PPP in a number of Central and Eastern European countries. For this purpose we apply two different unit root tests in order to control for two sources of nonlinearities, i.e. Bierens (1997) and Kapetanios, Shin and Snell (2003). We find that PPP holds in most of these countries once account has been taken of nonlinear deterministic trends and smooth transitions.

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Year of publication:	2007-10
Authors:	Cuestas, Juan Carlos
Institutions:	Instituto Valenciano de Investigaciones Económicas (IVIE)
Subject:	PPP \| Real Exchange Rate \| Unit Roots \| nonlinearities \| Central and East Europe

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Extent:	application/pdf
Series:	Working Papers. Serie AD.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published by Ivie 16 pages
Classification:	C32 - Time-Series Models ; F15 - Economic Integration
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005731390