Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests
The aim of this study is to examine empirically the validity of PPP in the context of unit root tests based on linear and non-linear models of the real effective exchange rate of Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela. For this purpose, we apply the Harvey et al. (2008) linea...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2016-01-01
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| Series: | EconomiA |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1517758015000430 |
| _version_ | 1818001810771673088 |
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| author | Claudio Roberto Fóffano Vasconcelos Luiz A. Lima Júnior |
| author_facet | Claudio Roberto Fóffano Vasconcelos Luiz A. Lima Júnior |
| author_sort | Claudio Roberto Fóffano Vasconcelos |
| collection | DOAJ |
| description | The aim of this study is to examine empirically the validity of PPP in the context of unit root tests based on linear and non-linear models of the real effective exchange rate of Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela. For this purpose, we apply the Harvey et al. (2008) linearity test and the non-linear unit root test (Kruse, 2011). The results show that the series with linear characteristics are Argentina, Brazil, Chile, Colombia and Peru and those with non-linear characteristics are Mexico and Venezuela. The linear unit root tests indicate that the real effective exchange rate is stationary for Chile and Peru, and the non-linear unit root tests evidence that Mexico is stationary. In the period analyzed, the results show support for the validity of PPP in only three of the seven countries. |
| first_indexed | 2024-04-14T03:39:06Z |
| format | Article |
| id | doaj.art-e2eb1618ed144bb2985801fb73e2725d |
| institution | Directory Open Access Journal |
| issn | 1517-7580 |
| language | English |
| last_indexed | 2024-04-14T03:39:06Z |
| publishDate | 2016-01-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | EconomiA |
| spelling | doaj.art-e2eb1618ed144bb2985801fb73e2725d2022-12-22T02:14:38ZengEmerald PublishingEconomiA1517-75802016-01-0117111412510.1016/j.econ.2015.11.001Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root testsClaudio Roberto Fóffano VasconcelosLuiz A. Lima JúniorThe aim of this study is to examine empirically the validity of PPP in the context of unit root tests based on linear and non-linear models of the real effective exchange rate of Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela. For this purpose, we apply the Harvey et al. (2008) linearity test and the non-linear unit root test (Kruse, 2011). The results show that the series with linear characteristics are Argentina, Brazil, Chile, Colombia and Peru and those with non-linear characteristics are Mexico and Venezuela. The linear unit root tests indicate that the real effective exchange rate is stationary for Chile and Peru, and the non-linear unit root tests evidence that Mexico is stationary. In the period analyzed, the results show support for the validity of PPP in only three of the seven countries.http://www.sciencedirect.com/science/article/pii/S1517758015000430Purchasing power parityReal effective exchange rateUnit root |
| spellingShingle | Claudio Roberto Fóffano Vasconcelos Luiz A. Lima Júnior Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests EconomiA Purchasing power parity Real effective exchange rate Unit root |
| title | Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests |
| title_full | Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests |
| title_fullStr | Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests |
| title_full_unstemmed | Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests |
| title_short | Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests |
| title_sort | validity of purchasing power parity for selected latin american countries linear and non linear unit root tests |
| topic | Purchasing power parity Real effective exchange rate Unit root |
| url | http://www.sciencedirect.com/science/article/pii/S1517758015000430 |
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