TESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE

André de Mattos Marques, Erik Alencar de Figueiredo

Resumo


In this study, the long run PPP hypothesis was tested considering real effective exchange rate dataset for twenty countries provided by the International Monetary Fund (IMF). By focusing on a nonlinear approach, the study tests IMF monthly dataset for specific nonlinearity. Additionally, the study presents a method to estimate the value that real exchange rate may converge in the long run. Linear and nonlinear cases were distinguished by the Hansen’s test. The Self-Exciting Threshold Autoregressive (Setar) model was applied to estimate potential thresholds to indicate the states turning points of the countries competitiveness. Results suggest that real exchange rate for thirteen countries are highly nonlinear and subjected to regime switching. The asymptotic stability analysis guarantees the data stationarity behavior. Absolute PPP hypothesis was supported in five out of thirteen cases. In these few cases the real exchange rate converges to a stable equilibrium not far from the value predicted by the PPP hypothesis.

Palavras-chave


Purchasing power parity; Real exchange rate; Nonlinearity

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DOI: https://doi.org/10.22456/2176-5456.65718



 
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Indexadores


 PROPESQ  PROPESQ PROPESQ   PROPESQ      PERIÓDICOS UFRGS


 
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Universidade Federal do Rio Grande do Sul
Faculdade de Ciências Econômicas
Revista Análise Econômica
ISSN 0102-9924 / e-ISSN 2176-5456