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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 | ||||
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| 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: |
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| Divisions: | Schools > Nottingham Business School | ||||
| Record created by: | EPrints Services | ||||
| Date Added: | 09 Oct 2015 11:13 | ||||
| Last Modified: | 23 Aug 2016 09:14 | ||||
| URI: | https://irep.ntu.ac.uk/id/eprint/24458 |
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