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1 Ekonomický časopis (Journal of Economics)

1 2012

1 Chi-Wei S.

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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.