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

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.

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Year of publication:	2005
Authors:	Liew, Venus Khim-Sen ; Lee, Hock-Ann ; Lim, Kian-Ping
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Purchasing power parity \| Cointegration \| Rank tests \| Nonlinearity

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Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

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