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

Tsangyao Chang and Wen-Chi Liu

International Journal of Finance & Economics, 2010, vol. 15, issue 3, 263-274

Abstract: 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.

Date: 2010
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DOI: 10.1002/ijfe.386

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