Nonlinear trend stationarity of real exchange rates: the case of the Mediterranean countries

Camarero, M., Cuestas, J.C. and Ordóñez, J., 2008. Nonlinear trend stationarity of real exchange rates: the case of the Mediterranean countries. International Journal of Banking, Accounting and Finance, 1 (1), pp. 30-46. ISSN 1755-3830

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Abstract

The aim of this article is to provide additional evidence on the fulfilment of the Purchasing Power Parity hypothesis in the so-called Mediterranean countries. In order to test for the empirical validity of such hypothesis, we have applied two types of unit root tests. The first group is due to Bierens (1997) who generalizes the alternative hypothesis to nonlinear trend stationariry and, the second is the Leybourne, Newbold and Vougas (1998) approach that uses a nonlinear specification for the intercept and slope in order to detrend the series. The results suggest that the evidence in favour of the Purchasing Power Parity hypothesis increases when we allow for nonlinear alternatives.

Item Type: Journal article
Publication Title: International Journal of Banking, Accounting and Finance
Creators: Camarero, M., Cuestas, J.C. and Ordóñez, J.
Publisher: Inderscience
Date: 2008
Volume: 1
Number: 1
ISSN: 1755-3830
Identifiers:
NumberType
10.1504/IJBAAF.2008.020241DOI
Divisions: Schools > Nottingham Business School
Depositing User: EPrints Services
Date Added: 09 Oct 2015 11:13
Last Modified: 23 Aug 2016 09:14
URI: http://irep.ntu.ac.uk/id/eprint/24458

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