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Testing the PPP in the non-linear STAR Framework: Evidence from Africa

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Author Info
Mohsen Bahmani-Oskooee () (University of Wisconsin-Milwaukee)
Abera Gelan () (University of Wisconsin-Milwaukee)

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Abstract

Since its introduction in 2003, a new unit-root test that incorporates non-linearity in mean reverting process of a time series variable has gained momentum in testing the Purchasing Power Parity (PPP) theory. A few studies have applied the new test to the real bilateral exchange rates and have shown that it supports the PPP more often than the standard ADF test. In this paper we apply the new test as well as the standard ADF test not to real bilateral exchange rates but to real effective exchange rates of 21 African nations and show that indeed, the PPP is validated in 11 out of 21 African countries.

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File URL: http://www.accessecon.com/pubs/EB/2006/Volume6/EB-06F30023A.pdf
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Publisher Info
Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 6 (2006)
Issue (Month): 17 ()
Pages: 1-15
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Handle: RePEc:ebl:ecbull:v:6:y:2006:i:17:p:1-15

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F3 - International Economics - - International Finance
F3 - International Economics - - International Finance

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This page was last updated on 2010-1-6.

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