Liew, Venus Khim-Sen and Chia, Ricky Chee-Jiun and Ling, Tai-Hu (2009): Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries.
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This study finds that Purchasing Power Parity holds in the long-run for Azerbaijan, Kazakhstan and Kyrgyzstan, based on Breitung’s (2001) rank tests for cointegration. Results from further analysis indicates that nominal exchange rates and relative prices are nonlinearly interrelated. Trade barriers, transportation costs and government intervention in the pricing system in these countries may have resulted in the establishment of the above-mentioned nonlinear relationship.
|Item Type:||MPRA Paper|
|Original Title:||Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries|
|Keywords:||Purchasing power parity; Cointegration; Nonlinear; Rank tests; Central Asia.|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Venus Khim-Sen Liew|
|Date Deposited:||18. Jun 2009 10:14|
|Last Modified:||12. Feb 2013 06:39|
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