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Testing the J-curve phenomenon in Nigeria : an ARDL bounds testing approach

Bawa, Sani; Abdul, Rabia Muhammad; Sani, Zainab; Dauda, … - In: West African journal of monetary and economic integration 18 (2018) 1, pp. 47-71

. The paper employed both linear and non-linear ARDL bounds testing approach to cointegration to test for the J …

Persistent link: https://www.econbiz.de/10013348398

Purchasing power parity and the European single currency : some new evidence

Christidou, Maria; Panagiōtidēs, Theodōros - 2010

The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 EU countries, vis a vis the US dollar, before and after the advent of the euro. Standard as well as nonlinear unit root tests are employed on the time series dimension. Unit...

Persistent link: https://www.econbiz.de/10008669943

Investigating Purchasing Power Parity in Central and Eastern European Countries : A Panel Data Approach

Borsic, Darja - 2013

The goal of this paper is to investigate the validity of PPP for a heterogeneous group of 12 transition countries with respect to dollar and euro. The analysis relies on monthly data frequency covering the period of 1994-2008. The first generation of panel unit root tests is based on the...

Persistent link: https://www.econbiz.de/10013085251

A Reappraisal of the Evidence on PPP : A Systematic Investigation into Ma Roots in Panel Unit Root Tests and Their Implications

Fischer, Christoph A. - 2016

Persistent link: https://www.econbiz.de/10012991177

Timely measurement of real effective exchange rates

Darvas, Zsolt M. - 2021

We demonstrate that short-run real exchange effective rate changes are dominated by nominal effective exchange rate changes, while inflation rates are sticky and contribute little to short-run real exchange rate changes. These observations allow a rather accurate real-time approximation of the...

Persistent link: https://www.econbiz.de/10013184685

Analysis of the Stationarity of East Asian Currencies Using Unit Root Test and Cointegration Test

Wang, Zhiqian - 2013

This paper investigates the stationarity of East Asian currencies by using a unit root test and cointegration test. We … over the short term by carrying out a unit root test and assess whether cointegration relationships exist over the long … term by carrying out a cointegration test. Based on an empirical analysis of 502 combinations, we find that only one …

Persistent link: https://www.econbiz.de/10013077639

On Cross-Country Differences in the Persistence of Real Exchange Rates

Cheung, Yin-Wong; Lai, Kon S. - 2021

Previous findings of long-run purchasing power parity come mainly from data for industrial countries, raising the issue of whether the results suffer sample-selection bias and exaggerate the general relevance of parity reversion. This study uncovers substantial cross-country heterogeneity in the...

Persistent link: https://www.econbiz.de/10013320981

The purchasing power parity puzzle : an update

Razzak, Weshah A. - 2018

We show that the Purchasing Power Parity (PPP) puzzle, whereby the half-life of the shock to the real exchange rate is long and unjustifiable by monetary and financial shocks, is a result of specification and estimation issues. We provide an alternative specification for PPP and show that the...

Persistent link: https://www.econbiz.de/10011870137

New Multi-Country Evidence on Purchasing Power Parity : Multivariate Unit Root Test Results

Groen, Jan J. - 2000

In this paper a likelihood-based multivariate unit root testing framework is utilized to test whether the real exchange rates of G10 countries are non-stationary. The framework uses a likelihood ratio statistic which combines the information across all involved countries while retaining...

Persistent link: https://www.econbiz.de/10014153725

Fourier Nonlinear Quantile Unit Root Test of Purchasing Power Parity in Cryptocurrencies

Goswami, Gour Gobinda; Saha, Tapas - 2022

The primary purpose of this article is to conduct the Fourier Nonlinear Unit Root Test to check Purchasing Power Parity (PPP) for seven cryptocurrencies traded in seventeen countries from 2010 to 2021. The unit root test provides moderate support to the PPP hypothesis when we use each...

Persistent link: https://www.econbiz.de/10014236197