8 research outputs found
Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries
Expectations hypothesis of the term structure, Structural breaks, Two-break LM unit root test, Cointegration with breaks, Theoretical spread, E43, F15, F42,
Investigating Purchasing Power Parity in Central and Eastern European Countries: A Panel Data Approach
Purchasing power parity hypothesis: mixed evidence from eastern europe emerging markets
This paper investigates whether the purchasing power parity (PPP) hypothesis holds in the Czech Republic, Hungary, and Poland by considering currencies of their five largest trading partners. We employ eight panel unit root tests that can be arranged in groups by cross-section independence or dependence. Empirical findings show that the stochastic behavior of real exchange rates in the Czech Republic and Poland is not a mean reversion, and the PPP condition does not hold for them. However, we obtain mixed empirical evidence in Hungary. Limited evidence is found for validity of the PPP hypothesis among currencies of Hungary's largest trading partners