Threshold cointegration and purchasing power parity in the pacific nations
The paper uses a threshold cointegration methodology to explore the properties of long-run purchasing power parity (PPP) in the Pacific nations. Using Japan and the USA as base countries, it is shown that long-run PPP holds for most Asian countries but that the adjustment mechanism is asymmetric. In contrast to symmetric error-correction models, it is found that asymmetric adjustments of nominal exchange rates play an important role in eliminating deviations from long-run PPP.
Year of publication: |
2004
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Authors: | Enders, Walter ; Chumrusphonlert, Kamol |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 36.2004, 9, p. 889-896
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Publisher: |
Taylor & Francis Journals |
Saved in:
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