Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries

In this study, we applied a threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment on long-run purchasing power parity (PPP) in G-7 countries between January 1994 and April 2010. Although there was strong evidence of long-run PPP for these G-7 countries, with the exception of Canada, the adjustment mechanism was asymmetric. These results have important policy implications for G-7 countries.

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Year of publication:	2011
Authors:	Chang, Tsangyao ; Lee, Chia-Hao ; Chou, Pei-I ; Tang, Dai-Piao
Published in:	Japan and the World Economy. - Elsevier, ISSN 0922-1425. - Vol. 23.2011, 4, p. 259-264
Publisher:	Elsevier
Subject:	Threshold cointegration test \| Purchasing power parity \| Asymmetric adjustment \| G-7 countries \| Policy implications

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

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