Asymmetric adjustment towards long-run PPP: Some new evidence for Asian economies
AbstractThis paper investigates relative purchasing power parity for a sample of nine Asian economies during the post-Bretton Woods floating exchange rate era. While most existing studies of purchasing power parity employ linear tests of non-stationarity or non-cointegration, we employ a new cointegration test, recently advocated by Enders & Siklos and Enders & Dibooglu, that tests for an asymmetric adjustment towards parity with respect to positive and negative real exchange rate deviations from parity. In most cases, we find that long-run purchasing power parity is most likely to hold with respect to positive deviations only.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal International Economic Journal.
Volume (Year): 20 (2006)
Issue (Month): 2 ()
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