This article employs Hansen's (1995) Covariate Augmented Dickey-Fuller (CADF) test to reexamine the issue of Purchasing Power Parity (PPP) using post-Bretton Woods exchange rate data for 20 industrialized countries. Instead of just using a single covariate as in the literature, we implement the...

A set of unit root tests are applied to test the existence of long-run real interest rate parity among the G-10 countries over the period 1971M1 to 2007M2. Rather than trusting the asymptotic distributions, this article uses simulation techniques to establish the small sample distributions of...

This paper intends to provide possible explanations for the empirical failure of the Fisher hypothesis in terms of economic shocks by employing the quantile cointegration methodology recently proposed by Xiao (2009). Our empirical results for six OECD countries suggest that though the nominal...

This paper investigates how a change in monetary policy affects the degree and the speed of exchange rate pass-through to import prices in the emerging market economy, using a newly constructed data set from Taiwan's trading commodities. First, the analytical framework is set up following...

This paper proposes a new procedure for testing the unit root null against stationary but nonlinear alternatives. This test can be viewed as a generalization of the one developed by Kapetanios et al. (2003) (the KSS test) by incorporating stationary covariates. The asymptotic distribution of the...

Previous studies on the stationarity properties of the real exchange rates in developing countries in Asia have generally produced mixed results. The unit root behavior is puzzling because it contradicts the purchasing power parity (PPP) hypothesis. This study examines international data on 15...

This article explores whether there is support for the stationarity hypotheses of life and non-life insurance premiums during the period 1979--2007 for 40 heterogeneous countries. The stationarity of insurance premiums affects insurance companies’ prediction on their future inflow of premium...

Under the assumption of intertemporal balance, current foreign reserve holdings should equal the present value of the sum of future current account and financial account balances. To satisfy the intertemporal balance, a testable condition indicates that the change in foreign reserves needs to...

This article employs the covariate unit root test proposed by Elliott and Jansson to investigate the stationarity properties of real interest rates. Instead of blindly trusting the asymptotic distribution of the test, we extend Rudebusch's method to estimate its finite sample distributions under...