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FLEXIBLE FOURIER STATIONARY TEST IN PURCHASING POWER PARITY FOR CENTRAL AND EASTERN EUROPEAN COUNTRIES

100%

Chi-Wei S.

Ekonomický časopis (Journal of Economics)

2012

tom 60

nr 1

19 – 31

This study applies stationary test with a Fourier function proposed by Becker, Enders and Lee (2006) to test the validity of long-run purchasing power parity (PPP) to assess the non-stationary properties of the real exchange rate for seven Central and Eastern European (CEE) countries. We find that our approximation has higher power to detect U-shaped breaks and smooth breaks than linear method if the true data generating process of exchange rate is in fact a stationary non-liner process. We examine the validity of PPP from the non-linear point of view and provide robust evidence clearly indicate that PPP holds true for two countries, namely Bulgaria and Romania. Our findings point out their exchange rate adjustment is mean reversion towards PPP equilibrium values in a non-linear way.

ARE TAYLOR RULES VALID IN CENTRAL EASTERN EUROPEAN COUNTRIES?

88%

Wang Y. , Jiang C. , Chang H.-L. , Su C.-W.

Ekonomický časopis (Journal of Economics)

2015

tom 63

nr 7

665- 685

This study applies a stationary test with the flexible Fourier function proposed by Enders and Lee (2012) to test the validity of Taylor rules to assess the non-stationary properties of the convergence of the real exchange rates for ten Central Eastern European countries. We find that our approximation has a higher power to detect U-shaped breaks and smooth breaks than the linear method if the true data-generating process of exchange rate convergence is in fact a stationary non-linear process. We examine the validity of Taylor rules from the non-linear point of view and provide robust evidence that Taylor rules holds true for seven Central Eastern European countries. These results imply that the choices and effectiveness of the monetary policies in Central Eastern European economies are highly influenced by Taylor rule and also influenced by external factors originating from the United States.