教師資料查詢 | 類別: 期刊論文 | 教師: 蘇志偉SU, CHIH-WEI (瀏覽個人網頁)

標題:Threshold Effects in Purchasing Power Parity for African Countries
學年100
學期1
出版(發表)日期2011/10/01
作品名稱Threshold Effects in Purchasing Power Parity for African Countries
作品名稱(其他語言)
著者Liu, Yu-shao; Zhu, Meng-nan; Su, Chi-wei
單位淡江大學國際貿易學系暨國際企業研究所
出版者Lagos: Academic Journals
著錄名稱、卷期、頁數African Journal of Business Management 5(24), pp.10235-10242
摘要This study applies non-linear threshold unit-root test to assess the non-stationary properties of the real exchange rate for twenty African countries. We found that non-linear threshold unit-root test has higher power than linear method. As suggested by Caner and Hansen (2001), the true data generating process of exchange rate is a stationary non-linear process. We examine the validity of PPP from the non-linear point of view and provide robust evidence clearly indicating that purchasing power parity (PPP) holds true for six countries, namely; Egypt, Ethiopia, Gambia, Malawi, Seychelles and South Africa. Our findings point out their exchange rate adjustment is mean reversion towards PPP equilibrium values in a non-linear way.
關鍵字Non-linear threshold unit-root test;purchasing power parity
語言英文
ISSN1993-8233
期刊性質國外
收錄於SSCI
產學合作
通訊作者Su, Chi-wei
審稿制度
國別奈及利亞
公開徵稿
出版型式紙本
相關連結
SDGs
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