Purchasing power parity in Asian economies: Further evidence from rank tests for cointegration

V., K S Liew and Lee, Hock Ann and Lim, Kian Ping (2009) Purchasing power parity in Asian economies: Further evidence from rank tests for cointegration. Applied Economics Letters, 16 (1). pp. 51-54. ISSN 1350-4851

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Abstract

The finding of nonlinear cointegration between Asian exchange rates with the corresponding relative prices and aggregate price levels based on Breitung's (2001) nonparametric rank tests reinforces previous validations of purchasing power parity (PPP) by the parametric testing procedures. Hence, the long-run Asian exchange rates are in equilibrium with the relevant fundamentals as suggested by the PPP hypothesis.

Item Type: Article
Keyword: Cointegration analysis, Exchange rate, Hypothesis testing, Price dynamics, Purchasing power parity
Subjects: H Social Sciences > HB Economic theory. Demography > HB1-3840 Economic theory. Demography > HB801-843 Consumption. Demand
Department: SCHOOL > Labuan School of International Business and Finance
Depositing User: ADMIN ADMIN
Date Deposited: 23 Mar 2011 09:52
Last Modified: 16 Oct 2017 15:28
URI: https://eprints.ums.edu.my/id/eprint/358

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