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    题名: Purchasing Power Parity with Rank Tests for Nonlinear Cointegration in African Countries
    作者: Liu, Yu-shao;Su, Chi-wei
    贡献者: 淡江大學國際貿易學系暨國際企業研究所
    关键词: Nonlinear cointegration;nonparametric rank test;purchasing power parity
    日期: 2011-03
    上传时间: 2011-07-28 00:55:20 (UTC+8)
    出版者: Economic Society of South Africa
    摘要: This study applies nonlinear cointegration to assess exchange rates with the corresponding relative prices and aggregate price levels for 20 African countries. We find that a nonparametric rank test has higher power than parametric testing procedures; a true data‐generating process of exchange rate is in fact a stationary nonlinear process. We examine the validity of purchasing power parity (PPP) from the nonparametric nonlinear point of view and provide robust evidence that clearly indicates PPP holds true for these countries. Hence, the long‐run African countries exchange rate adjustments are in equilibrium with the relevant fundamentals as suggested by the PPP hypothesis in a nonlinear way.
    關聯: South African Journal of Economics 79(1), pp.17-26
    DOI: 10.1111/j.1813-6982.2011.01259.x
    显示于类别:[國際企業學系暨研究所] 期刊論文

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