Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries

Venus Liew, Ricky Chia () and Tai-Hu Ling

MPRA Paper from University Library of Munich, Germany

Abstract: This study finds that Purchasing Power Parity holds in the long-run for Azerbaijan, Kazakhstan and Kyrgyzstan, based on Breitung’s (2001) rank tests for cointegration. Results from further analysis indicates that nominal exchange rates and relative prices are nonlinearly interrelated. Trade barriers, transportation costs and government intervention in the pricing system in these countries may have resulted in the establishment of the above-mentioned nonlinear relationship.

Keywords: Purchasing power parity; Cointegration; Nonlinear; Rank tests; Central Asia. (search for similar items in EconPapers)
JEL-codes: C14 F31 F41 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15794

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