Purchasing power parity in Asian economies: further evidence from rank tests for cointegration

Venus Liew, Hock-Ann Lee and Kian-Ping Lim

MPRA Paper from University Library of Munich, Germany

Abstract: The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and aggregate price levels based on Breitung’s (2001) nonparametric rank tests reinforces previous validations of Purchasing Power Parity by the parametric testing procedures. Hence, in the long-run Asian exchange rate are in equilibrium with the relevant fundamentals as suggested by the purchasing power parity hypothesis.

Keywords: Purchasing power parity; Cointegration; Rank tests; Nonlinearity (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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