期刊名称：Journal of Applied Economics and Business Research
电子版ISSN：1927-033X
出版年度：2015
卷号：5
期号：1
页码：20-37
出版社：Journal of Applied Economics and Business Research
摘要：The study examines the validity of Purchasing Power Parity (PPP) in Romanian context, by checking the presence of linear and nonlinear unit root in real exchange rate of Romanian Leu with US Dollar and Euro for the period 1991:01 to 2011:02. Since the Wald test results indicate the presence of nonlinearity in the data, we employed the Caner and Hanson (2001) nonlinear unit root test based on TAR model and KSS (2003) nonlinear unit root test based on ESTAR model to examine the unit root properties. We find the presence of mean reversion in the full sample Leu -Dollar real exchange rate and the Leu-Euro real exchange rates. The series of Leu-Dollar exchange rates has a unit root in the first period, while it is mean reverting in the second period. By the contrary, the Leu-Euro real exchange rates are mean reverting in the first regime, while in the second regime it has a unit root
关键词：Real exchange; Unit root; Tests; Nonlinearity; Implications
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