TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Análise Econômica (Online) |
Texto Completo: | https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/65718 |
Resumo: | In this study, the long run PPP hypothesis was tested considering real effective exchange rate dataset for twenty countries provided by the International Monetary Fund (IMF). By focusing on a nonlinear approach, the study tests IMF monthly dataset for specific nonlinearity. Additionally, the study presents a method to estimate the value that real exchange rate may converge in the long run. Linear and nonlinear cases were distinguished by the Hansen’s test. The Self-Exciting Threshold Autoregressive (Setar) model was applied to estimate potential thresholds to indicate the states turning points of the countries competitiveness. Results suggest that real exchange rate for thirteen countries are highly nonlinear and subjected to regime switching. The asymptotic stability analysis guarantees the data stationarity behavior. Absolute PPP hypothesis was supported in five out of thirteen cases. In these few cases the real exchange rate converges to a stable equilibrium not far from the value predicted by the PPP hypothesis. |
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Análise Econômica (Online) |
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TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCETESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCEPurchasing power parityReal exchange rateNonlinearityF31F41Purchasing power parityReal exchange rateNonlinearityF31F41In this study, the long run PPP hypothesis was tested considering real effective exchange rate dataset for twenty countries provided by the International Monetary Fund (IMF). By focusing on a nonlinear approach, the study tests IMF monthly dataset for specific nonlinearity. Additionally, the study presents a method to estimate the value that real exchange rate may converge in the long run. Linear and nonlinear cases were distinguished by the Hansen’s test. The Self-Exciting Threshold Autoregressive (Setar) model was applied to estimate potential thresholds to indicate the states turning points of the countries competitiveness. Results suggest that real exchange rate for thirteen countries are highly nonlinear and subjected to regime switching. The asymptotic stability analysis guarantees the data stationarity behavior. Absolute PPP hypothesis was supported in five out of thirteen cases. In these few cases the real exchange rate converges to a stable equilibrium not far from the value predicted by the PPP hypothesis.In this study, the long run PPP hypothesis was tested considering real effective exchange rate dataset for twenty countries provided by the International Monetary Fund (IMF). By focusing on a nonlinear approach, the study tests IMF monthly dataset for specific nonlinearity. Additionally, the study presents a method to estimate the value that real exchange rate may converge in the long run. Linear and nonlinear cases were distinguished by the Hansen’s test. The Self-Exciting Threshold Autoregressive (Setar) model was applied to estimate potential thresholds to indicate the states turning points of the countries competitiveness. Results suggest that real exchange rate for thirteen countries are highly nonlinear and subjected to regime switching. The asymptotic stability analysis guarantees the data stationarity behavior. Absolute PPP hypothesis was supported in five out of thirteen cases. In these few cases the real exchange rate converges to a stable equilibrium not far from the value predicted by the PPP hypothesis.UFRGS2018-11-25info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/6571810.22456/2176-5456.65718Análise Econômica; Vol. 36 No. 71 (2018): setembro de 2018Análise Econômica; v. 36 n. 71 (2018): setembro de 20182176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSenghttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/65718/50824Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessMarques, André de MattosFigueiredo, Erik Alencar de2018-11-26T00:01:30Zoai:seer.ufrgs.br:article/65718Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2018-11-26T00:01:30Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false |
dc.title.none.fl_str_mv |
TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE TESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE |
title |
TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE |
spellingShingle |
TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE Marques, André de Mattos Purchasing power parity Real exchange rate Nonlinearity F31 F41 Purchasing power parity Real exchange rate Nonlinearity F31 F41 |
title_short |
TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE |
title_full |
TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE |
title_fullStr |
TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE |
title_full_unstemmed |
TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE |
title_sort |
TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE |
author |
Marques, André de Mattos |
author_facet |
Marques, André de Mattos Figueiredo, Erik Alencar de |
author_role |
author |
author2 |
Figueiredo, Erik Alencar de |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Marques, André de Mattos Figueiredo, Erik Alencar de |
dc.subject.por.fl_str_mv |
Purchasing power parity Real exchange rate Nonlinearity F31 F41 Purchasing power parity Real exchange rate Nonlinearity F31 F41 |
topic |
Purchasing power parity Real exchange rate Nonlinearity F31 F41 Purchasing power parity Real exchange rate Nonlinearity F31 F41 |
description |
In this study, the long run PPP hypothesis was tested considering real effective exchange rate dataset for twenty countries provided by the International Monetary Fund (IMF). By focusing on a nonlinear approach, the study tests IMF monthly dataset for specific nonlinearity. Additionally, the study presents a method to estimate the value that real exchange rate may converge in the long run. Linear and nonlinear cases were distinguished by the Hansen’s test. The Self-Exciting Threshold Autoregressive (Setar) model was applied to estimate potential thresholds to indicate the states turning points of the countries competitiveness. Results suggest that real exchange rate for thirteen countries are highly nonlinear and subjected to regime switching. The asymptotic stability analysis guarantees the data stationarity behavior. Absolute PPP hypothesis was supported in five out of thirteen cases. In these few cases the real exchange rate converges to a stable equilibrium not far from the value predicted by the PPP hypothesis. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-11-25 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/65718 10.22456/2176-5456.65718 |
url |
https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/65718 |
identifier_str_mv |
10.22456/2176-5456.65718 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/65718/50824 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2019 Análise Econômica info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2019 Análise Econômica |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
UFRGS |
publisher.none.fl_str_mv |
UFRGS |
dc.source.none.fl_str_mv |
Análise Econômica; Vol. 36 No. 71 (2018): setembro de 2018 Análise Econômica; v. 36 n. 71 (2018): setembro de 2018 2176-5456 0102-9924 reponame:Análise Econômica (Online) instname:Universidade Federal do Rio Grande do Sul (UFRGS) instacron:UFRGS |
instname_str |
Universidade Federal do Rio Grande do Sul (UFRGS) |
instacron_str |
UFRGS |
institution |
UFRGS |
reponame_str |
Análise Econômica (Online) |
collection |
Análise Econômica (Online) |
repository.name.fl_str_mv |
Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS) |
repository.mail.fl_str_mv |
||rae@ufrgs.br |
_version_ |
1799766267972812800 |