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    題名: Threshold Effects in Purchasing Power Parity for African Countries
    作者: Liu, Yu-shao;Zhu, Meng-nan;Su, Chi-wei
    貢獻者: 淡江大學國際貿易學系暨國際企業研究所
    關鍵詞: Non-linear threshold unit-root test;purchasing power parity
    日期: 2011-10
    上傳時間: 2013-06-13 11:22:25 (UTC+8)
    出版者: Lagos: Academic Journals
    摘要: This study applies non-linear threshold unit-root test to assess the non-stationary properties of the real exchange rate for twenty African countries. We found that non-linear threshold unit-root test has higher power than linear method. As suggested by Caner and Hansen (2001), the true data generating process of exchange rate is a stationary non-linear process. We examine the validity of PPP from the non-linear point of view and provide robust evidence clearly indicating that purchasing power parity (PPP) holds true for six countries, namely; Egypt, Ethiopia, Gambia, Malawi, Seychelles and South Africa. Our findings point out their exchange rate adjustment is mean reversion towards PPP equilibrium values in a non-linear way.
    關聯: African Journal of Business Management 5(24), pp.10235-10242
    DOI: 10.5897/AJBM10.387
    顯示於類別:[國際企業學系暨研究所] 期刊論文


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