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Long-run purchasing power parity with asymmetric adjustment: evidence from nine major oil-exporting countries

  • Tsangyao Chang

    (Department of Finance, Feng Chia University, Taiwan)

  • Wen-Chi Liu

In this study, we apply threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run purchasing power parity (PPP) in nine major oil-exporting countries. Although there is evidence of long-run PPP for these nine oil-exporting countries, the adjustment mechanism is asymmetric. These results have important policy implications for these nine oil-exporting countries under study. Copyright © 2008 John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 15 (2010)
Issue (Month): 3 ()
Pages: 263-274

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Handle: RePEc:ijf:ijfiec:v:15:y:2010:i:3:p:263-274
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  1. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  2. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February.
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  8. Tsangyao Chang & Yang-Cheng Lu & D. P. Tang & Wen-Chi Liu, 2011. "Long-run purchasing power parity with asymmetric adjustment: further evidence from African countries," Applied Economics, Taylor & Francis Journals, vol. 43(2), pages 231-242.
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