CES VŠEM o aktuálních ekonomických problémech

parameter heterogeneity). Additionally, there may be a bias
associated with small samples in the data (Chen and Engel, 2004)
that may have an impact on results. 78
The second group encompasses various direct and indirect (nonmarket)
measures applied in an economy. One of them can be in
the form of exchange rate arrangements such as the ERM II. This
may have restricted the exchange rates of NMS countries and
therefore the results of URTs or pURTs may be inconclusive. The
euro as a benchmark for our analysis may also influence our
results, as it was an artificial currency in the 1990s. However, this
choice seems to be rational, since the US dollar has lost its
importance in the NMS countries and the euro/ECU has gained
significance due to European integration process. Moreover,
some authors argue that the RER are not I(1) but rather I(0)
process that has a nonlinear (deterministic) trend or with
structural breaks. This may give support to the notion of a 'quasi-
PPP' or 'a relaxed version of PPP' (for discussion see e.g. Cuestas
and Regis, 2008).
Another example is mentioned in the study by Brissimis al.
(2005). The authors claim that monetary authority's
interventions in the foreign market targeting a certain level of
exchange rate may result in the inability to confirm PPP
empirically even though it holds. Additionally, Taylor (2004) puts
forward that interventions may lead to RER displaying nonlinear
behaviour, e.g. with I(1) type of behaviour within a certain band,
and I(0) outside. 79 For example, some countries have been using
inflation targeting and exchange rate is an important part of this.
An exchange rate has direct and indirect impacts on inflation.
Finally, the last group incorporates empirical problems and
problems of econometric methods. One of them may be a group
78 Robertson al. (2009) surveys literature and discuss sources of these biases in
depth. It also shows how important these biases for a development country are
(Mexico compared to the US).
79 The Bierens (1997) test should account for this.
109