Chia-Hao Lee

Revisiting purchasing power parity for 18 African countries: sequential panel selection method

This study applies the Sequential Panel Selection Method (SPSM) proposed by Chortareas and Kapetanios (2009) to test the validity of the long-run Purchasing Power Parity (PPP) for a sample of 18 African countries over the period January 1985 to September 2008. SPSM classifies the whole panel into a group of stationary series and a group of nonstationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results indicate that the PPP holds true for only four of these African countries studied. Our results have important policy implications for these African countries under study.

Purchasing power parity nonlinear threshold unit root test for East-Asian countries

This study applies the Threshold Autoregressive (TAR) model proposed by Caner and Hansen (2001) to test the validity of long-run Purchasing Power Parity (PPP) of nine East-Asian countries over the period January 1986 to October 2009. The empirical results indicated that PPP holds true for more than half of these nine East-Asian countries under study, and the adjustment towards PPP is found to be nonlinear.

Purchasing power parity for 15 COMESA and SADC countries: evidence based on panel SURADF tests

In this study, the panel Seemingly Unrelated Regressions Augmented Dickey–Fuller (SURADF) tests advanced by Breuer et al. (2001) are used to test the validity of Purchasing Power Parity (PPP) for 15 countries belonging to the Common Market for Eastern and Southern Africa (COMESA) and the Southern African Development Community (SADC) over the period of December 1994 to July 2008. The empirical results from the univariate unit root and panel-based unit root tests indicate that PPP does not hold for these 15 countries; however, Breuer et al.s (2001) panel SURADF tests unequivocally indicate that PPP is valid for three of these 15 countries.

Can the PPP stand on the BRICS? The ADL test for threshold cointegration

We apply a newly developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of BRICS countries (i.e. Brazil, Russia, India, China and South Africa) over January 1996 to July 2010. The empirical results indicate that PPP only holds true for most of these countries under study, with the exception of Brazil. Our results have important policy implications for the BRICS countries under study.

Nonlinear adjustment to purchasing power parity: the ADL test for threshold cointegration

This study applies a newly developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of East Asian countries from January 1986 to October 2009. Empirical results indicate that PPP holds true for all the countries studied, with the exception of Japan and Philippines, and the long-run PPP adjustment process towards its equilibrium is asymmetric. Our results have important policy implications for these East Asian countries under study.

Revisiting purchasing power parity for East Asian countries: panel SURADF tests

In this study, the panel Seemingly Unrelated Regression Augmented Dickey–Fuller (SURADF) tests advanced by Breuer et al. (2001) are used to test the validity of Purchasing Power Parity (PPP) for a sample of East Asian countries over the 1985M3 to 2008M5. The empirical results from several panel-based unit root tests indicate that PPP does not hold for East Asian countries under study; however, Breuer et al.’s (2001) panel SURADF tests indicate that PPP is valid for most of the East Asian countries under study.

Nonlinear adjustment to purchasing power parity in transition countries: the ADL test for threshold cointegration

This study applies a newly developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of transition countries (i.e. Bulgaria, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania and Russia) over January 1995 to December 2008. The empirical results indicate that PPP only holds true for five of these transition countries under study. Our results have important policy implications for the transition countries under study.

Nonlinear adjustment to purchasing power parity with flexible Fourier function in G-7 countries

This study applied the nonlinear Kapetanios et al. (2003) test with a Fourier function (capturing the smooth breaks) to test the validity of long-run Purchasing Power Parity (PPP) for G-7 countries over the period January 1994 to April 2010. The empirical results indicate that PPP holds for all the G-7 countries studied. Our results have important policy implications for the G-7 countries under study.

Nonlinear adjustment to purchasing power parity in G-7 countries

This study applies a simple and powerful nonlinear unit root proposed by Sollis (2009) to test the validity of long-run Purchasing Power Parity (PPP) in G-7 countries over the period January 1980 to September 2008. The empirical results indicate that PPP holds true for all G-7 countries, with the exception of Canada, and the adjustment towards PPP is nonlinear but in a symmetric way. These results have important policy implications for the G-7 countries under study.

Purchasing power parity in Mainland China and Taiwan: an empirical note based on threshold unit root test

This empirical note applies the threshold unit root test proposed by Caner and Hansen (2001) to test the validity of long-run Purchasing Power Parity (PPP) in Mainland China and Taiwan over the period of January 1986 to October 2009. The empirical results indicate that PPP holds true for the two areas under study, and the adjustment towards PPP is found to be nonlinear.