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Nonlinear adjustment effects in the purchasing power parity

Andrew Phiri ()

No EERI RP 2017/08, EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels

Abstract: This study examines nonlinear adjustment effects in the purchasing power parity (PPP) between South Africa and her main currency trading partners; namely, the US, the UK, the Euro area, China and Japan. We use monthly data of the nominal exchange rates and domestic price level data collected between the periods 1971-2014. The empirical study is conducted using nonlinear unit root and asymmetric cointegration analysis. Our empirical results show significant asymmetric PPP effects between South Africa and her main trading partners with causal effects flowing from exchange rates to price differentials.

Keywords: B22; C22; C32; E31; E58; F31. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-opm
Date: 2017-06-08
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