Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test

1997 ◽  
Vol 133 (1) ◽  
pp. 76-89 ◽  
Author(s):  
Mark J. Holmes ◽  
Yangru Wu
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Capital Controls ◽  
Covered Interest Parity ◽  
Interest Parity ◽  
The Eu

UNCOVERED INTEREST PARITY IN ARGENTINA, BRAZIL, CHILE, AND MEXICO: A UNIT ROOT TEST APPLICATION WITH PANEL DATA

2004 ◽  
Vol 16 (3) ◽  
pp. 263-269 ◽  
Author(s):  
Jaimilton V. Carvalho ◽  
Adolfo Sachsida ◽  
Paulo R. A. Loureiro ◽  
Tito Belchior S. Moreira
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Uncovered Interest Parity ◽  
Test Application ◽  
Interest Parity

scholarly journals Pharmaceutical Price Convergence In The EU: Preliminary Results From The Panel Data Unit Root Test

2011 ◽  
Vol 9 (10) ◽  
pp. 35 ◽  
Author(s):  
Aysegul Timur
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Market Integration ◽  
Unit Root Test ◽  
Pharmaceutical Market ◽  
Price Convergence ◽  
Preliminary Results ◽  
Cross Country ◽  
Price Differences ◽  
The Eu

This paper explores the case of market integration and price convergence in the European Union, specifically in the pharmaceutical industry. The EU has been experiencing market integration since 1992, through the removal of trade barriers, the establishment of a single market, and the reduction of exchange rate volatility. In addition, there have been several structural reforms in product markets designed to increase competition, monitor cross-country price differences and increase transparency. One anticipated effect of market integration is price convergence, because of the reduced potential for price discrimination across the EU. This paper is aimed to analyze market integration and price convergence in the European pharmaceutical market, which is the fifth largest industry in the EU. Since 1985, many EU directives have been adopted to achieve a single EU-wide pharmaceutical market, with the aim of enhancing the quality of life for European citizens and the European pharmaceutical industrys competitiveness and research and development capability. Using annual 19942003 IMS Health panel data from five EU countries on prices of drugs used to treat cardiovascular disease and controlling drug and market characteristics; this paper examines how the integration process has affected cross-country drug price dispersion in the EU through the preliminary results from the panel data unit root test. Finally, the results show some evidence of price convergence in the pharmaceutical market, with long term price differences arising from country fixed effects.

Uncovered Interest Parity in Argentina, Brazil, Chile, and Mexico: A Unit Root Test Application with Panel Data

2010 ◽  
Author(s):  
Jaimilton V. Caravalho ◽  
Adolfo Sachsida ◽  
Paulo R. A. Loureiro ◽  
Tito Belchior Silva Moreira
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Uncovered Interest Parity ◽  
Test Application ◽  
Interest Parity

scholarly journals Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests

2014 ◽  
Vol 83 (6) ◽  
pp. 676-700 ◽  
Author(s):  
Kaddour Hadri ◽  
Eiji Kurozumi ◽  
Daisuke Yamazaki
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Unit Root Tests

scholarly journals Purchasing Power Parity in Commonwealth of Independent States

2014 ◽  
Author(s):  
Gülçin Güreşçi Pehlivan ◽  
Esra Ballı ◽  
Muammer Tekeoğlu
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Cross Section ◽  
Purchasing Power Parity ◽  
Unit Root ◽  
Unit Root Test ◽  
Purchasing Power ◽  
Power Parity ◽  
Panel Unit Root ◽  
Independent States

The Purchasing Power Parity suggests that differences in relative prices in two countries move together with nominal exchange rates in the long run. This study examines the validity of PPP as transition economies for Commonwealth of Independent States (CIS). Purchasing Power Parity holds only when the real exchange rate is stationary in the equation. To test the stationary, we used both time series and panel data analysis. Testing unit root both with time series and panel data in this study, provides us double check of the results. We also test the cross sectional dependence to choose the appropriate panel unit root test. Our test statistics indicate that there is cross section dependence between countries. Hence, one needs to take into consideration the cross section dependence while undertaking unit root tests. Otherwise, the results would be biased. ADF and KPPS indicate that PPP cannot be accepted for the countries except for Russia. According to the panel unit root test results indicate that PPP does not hold for Armenia, Belarus, Georgia, Kazakhstan and Kyrgyzstan except for Russia.

PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION

2010 ◽  
Vol 62 (3) ◽  
pp. 269-277 ◽  
Author(s):  
Josep Lluís Carrion-i-Silvestre ◽  
Kaddour Hadri
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Fixed Time ◽  
Time Dimension
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