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| Tsangyao Chang, Chia-hao Lee and Guochen Pan |
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| ''Purchasing Power Parity in African Countries: Further Evidence based on the ADL Test for Threshold Cointegration'' |
| ( 2012, Vol. 32 No.1 ) |
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| In this study, we applied a newly-developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010) to test the validity of long-run purchasing power parity (PPP) for a sample of 18 African countries from January 1985 to September 2008. Empirical results indicate that PPP holds true for half of these countries studied, the long-run PPP adjustment process toward its equilibrium is asymmetric. Our results have important policy implications for these African countries under study. |
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| Keywords: Purchasing Power Parity, African Countries, ADL Test, Threshold Cointegration, Asymmetric Adjustment |
JEL: F3 - International Finance: General
C4 - Econometric and Statistical Methods: Special Topics |
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| Manuscript Received : Jun 13 2011 | | Manuscript Accepted : Jan 20 2012 |
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