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Long-run purchasing power parity with asymmetric adjustment: Further evidence from nine transition countries

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  • Chang, Tsangyao
  • Tzeng, Han-Wen

Abstract

In this study, we applied a threshold cointegration test to investigate the properties of asymmetric adjustment on long-run purchasing power parity (PPP) in nine transition countries between January 1995 and December 2008. Although there was strong evidence of long-run PPP for these nine transition countries (i.e., Bulgaria, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, and Russia), the adjustment mechanism was asymmetric. These results have important policy implications for the nine transition countries included in the study.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 28 (2011)
Issue (Month): 3 (May)
Pages: 1383-1391

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Handle: RePEc:eee:ecmode:v:28:y:2011:i:3:p:1383-1391

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Web page: http://www.elsevier.com/locate/inca/30411

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Keywords: Threshold cointegration test Purchasing power parity Asymmetric adjustment Transition countries;

References

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Cited by:
  1. Zhang, Zhibai, 2014. "Is there a rule of thumb for absolute purchasing power parity to hold?," MPRA Paper 55338, University Library of Munich, Germany.
  2. Zeng, Jhih-Hong & Peng, Chi-Lu & Chen, Ming-Chi & Lee, Chien-Chiang, 2013. "Wealth effects on the housing markets: Do market liquidity and market states matter?," Economic Modelling, Elsevier, Elsevier, vol. 32(C), pages 488-495.

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