THE VALIDITY OF PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: A ROLLING NONLINEAR UNIT ROOT TEST

Yilanci V.

ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, vol.25, no.4, pp.975-986, 2012 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 25 Issue: 4
  • Publication Date: 2012
  • Doi Number: 10.1080/1331677x.2012.11517542
  • Journal Name: ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.975-986
  • Keywords: Non linearity, Purchasing power parity, Rolling-window procedure, Unit root test, FOURIER STATIONARY TEST, REAL EXCHANGE-RATE, TRANSITION COUNTRIES, SMOOTH BREAKS, ECONOMIES, RATES
  • Çanakkale Onsekiz Mart University Affiliated: No

Abstract

The main aim of this paper is to examine the validity of the purchasing power parity (PPP) hypothesis for eight Central and Eastern European countries using both Kapetanios et al. (KSS) and rolling-KSS unit root tests. By employing the rolling-KSS unit root test, we aim to determine when the real exchange rates become non-stationary or nonlinear. The results of the KSS unit root test show that the