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THE VALIDITY OF PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: A ROLLING NONLINEAR UNIT ROOT

Veli Yilanci

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APA 6th Edition
Yilanci, V. (2012). THE VALIDITY OF PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: A ROLLING NONLINEAR UNIT ROOT. Economic research - Ekonomska istraživanja, 25 (4), 973-986. Retrieved from https://hrcak.srce.hr/97023
MLA 8th Edition
Yilanci, Veli. "THE VALIDITY OF PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: A ROLLING NONLINEAR UNIT ROOT." Economic research - Ekonomska istraživanja, vol. 25, no. 4, 2012, pp. 973-986. https://hrcak.srce.hr/97023. Accessed 1 Dec. 2021.
Chicago 17th Edition
Yilanci, Veli. "THE VALIDITY OF PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: A ROLLING NONLINEAR UNIT ROOT." Economic research - Ekonomska istraživanja 25, no. 4 (2012): 973-986. https://hrcak.srce.hr/97023
Harvard
Yilanci, V. (2012). 'THE VALIDITY OF PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: A ROLLING NONLINEAR UNIT ROOT', Economic research - Ekonomska istraživanja, 25(4), pp. 973-986. Available at: https://hrcak.srce.hr/97023 (Accessed 01 December 2021)
Vancouver
Yilanci V. THE VALIDITY OF PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: A ROLLING NONLINEAR UNIT ROOT. Economic research - Ekonomska istraživanja [Internet]. 2012 [cited 2021 December 01];25(4):973-986. Available from: https://hrcak.srce.hr/97023
IEEE
V. Yilanci, "THE VALIDITY OF PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: A ROLLING NONLINEAR UNIT ROOT", Economic research - Ekonomska istraživanja, vol.25, no. 4, pp. 973-986, 2012. [Online]. Available: https://hrcak.srce.hr/97023. [Accessed: 01 December 2021]

Abstracts
The main aim of this paper is to examine the validity of the purchasing power parity (PPP) hypothesis for eight Central and Eastern European countries using both Kapetanios et al. (KSS) and rolling-KSS unit root tests. By employing the rolling-KSS unit root test, we aim to determine when the real exchange rates become non-stationary or nonlinear. The results of the KSS unit root test show that the PPP hypothesis is valid only for Romania while the results of the rolling-KSS unit root test reveal that the PPP hypothesis can be rejected only for Poland in the all subsamples. On the other hand, we have found evidence of the validity of PPP for the remaining countries. Comparatively, the real exchange rates of Bulgaria and Romania were found to be characterized by nonlinearity in more subsamples in the rolling-KSS unit root test.

Keywords
nonlinearity; purchasing power parity; rolling-window procedure; unit root test

Hrčak ID: 97023

URI
https://hrcak.srce.hr/97023

[croatian]

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