Liew, Venus Khim-Sen and Lee, Hock-Ann and Lim, Kian-Ping (2005): Purchasing power parity in Asian economies: further evidence from rank tests for cointegration. Forthcoming in: Applied Economics Letter
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The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and aggregate price levels based on Breitung’s (2001) nonparametric rank tests reinforces previous validations of Purchasing Power Parity by the parametric testing procedures. Hence, in the long-run Asian exchange rate are in equilibrium with the relevant fundamentals as suggested by the purchasing power parity hypothesis.
|Item Type:||MPRA Paper|
|Original Title:||Purchasing power parity in Asian economies: further evidence from rank tests for cointegration|
|Keywords:||Purchasing power parity; Cointegration; Rank tests; Nonlinearity|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Venus Khim-Sen Liew|
|Date Deposited:||02. Jun 2009 23:50|
|Last Modified:||16. Feb 2013 06:42|
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Purchasing power parity in Asian economies: further evidence from rank tests for cointegration. (deposited 22. Feb 2008 06:48)
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