Nonlinear and Asymmetric Adjustment to Purchasing Power Parity in East-Asian Countries
ثبت نشده
چکیده
This study applies a simple and powerful nonlinear unit root test to test the validity of long-run purchasing power parity (PPP) in a sample of 10 East-Asian countries (i.e., China, Hong Kong, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand) over the period of March 1985 to September 2008. The empirical results indicate that PPP holds true for half of these 10 East-Asian countries under study, and the adjustment toward PPP is found to be nonlinear and in an asymmetric way. Keywords—Purchasing Power Parity, East-Asian Countries, Nonlinear Unit Root Test, Asymmetry.
منابع مشابه
Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks
متن کامل
Real exchange rate behavior in the Middle East : a re - examination *
This letter extends recent work by Bahmani-Oskooee (Bahmani-Oskooee, M., Do exchange rates follow a random walk process in Middle Eastern countries? Economics Letters 1998;58:339–344) on testing long-run purchasing power parity for Middle Eastern countries during the post-Bretton Woods period. Using multivariate nonlinear models, strong support is provided for highly nonlinear reversion of real...
متن کاملInvestigating the Effect of Monetary Treaty on Trade between Iran and Major Trading Partners
In the present study, the effect of concluding and executing monetary treaties as well as membership of regional economic cooperation organizations (as a potential for using regional currency) on mutual exports between Iran and its 50 major trading partners during the period of 2000 to 2016 is investigated. The Generalized Commercial Gravity Model and Ordinary Least Square (OLS) regression of p...
متن کاملNonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era
Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era Christopher F. Baum Department of Economics Boston College John T. Barkoulas Department of Economics and Finance Louisiana Tech University Mustafa Caglayan Department of Economics and Finance University of Durham, UK This paper models the dynamics of adjustment to long-run PPP over the post-Bretton Woods period in a n...
متن کامل