Testing the Purchasing Power Parity Hypothesis for the New Member and Candidate Countries of the European Union: Evidence from Lagrange Multiplier Unit Root Tests with Structural Breaks

Purchasing Power Parity and Efficiency of Black Market Exchange Rate in African Countries

“…It appears that the so-called PPP puzzle is not applicable in all the exchange rates under investigation. The estimates of the half-lives for the black market exchange rates are fully consistent with the half-life region of zero to three years, which can be explained by nominal rigidities (sticky price models), and they are also much shorter than those reported in the central and eastern European transition, emerging, and industrial countries (see Baharumshah et al 2007;Hassanain 2005;Kasman et al 2010).…”

Is the evidence for PPP reliable? A sustainability examination of the stationarity of real exchange rates

“…For y t being the de-meaned or de-meaned and de-trended series 1 See Perron (1989Perron ( , 1990 and Perron and Vogelsang (1992) for the proofs and demonstrations. Erlat (2003) and Kasman et al (2010), among others, provide evidence about the sensitivity of PPP tests to structural breaks.…”

“…See, among others, Papell and Theodoridis (2001), Koedijk et al (2004), Serletis and Gogas (2004), Sarno and Valente (2006), and Kasman et al (2010). 3 In a recent study, Nikolaou (2008) uses unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings to analyze the impact of different magnitudes of actual shocks on mean reversion in RERs.…”

PPP may hold better than you think: Smooth breaks and non-linear mean reversion in real effective exchange rates

“…3 Several studies show that inferences on PPP may be sensitive to using different numeraire currencies. See, among others, Papell and Theodoridis (2001), Koedijk et al (2004), Serlatis and Gogas (2004) and Kasman et al (2010).…”

“…É gert (2002), É gert and Dufrenot (2005), MacDonald and Wó jcik (2008) and García-Solanes et al (2008) also provide a test of the Balassa-Samuelson hypothesis for several central and eastern European and new and old European Union economies. Erlat (2003), Kasman et al (2010) and Karabulut et al (2013) test the purchasing power parity hypothesis for some new euro members and candidate economies. 3 Several studies show that inferences on PPP may be sensitive to using different numeraire currencies.…”