PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: AN ANALYSIS OF UNIT ROOTS AND NONLINEARITIES

Juan Cuestas

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: The aim of this paper is to analyse the empirical fulfilment of PPP in a number of Central and Eastern European countries. For this purpose we apply two different unit root tests in order to control for two sources of nonlinearities, i.e. Bierens (1997) and Kapetanios, Shin and Snell (2003). We find that PPP holds in most of these countries once account has been taken of nonlinear deterministic trends and smooth transitions.

Keywords: PPP; Real Exchange Rate; Unit Roots; nonlinearities; Central and East Europe (search for similar items in EconPapers)
JEL-codes: C32 F15 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2007-10
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published by Ivie

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http://www.ivie.es/downloads/docs/wpasad/wpasad-2007-22.pdf Fisrt version / Primera version, 2007 (application/pdf)

Related works:
Journal Article: Purchasing power parity in Central and Eastern European countries: an analysis of unit roots and nonlinearities (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2007-22

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