Does the Long-Run Ppp Hypothesis Hold for Africa? Evidence From Panel Co-Integration Study

Jun Nagayasu

No 1998/123, IMF Working Papers from International Monetary Fund

Abstract: This paper addresses whether parallel market exchange rates in Africa behave in the long run in a manner consistent with the purchasing power parity (PPP) hypothesis. A recent econometric method, the panel co-integration test, enables us to examine the long-run PPP hypothesis by pooling the time-series data of several countries. This approach is particularly useful when analyzing African countries, which often do not have long time series. Using pooled data for 16 African countries, the study concludes that the behavior of parallel market exchange rates in Africa is consistent with the long-run PPP hypothesis.

Keywords: WP; time series; Purchasing Power Parity; co-integration; exchange rate regime; PPP hypothesis; regimes in Africa; exchange rate-price relationship; exchange rate trend; Exchange rates; Exchange rate arrangements; Public investment and public-private partnerships (PPP); Exchange rate flexibility; Africa (search for similar items in EconPapers)
Pages: 22
Date: 1998-08-01
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Citations: View citations in EconPapers (29)

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Journal Article: Does the Long-Run PPP Hypothesis Hold for Africa? Evidence from a Panel Cointegration Study (2002)
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