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

Autores

  • André de Mattos Marques Universidade Federal da Paraíba
  • Erik Alencar de Figueiredo Universidade Federal da Paraíba

DOI:

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

Palavras-chave:

Purchasing power parity, Real exchange rate, Nonlinearity

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.

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Biografia do Autor

André de Mattos Marques, Universidade Federal da Paraíba

Professor Adjunto do Departamento de Economia da Universidade Federal da Paraíba, é Doutor em Economia pela Universidade Federal do Rio Grande do Sul. Desenvolve sua atividade de pesquisa na área de Macroeconomia e Métodos Quantitativos, atuando principalmente em temas relacionados a Economia Monetária, Crescimento e Desenvolvimento Econômico.

Erik Alencar de Figueiredo, Universidade Federal da Paraíba

Professor do Programa de Pós-Graduação em Economia da Universidade Federal da Paraíba

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Publicado

2018-11-25

Como Citar

Marques, A. de M., & Figueiredo, E. A. de. (2018). TESTING ABSOLUTE PPP HYPOTHESIS FOR TWENTY COUNTRIES THROUGH THE SKELETON FROM A SETAR MODEL: SOME NEW EVIDENCE. Análise Econômica, 36(71). https://doi.org/10.22456/2176-5456.65718