Threshold Effects in Purchasing Power Parity for African Countries

機構典藏 > College of Business and Management > Graduate Institute & Department of International Business > Journal Article > Item 987654321/54875

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/54875

Title:	Threshold Effects in Purchasing Power Parity for African Countries
Authors:	Liu, Yu-shao;Zhu, Meng-nan;Su, Chi-wei
Contributors:	淡江大學國際貿易學系暨國際企業研究所
Keywords:	Non-linear threshold unit-root test;purchasing power parity
Date:	2011-10
Issue Date:	2013-06-13 11:22:25 (UTC+8)
Publisher:	Lagos: Academic Journals
Abstract:	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.
Relation:	African Journal of Business Management 5(24), pp.10235-10242
DOI:	10.5897/AJBM10.387
Appears in Collections:	[Graduate Institute & Department of International Business] Journal Article

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	121	View/Open
Threshold Effects in Purchasing Power Parity for African Countries.pdf		333Kb	Adobe PDF	0	View/Open