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This paper applies recently developed Fourier quantile unit root test to investigate timeseries property of inflation in seven Eastern European countries. Thismethod combines the quantile unit root test with smooth unknown multiple breaks through Fourier function, and has good size and power when the data follows heavy tailed distribution. Our results showthat the inflation rates are stationary within each quantile for Czech Republic, Bulgaria and Lithuania, while the other four countries contain a unit root within some quantiles. We also find the speed of inflation adjustment towards to its long-run equilibrium for each country is asymmetric. Our results have important policy implications for monetary authorities in these Eastern European countries. [ABSTRACT FROM AUTHOR]

This study applies nonlinear quantile unit root test with Fourier function to test the validity of long-run uncovered interest parity (UIP) to assess the non-stationary properties of the interest differentials convergence for ten Central and Eastern European (CEE) countries. We find that our approximation has higher power to detect U-shaped breaks and smooth breaks than linear method if the true data generating process of risk premium convergence is in fact a stationary non-liner process. We examine the validity of UIP from the non-linear point of view and provide robust evidence clearly indicate that UIP holds true for six CEE countries. Our findings point out the risk premium adjustments of the six CEE countries are mean reversion towards UIP equilibrium values in a non-linear way. [ABSTRACT FROM AUTHOR]