Nonlinear adjustment to purchasing power parity for ASEAN countries

Tsangyao Chang, Chia-Hao Lee () and Wen-Chi Liu

Japan and the World Economy, 2012, vol. 24, issue 4, 325-331

Abstract: This study applies a simple and powerful nonlinear unit root test, proposed by Sollis (2009), to test the validity of long-run purchasing power parity (PPP) in a sample of ASEAN countries. The empirical results indicate that PPP only holds for three of these ASEAN countries studied, and the adjustment toward PPP is found to be nonlinear and asymmetric.

Keywords: Purchasing power parity; ASEAN countries; Nonlinear unit root test; Asymmetric; AESTAR test (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:24:y:2012:i:4:p:325-331

DOI: 10.1016/j.japwor.2012.05.001

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