Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries
AbstractThis study finds that Purchasing Power Parity holds in the long-run for Azerbaijan, Kazakhstan and Kyrgyzstan, based on Breitung’s (2001) rank tests for cointegration. Results from further analysis indicates that nominal exchange rates and relative prices are nonlinearly interrelated. Trade barriers, transportation costs and government intervention in the pricing system in these countries may have resulted in the establishment of the above-mentioned nonlinear relationship.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15794.
Date of creation: 2009
Date of revision:
Purchasing power parity; Cointegration; Nonlinear; Rank tests; Central Asia.;
Other versions of this item:
- 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 and Francis Journals, vol. 17(11), pages 1073-1077.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- F31 - International Economics - - International Finance - - - Foreign Exchange
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