Purchasing power parity for fifteen Latin American countries: Stationary test with a Fourier function

Su, Chi‐Wei; Chang, Tsangyao; Chang, Hsu‐Ling

doi:10.1016/j.iref.2011.03.004

Cited by 17 publications

(8 citation statements)

References 44 publications

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“…In brief, Buchs (2005) argues that the real effective exchange rate of the Brazilian "real" was slightly overvalued; while Paiva (2006) states that the "real" appreciation was an equilibrium phenomenon. Su, Tsangyao, and Chang (2011) show that PPP is valid only for four Latin American countries, thereby implying that the majority of the exchange rates, in Latin America, do not follow an equilibrium process. Similarly, Aflouk, Jeang, and Saadaoui (2010) studied the presence of exchange rate misalignments in the case of emerging countries and found that exchange rate misalignments are higher in Latin American countries.…”

Section: Introductionmentioning

confidence: 93%

Exchange rate misalignment and inflation rate persistence: Evidence from Latin American countries

Giannellis

Koukouritakis

2013

International Review of Economics & Finance

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Section: Introductionmentioning

confidence: 93%

Exchange rate misalignment and inflation rate persistence: Evidence from Latin American countries

Giannellis

Koukouritakis

2013

International Review of Economics & Finance

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“…For example, it is doubtful whether the traditional unit root test (such as the ADF test) can really verify the stationarity of data (Enders and Lee, 2012a;Enders and Lee, 2012b;Enders and John, 2016). A lot of empirical studies have found that after considering structural changes, the unstable series based on traditional unit root tests (such as the augmented Dickey-Fuller test proposed by Dickey and Fuller, 1981) is actually stable (Su et al, 2011;Furuoka, 2014). However in spite of potential structural changes, we first estimated a full sample VAR model as a benchmark result.…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

How does economic policy uncertainty affect prices of housing? Evidence from Germany

Su¹,

Xin²,

Tao³

2019

Argumenta Oeconomica

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We test the interaction between housing prices and economic policy uncertainty with controlling for the effect of the interest rate in Germany. A bootstrap rolling-window Granger causality test method is utilized for the purpose of detecting their dynamic relationship, since we find significant structural changes across the full-sample of the time series which should be taken into account to avoid estimation errors, and more importantly to get a more instructive conclusion. We find that even in Germany, where house prices are famous for their stability, a strong bilateral Granger causality still exists after controlling for the interest rate of housing loans. Furthermore, we find that though the impact of economic policy uncertainty on housing prices could be positive or negative, it significantly reduces house price volatility, while house price volatility significantly raises economic policy uncertainty, which suggests that the frequently mentioned volatility spillover effect of uncertainty on the housing market is not explanatory. Our results indicate that when the subject is a pillar industry in the national economy, considering only the volatility spillover effect caused by economic policy uncertainty may be one-sided, and the purpose of policy change may be more worthy of consideration.

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“…With the use of new techniques, to test the validity of long‐run PPP in 15 Latin American countries over the period 1994:12–2010:2, Su, Tsangyao, and Chang (2011) apply a stationary test with a Fourier function. The empirical results from the univariate unit root tests indicate that PPP does not hold for the countries under study.…”

Section: Literature Reviewmentioning

confidence: 99%

An empirical examination of purchasing power parity: Argentina 1810–2016

Jacobo

Sosvilla‐Rivero

2020

Int. J Fin Econ

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This paper examines the purchasing power parity behaviour for Argentina during the 1810–2016 period. To that end, we use cointegration analysis and error correction models allowing for structural breaks. We find a long‐run relationship between the AR$/USD exchange rate and the price differential between Argentina and the USA. In particular, we offer empirical evidence in favour of a cointegrating equation with two structural breaks. We also find evidence that the data could identify an appropriate error correction model for the short‐run dynamics, hence providing further support for the cointegrating equation as a long‐run relationship.

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Purchasing power parity for fifteen Latin American countries: Stationary test with a Fourier function

Cited by 17 publications

References 44 publications

Exchange rate misalignment and inflation rate persistence: Evidence from Latin American countries

Exchange rate misalignment and inflation rate persistence: Evidence from Latin American countries

How does economic policy uncertainty affect prices of housing? Evidence from Germany

An empirical examination of purchasing power parity: Argentina 1810–2016

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