期刊名称：Asian Journal of Business and Management Sciences
电子版ISSN：2047-2528
出版年度：2012
卷号：1
期号：05
页码：38-46
出版社：Society for Business Research Promotion
摘要：This study applies a flexible Fourier stationary test, proposed by Becker et al., (2006) to test the validity of long-run purchasing power parity (PPP) in a sample of East Asian countries over the January 1986 to October 2009. We find that our approximation has higher power to detect U-shaped breaks and smooth breaks than linear method if the true data generating process of exchange rate is in fact a stationary non-liner process. The empirical results indicate that PPP does not hold for most of the East Asian countries studied, with the exception of Indonesia and Japan. Our findings point out their exchange rate adjustment is mean reversion towards PPP equilibrium values in a non-linear way. These results have important policy implication for East Asian countries under study. Full Text
