Long-run validity of Purchasing Power Parity and cointegration analysis for Central Asian countries
AbstractThis study investigates the long-run validity of Purchasing Power Parity for three transition Asian countries, namely Azerbaijan, Kazakhstan and Kyrgyzstan. The results show that the nominal exchange rates, domestic and foreign price series are not cointegrated when four different types of cointegration techniques were applied. Time series properties of the real exchange rates for these countries also show that they are non-stationary. All these results confirm that validity of the Purchasing Power Parity in the long-run can be rejected for these countries.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 13 (2006)
Issue (Month): 7 ()
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- Corbae, Dean & Ouliaris, Sam, 1988. "Cointegration and Tests of Purchasing Power Parity," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 508-11, August.
- Enders, Walter, 1988. "ARIMA and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 504-08, August.
- Liew, Venus Khim-Sen & Chia, Ricky Chee-Jiun & Ling, Tai-Hu, 2009.
"Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries,"
15794, University Library of Munich, Germany.
- Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Tai-Hu Ling, 2010. "Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1073-1077.
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