Prague Economic Papers 2012, 21(3):257-276 | DOI: 10.18267/j.pep.423

An Empirical Investigation of the Purchasing Power Parity Hypothesis in European Transition Countries

Václav ®ďárek
University of Economics, Department of Monetary Theory and Policy, W. Churchill Sq. 3, 130 67 Prague 3 (zdarekv@vse.cz).

The article is aimed at empirical investigation of the relative version of the purchasing power parity (PPP). It attempts to shed some light on the so-called 'PPP puzzle' for selected countries in the CEE region and Turkey. Because of ambiguous results in the literature, various econometrics methods are employed: univariate tests (URTs: ADF, PP, KPSS, DF-GLS), robust URTs including nonlinear URTs (Kapetanios and Sollis' and Bierens' test) and tests allowing for (multiple) structural breaks (Perron, Lee and Strazicich). The euro currency pairs (bilateral) of 10 European transition countries covering the period 1995:1-2011:1 are utilized. Our results for conventional linear (such as ADF or PP test) do not provide a crystal-clear answer, more robust URTs at least partially do, once the source of nonlinearities has been controlled for (structural changes, non-zero adjustment costs). Nonlinear tests with structural breaks provide more convincing evidence in favour of the PPP hypothesis including asymmetrical effects of exchange rate adjustments.

Klíčová slova: transition countries, unit root, real exchange rates, exponential smooth transition autoregressive model
JEL classification: E51, F21

Zveřejněno: 1. leden 2012  Zobrazit citaci

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
®ďárek, V. (2012). An Empirical Investigation of the Purchasing Power Parity Hypothesis in European Transition Countries. Prague Economic Papers, 21(3), 257-276. doi: 10.18267/j.pep.423
Stáhnout citaci
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Zobrazit celý článek

    Reference

    1. Acaravci, A., Ozturk, I. (2010), "Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks." Economic Interferences, Vol. XII, No. 27, p. 190-198.
    2. Alba, J. D., Papell, D. H. (2007), "Purchasing Power Parity and Country Characteristics: Evidence from Panel Data Tests." Journal of Development Economics, Vol. 83, Issue 1, pp. 240-251. Přejít k původnímu zdroji...
    3. Bahmani-Oskooee, M., Kutan, A. M., Zhou, S. (2008), "Do Real Exchange Rates Follow a Nonlinear Mean Revering Process in Developing Countries?" Southern Economic Journal, Vol. 74, No. 4, pp. 1049-1062. Přejít k původnímu zdroji...
    4. Bekö, J., Borąič, D. (2007), "Purchasing Power Parity in Transition Economies: Does it Hold in the Czech Republic, Hungary and Slovenia?" Post-Communist Economies, Vol. 19, No. 4, pp. 417-432. Přejít k původnímu zdroji...
    5. Bierens, H. J. (1997), "Testing the Unit Root Hypothesis Against Nonlinear Trend Stationarity, With an Application to the Price Level and Interest Rate in the U.S." Journal of Econometrics, Vol. 81, Issue 1, pp. 29-64. Přejít k původnímu zdroji...
    6. Chortareas, G., Kapetanios, G. (2009), "Getting PPP Right: Identifying Mean-reverting Real Exchange Rates in Panels." Journal of Banking & Finance, Vol. 33, Issue 2, pp. 390-404. Přejít k původnímu zdroji...
    7. Christidou, M., Panagiotidis, T. (2010), "Purchasing Power Parity and the European Single Currency: Some New Evidence." Economic Modelling, Vol. 27, Issue 5, pp. 1116-1123. Přejít k původnímu zdroji...
    8. Cuestas, J. C. (2009), "Purchasing Power Parity in Central and Eastern European Countries: an Analysis of Unit Roots and Nonlinearities." Applied Economic Letters, Vol. 16, No. 1, pp. 87-94. Přejít k původnímu zdroji...
    9. Cuestas, J. C., Regis, P. J. (2008), "Testing PPP in Australia: Evidence from Unit Root Test against Nonlinear Trend Stationary Alternatives." Economics Bulletin, Vol. 3, No. 27, pp. 1-9.
    10. ECB (2011), Statistical Data Warehouse. ECB, Frankfurt, 2011.
    11. Eurostat (2011), Database (on-line). Luxembourg, 2011. URL: Eurostat.
    12. Fan, J., Yao, Q. (2003), Nonlinear Time Series. Nonparametric and Parametric Methods. New York: Springer Verlag, 2003. Přejít k původnímu zdroji...
    13. Giannellis, N., Papadopoulos, A. P. (2009), "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-based Approach." Economic Modelling, Vol. 26, No. 1, pp. 155-166. Přejít k původnímu zdroji...
    14. Harris, R., Sollis, R. (2005), Applied Time Series. Modelling and Forecasting. Chichester: John Willey & Sons, 2003, reprinted 2005.
    15. Hegewood, N. D., Papell, D. H. (1998), "Quasi Purchasing Power Parity." International Journal of Finance and Economics, Vol. 3, No. 4, pp. 279-289. Přejít k původnímu zdroji...
    16. IMF (2011), "International Finance Statistics" (on-line). IMF, Washington, D.C., July 2011.
    17. Juvenal, L., Taylor, M. P. (2008), "Threshold Adjustment of Deviations from the Law of One Price." Studies in Nonlinear Dynamics & Econometrics, Vol. 12, Issues 3, pp. 1-44. Přejít k původnímu zdroji...
    18. Kapetanios, G., Shin, Y., Snell, A. (2003), "Testing for a Unit Root in the Nonlinear STAR Framework." Journal of Econometrics, Vol. 112, No. 2, pp. 359-379. Přejít k původnímu zdroji...
    19. Koukouritakis, M. (2009), "Testing the Purchasing Power Parity: Evidence from the New EU Countries." Applied Economics Letters, Vol. 16, No. 1, pp. 39-44. Přejít k původnímu zdroji...
    20. Lee, J., Strazicich, M. C. (2003), "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks." The Review of Economics and Statistics, Vol. 85, No. 4, p. 1082-1089. Přejít k původnímu zdroji...
    21. Lee, J., Strazicich, M. C. (2004), "Minimum LM Unit Root Test with One Structural Break." North Carolina, Appalachian State University, Department of Economics Working Papers No. 04-17, December 2004.
    22. Macdonald, R. (2007), Exchange Rate Economics: Theories and Evidence. London & New York: Routledge, 2007. Přejít k původnímu zdroji...
    23. Maican, F. G., Sweeney, R. J. (2006), "Real Exchange Adjustment in European Transition Countries." Göteborg University, Department of Economics WP, No. 202, February 2006.
    24. Papell, D. H., Prodan, R. (2006), "Additional Evidence of Long-run Purchasing Power Parity with Restricted Structural Change." Journal of Money, Credit and Banking, Vol. 38, No. 5, pp. 1329-1349. Přejít k původnímu zdroji...
    25. Perron, P. (1997), "Further Evidence on Breaking Trend Functions in Macroeconomic Variables." Journal of Econometrics, Vol. 80, No. 2, pp. 335-385. Přejít k původnímu zdroji...
    26. Rogoff, K. (1996), "The Purchasing Power Parity Puzzle." Journal of Economic Literature, Vol. 34, No. 2, pp. 647-668.
    27. Schwert, G. W. (1989), "Test for Unit Roots: A Monte Carlo Investigation." Journal of Business and Economic Statistics, Vol. 7, Issue 2, pp. 147-159. Přejít k původnímu zdroji...
    28. Sideris, D. (2006), "Purchasing Power Parity in Transition: Evidence from Central and East European Countries." Applied Financial Economics, Vol. 16, No. 1&2, pp. 135-143. Přejít k původnímu zdroji...
    29. Solakoglu, E. G. (2006), "Testing Purchasing Power Parity Hypothesis for Transition Economies." Applied Financial Economics, Vol. 16, Issue 16, pp. 561-568. Přejít k původnímu zdroji...
    30. Sollis, R. (2009), "A Simple Unit Root Test against Asymmetrical STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries." Economic Modelling, Vol. 26, No. 1, pp. 118-125. Přejít k původnímu zdroji...
    31. Taylor, M. P. (2005), "Is Official Exchange Rate Intervention Effective?" Economica, Vol. 71, Issue 281, pp. 1-11. Přejít k původnímu zdroji...
    32. Taylor, A. M., Taylor, M. P. (2004), "The Purchasing Power Parity Debate." Journal of Economic Perspectives, Vol. 18, No. 4, pp. 135-158. Přejít k původnímu zdroji...
    33. Telatar, E., Hasanov, M. (2009), "Purchasing Power Parity in Central and East European Countries." Eastern European Economics, Vol. 47, No. 5, pp. 25-41. Přejít k původnímu zdroji...
    34. Teräsvirta, T. (1994), "Specification, Estimation and Evaluation of Smooth Transition autoregressive Models." Journal of the American Statistical Association, Vol. 89, No. 425, pp. 208-218. Přejít k původnímu zdroji...
    35. Thacker, N. (1995), "Does PPP Hold in the Transition Economies? The Case of Poland and Hungary." Applied Economics, Vol. 27, No. 6, pp. 477-481. Přejít k původnímu zdroji...
    36. Tsay, R. S. (1989), "Testing and Modelling Threshold Autoregressive Processes." Journal of the American Statistical Association, Vol. 84, No. 405, pp. 231-240. Přejít k původnímu zdroji...
    37. Yavuz, N. C. (2009), "Purchasing Power Parity with Multiple Structural Breaks: Evidence from Turkey." Economics Bulletin, Vol. 29, Issue 2, pp. 1201-1210.
    38. Wu, J.-L., Cheng, S.-Y., Hou, H. (2010), "Further Evidence on Purchasing Power Parity and country Characteristics." International Review of Economics and Finance, Vol. 20, No. 2, pp. 257-266. Přejít k původnímu zdroji...
    39. ®ďárek, V. (2010), "Some New Empirical Evidence on the Relative PPP Hypothesis in New EU Member States." Working Paper CES V©EM, No. 10, December 2010.

    Tento článek je publikován v reľimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umoľňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.


    Zpět na obsah