The Validity of Purchasing Power Parity in Central and Eastern European Countries: A Rolling Nonlinear Unit Root Test

Veli Yilanci

Economic Research-Ekonomska Istraživanja, 2012, vol. 25, issue 4, 973-986

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 PPP hypothesis is valid only for Romania while the results of the rolling-KSS unit root test reveal that the PPP hypothesiscan be rejected only for Poland in the all subsamples. On the other hand, we have found evidence of the validity of PPP for the remaining countries. Comparatively, the real exchange rates of Bulgaria and Romania were found to be characterized by nonlinearity in more subsamples in the rolling-KSS unit root test.

Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1331677X.2012.11517542 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:reroxx:v:25:y:2012:i:4:p:973-986

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rero20

DOI: 10.1080/1331677X.2012.11517542

Access Statistics for this article

Economic Research-Ekonomska Istraživanja is currently edited by Marinko Skare

More articles in Economic Research-Ekonomska Istraživanja from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().