Nonlinear adjustment to purchasing power parity for ASEAN countries

This study applies a simple and powerful nonlinear unit root test, proposed by Sollis (2009), to test the validity of long-run purchasing power parity (PPP) in a sample of ASEAN countries. The empirical results indicate that PPP only holds for three of these ASEAN countries studied, and the adjustment toward PPP is found to be nonlinear and asymmetric.

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Year of publication:	2012
Authors:	Chang, Tsangyao ; Lee, Chia-Hao ; Liu, Wen-Chi
Published in:	Japan and the World Economy. - Elsevier, ISSN 0922-1425. - Vol. 24.2012, 4, p. 325-331
Publisher:	Elsevier
Subject:	Purchasing power parity \| ASEAN countries \| Nonlinear unit root test \| Asymmetric \| AESTAR test

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010595045