Long-run validity of Purchasing Power Parity and cointegration analysis for Central Asian countries
This 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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Volume (Year): 13 (2006)
Issue (Month): 7 ()
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Phillips, Peter C B & Hansen, Bruce E, 1990.
"Statistical Inference in Instrumental Variables Regression with I(1) Processes,"
Review of Economic Studies,
Wiley Blackwell, vol. 57(1), pages 99-125, January.
- Tom Doan, . "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
- 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.
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