Purchasing Power Parity in Transition Countries: Panel Stationary Test with Smooth and Sharp Breaks
Mohsen Bahmani-Oskooee (),
Tsangyao Chang () and
Tsung-Pao Wu ()
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Tsung-Pao Wu: Department of Business Administration, Nan-fang College of Sun Yat-Sen University, Guangzhou 510970, China
International Journal of Financial Studies, 2015, vol. 3, issue 2, 1-9
This study examines whether the long-run purchasing power parity (PPP) holds in transition economies (Bulgaria, the Czech Republic, Hungary, Latvia, Lithuania, Poland, Romania and Russia) using monthly data over the 1995–2011 period. We apply a recently introduced panel stationary test, which accounts for sharp breaks and smooth shifts. The results indicate that the PPP holds only in two countries ( i.e. , Lithuania and Poland).
Keywords: purchasing power parity; transition countries; panel stationary test; sharp breaks and smooth breaks; Fourier function (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 F2 F3 F41 F42 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:3:y:2015:i:2:p:153-161:d:49776
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