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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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File URL: http://hdl.handle.net/10.1002/ijfe.386
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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. Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-42, November.
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