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Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries

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  • Chang, Tsangyao
  • Lee, Chia-Hao
  • Chou, Pei-I
  • Tang, Dai-Piao

Abstract

In this study, we applied a threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment on long-run purchasing power parity (PPP) in G-7 countries between January 1994 and April 2010. Although there was strong evidence of long-run PPP for these G-7 countries, with the exception of Canada, the adjustment mechanism was asymmetric. These results have important policy implications for G-7 countries.

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Bibliographic Info

Article provided by Elsevier in its journal Japan and the World Economy.

Volume (Year): 23 (2011)
Issue (Month): 4 ()
Pages: 259-264

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Handle: RePEc:eee:japwor:v:23:y:2011:i:4:p:259-264

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Web page: http://www.elsevier.com/locate/inca/505557

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Keywords: Threshold cointegration test; Purchasing power parity; Asymmetric adjustment; G-7 countries; Policy implications;

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