Contents of the volume

2018, Volume 71 - Issue 2

ISSN: 2499-8265
RSS feed citation: At RePEc
Publication date: 02 May 2018

SOME INTERNATIONAL FINANCIAL CONTRIBUTIONS: EMPIRICAL RESULTS AND POLICY IMPLICATIONS

Amedeo Amato

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ASSESSING PORTFOLIO MARKET RISK IN THE BRICS ECONOMIES: USE OF MULTIVARIATE GARCH MODELS

Lumengo Bonga-Bonga, Lebogang NLEYA

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BANK COMPETITION, CONCENTRATION AND RISK-TAKING IN THE UAE BANKING INDUSTRY

Aktham Maghyereh

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LINEAR AND NONLINEAR ATTRACTORS IN PURCHASING POWER PARITY

Imad Moosa, Ming MA

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DIRECT AND INDIRECT FORECASTING OF CROSS EXCHANGE RATES

Imad Moosa, John VAZ

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DOES THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE HOLD IN KOREA AFTER THE ASIAN FINANCIAL CRISIS? SOME EMPIRICAL EVIDENCE (1999-2017)

Marco Tronzano

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Genoa Chamber of Commerce
Economia Internazionale / International Economics

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Corresponding author

Imad MOOSA, School of Economics, Finance and Marketing, RMIT University, Melbourne, Australia

Co-authors

Ming MA, Beijing Institute of Technology, Beijing, China

Linear and Nonlinear Attractors in Purchasing Power Parity

Pages

149-172

Abstract

In an examination of the PPP hypothesis over the period 1973-2014 strong evidence is found for nonlinearity, not only in the adjustment process towards equilibrium but also in the long-run relation itself. Because of the use of a data sample with a long span we also found evidence for PPP, even if it is represented by a model with linear adjustment to a linear attractor, although adjustment towards long-run equilibrium is faster when a nonlinear attractor is used. Perhaps a controversial finding is that it may be always possible to find a nonlinear attractor in the form of a high order polynomial that produces stationary residuals, implying the validity of PPP.

JEL classification

C20, F31, F41

Keywords

Purchasing Power Parity, Nonlinearity, Error Correction, Non-Nested Model Selection Tests

Index

  1. Introduction
  2. Literature review
  3. Linear and nonlinear attractors
  4. Non-nested model selection tests
  5. Conclusion

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