Purchasing Power Parity under Regime Shifts: An Application to Asian Countries

Salah Nusair

Asian Economic Journal, 2008, vol. 22, issue 3, 241-266

Abstract: This paper re‐examines the long‐run purchasing power parity (PPP) relationship for nine Asian countries relative to the USA and Japan during a period containing significant structural breaks. The relevance of considering structural breaks in PPP tests is demonstrated by utilizing the Johansen et al. (2000) procedure that allows for up to two pre‐determined structural breaks. Using conventional tests without considering breaks, one is able to reject the null of no cointegration for only four countries. The Johansen et al. procedure clearly demonstrates the importance of allowing for structural breaks and provides strong support for long‐run PPP for all the countries, regardless of the base country, except in the case of the Philippines vis‐à‐vis Japan. The Hansen–Johansen parameter constancy test indicates stability for all the countries except the Philippines relative to the USA and Malaysia relative to Japan.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1111/j.1467-8381.2008.00277.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:asiaec:v:22:y:2008:i:3:p:241-266

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1351-3958

Access Statistics for this article

Asian Economic Journal is currently edited by Sung Yun-Wing and Shigeyuki Abe

More articles in Asian Economic Journal from East Asian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().