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Abstract
Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old‐fashioned panel unit root tests making it possible for researchers testing individual series for a unit root while taking contemporaneous cross‐sectional dependence and structural break into account. The proposed test was used to investigate the status of financial and real integration of China, Japan, UK, the European Union, and the United States based on the empirical validity of real interest parity, uncovered interest parity, and relative purchasing power parity. We found strong evidence in favor of those parity conditions and hence concluded that financial and real integration between China and the other four countries was well established using the new developed panel unit root test while the traditional tests (either univariate or panel) fail to do so.
Santrauka
Straipsnyje ieškoma irodymu apie finansine ir realiaja integracija tarp Kinijos bei jos tarptautines prekybos partneriu. Autoriu patobulinta ekonometrikos metodo (panel unit root test) versija leidžia ekonomistams atsižvelgti i nagrinejamu šaliu tarpšakiniu ryšiu bei ekonomikos struktūru specifika. Finansinei bei realiai integracijai tarp Kinijos ir pagrindiniu jos prekybos partneriu, t. y. Japonijos, Jungtines Karalystes, Europos Sajungos bei Jungtiniu Amerikos Valstiju, vertinti buvo naudoti tokie kintamieji, kaip nepadengtu palūkanu paritetas, palūkanu normu paritetas bei santykinis perkamosios galios paritetas. Tyrimo rezultatai patvirtino prielaida apie gana didele minetu paritetu svarba ir leido konstatuoti, kad Kinija yra gana stipriai finansiškai bei realiai integruota su savo pagrindinemis prekybos partneremis.
