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  • 标题:Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests
  • 作者:Claudio Roberto Fóffano Vasconcelos ; Luiz A. Lima Júnior
  • 期刊名称:EconomiA
  • 印刷版ISSN:1517-7580
  • 电子版ISSN:2358-2820
  • 出版年度:2016
  • 卷号:17
  • 期号:1
  • 页码:114-125
  • DOI:10.1016/j.econ.2015.11.001
  • 出版社:Elsevier B.V.
  • 摘要:Abstract The aim of this study is to examine empirically the validity of {PPP} in the context of unit root tests based on linear and non-linear models of the real effective exchange rate of Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela. For this purpose, we apply the Harvey et al. (2008) linearity test and the non-linear unit root test (Kruse, 2011). The results show that the series with linear characteristics are Argentina, Brazil, Chile, Colombia and Peru and those with non-linear characteristics are Mexico and Venezuela. The linear unit root tests indicate that the real effective exchange rate is stationary for Chile and Peru, and the non-linear unit root tests evidence that Mexico is stationary. In the period analyzed, the results show support for the validity of {PPP} in only three of the seven countries.
  • 关键词:Purchasing power parity; Real effective exchange rate; Unit root-chave; Paridade de poder de compra; Taxa de câmbio real efetiva; Raiz unitária
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