文章基本信息

标题：Purchasing Power Parity Tests in Cointegrated Panels: Evidence from Newly Industrialized Countries
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作者：SMRUTI RANJAN BEHERA
期刊名称：Journal of Economic Development - Seoul
印刷版ISSN：0254-8372
出版年度：2019
卷号：44
期号：1
页码：69-95
出版社：Economic Research Institute
摘要：This paper examines the long-run purchasing power parity (PPP) by testing for unit rootsin real exchange rates of 10 newly industrialized countries (NICs) during the period1980-2013. Alternatively, this paper examines the long-run PPP by evaluating thecointegration between nominal exchange rates and price ratios of the NICs. The Pesaran(2007) unit root test results support the evidence of long-run PPP during the period1980-1990; however, during the other sub-periods, the results invalidate the long-run PPP.We find that the evidence against the unit root hypothesis is stronger for larger than smallsamples, for monthly than quarterly data. Moreover, the results suggest the mere evidence ofstrong PPP and also suggest that the speed at which the real exchange rates restore toequilibrium is relatively slow during the period 1991-2000.
关键词：Purchasing Power Parity; Panel Cointegration; Unit Root Tests