Long-run purchasing power parity, prices and exchange rates in transition

Christev, Atanas; Noorbakhsh, Abbas

doi:10.1016/s1044-0283(00)00016-8

Cited by 37 publications

(10 citation statements)

References 40 publications

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“…The results thus imply that there is no evidence for PPP -at its strong version -linking any of the economies under consideration with Germany, the US and the eurozone. These results are in line with the findings on studies examining the behaviour of real exchange rates and the validity of PPP in Central and Eastern European economies for the recent period (see, inter alia, Christev and Noorbakhsh, 2000;Dibooglu and Kutan, 2001;Sideris, 2006bSideris, , 2008Beko and Borsic, 2007;Hsing, 2008). 5…”

Section: Univariate Analysis -Unit Root Testssupporting

confidence: 90%

Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states

Sideris

2010

Applied Financial Economics

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This article has two aims. The first aim is to assess the potential for an Optimum Currency Area (OCA) of six New Member States (NMS) of the EU (Bulgaria, the Czech Republic, Hungary, Poland, Romania and Slovakia) with the eurozone, by applying the theory of the Generalized Purchasing Power Parity (G-PPP). The second aim is to examine whether the introduction of the euro in 1999 and the policy decision of the six countries to join the eurozone, have created any forces fostering their convergence - evidence which would be in line with the theory on the endogeneity of the OCA criteria. Our findings indicate that G-PPP holds for the real exchange rates of the six NMS for the post euro period, and that the introduction of the euro and the choice of the six economies to participate in the EU did promote their integration.

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Section: Univariate Analysis -Unit Root Testssupporting

confidence: 90%

Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states

Sideris

2010

Applied Financial Economics

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“…He provides evidence of cointegration -but not of a PPP relationship -for Russia and Slovenia. Christev and Noorbakhsh (2000) test for PPP for Bulgaria, the Czech Republic, Hungary, Poland, Romania and Slovakia applying cointegration techniques; they find evidence for cointegrating relationships but not for PPP. Sideris (2006) investigates the validity of PPP for a panel of 17 CEEC economies (which comprises the 6 economies of the present analysis) vis-a-vis the US.…”

Section: Exchange Rate Policies In the Selected Economiesmentioning

confidence: 96%

Foreign exchange intervention and equilibrium real exchange rates

Sideris

2008

Journal of International Financial Markets, Institutions and Mo

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Monetary authorities intervene in the currency markets in order to pursue a monetary rule and/or to smooth exchange rate volatility caused by speculative attacks. In the present paper we investigate for possible intervention effects on the volatility of nominal exchange rates and the estimated equilibrium behaviour of real exchange rates. The main argument of the paper is that omission of intervention effects -when they are significant -would bias the ability to detect any PPP-based behaviour of the real exchange rates in the long run. Positive evidence for this argument comes from the experience of six Central and Eastern European economies, whose exchange markets are characterised by frequent interventions.

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“…The papers differ in terms of their sample period, country coverage, and methodology. Early studies used linear unit-root tests or cointegration tests and, in most cases, rejected PPP (Christev, Noorbakhsh 2000;Sideris 2006;Thacker 1995). This is not surprising for at least two reasons: First, during the catching-up phase of the transition, equilibrium exchange rates should exhibit an upward trend as the countries experience growth in productivity and real wages (De Broeck, Sløk 2006).…”

Section: Literature Reviewmentioning

confidence: 99%

Persistence of Real Exchange Rates in the Central and Eastern European Countries

Baharumshah

Soon

Fountas

et al. 2016

Journal of Business Economics and Management

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We investigate the mean reversion in real exchange rates for Central and Eastern European countries. We use point and confidence interval estimates from the Phillips et al. 's (2001) local-persistent model as our preferred measures of the persistence of real exchange rates. We find that the adjustment to purchasing power parity is more rapid after accounting for structural breaks, with half-life deviation from parity below 18 months, which is consistent with the explanation based on nominal rigidities. The estimated narrow confidence intervals for the half-lives invalidate the purchasing power parity puzzle for transition and some core European Union countries. The novelty of our results lies in the finding of strong evidence for purchasing power parity as the local-persistent model produces shorter half-lives and much narrower corresponding confidence intervals than those obtained by standard Dickey-Fuller and local-to-unity models. Our evidence for PPP suggests that the transition countries have maintained their long-run competitiveness against their trading partners.

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Long-run purchasing power parity, prices and exchange rates in transition

Cited by 37 publications

References 40 publications

Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states

Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states

Foreign exchange intervention and equilibrium real exchange rates

Persistence of Real Exchange Rates in the Central and Eastern European Countries

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