Revisiting Purchasing Power Parity for Nine Transition Countries Using the Rank Test for Nonlinear Cointegration

Tsangyao Chang, Chi Chen Chiu and Han Wen Tzeng
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Chi Chen Chiu: Department of Banking and Finance, Tamkang University, Taipei, Taiwan
Han Wen Tzeng: Department of Finance, Overseas Chinese University, Taichung, Taiwan

Journal for Economic Forecasting, 2011, issue 2, 19-30

Abstract: This study applies the powerful rank test for nonlinear cointegration proposed by Brietung (2001) to test the validity of long-run purchasing power parity (PPP) for nine transition countries from January 1995 to December 2008. The empirical results indicate that PPP holds true for all nine transition countries studied. Our results have important policy implications for these nine transition countries.

Keywords: Rank Test for Nonlinear Cointegration; Purchasing Power Parity; Transition Countries (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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