TTESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE

Detalhes bibliográficos
Autor(a) principal: Marques, André de Mattos
Data de Publicação: 2018
Outros Autores: Figueiredo, Erik Alencar de
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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spelling 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
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