2018, Volume 71 - Issue 2
RSS feed citation: At RePEc
Publication date: 02 May 2018
SOME INTERNATIONAL FINANCIAL CONTRIBUTIONS: EMPIRICAL RESULTS AND POLICY IMPLICATIONSRead the article
ASSESSING PORTFOLIO MARKET RISK IN THE BRICS ECONOMIES: USE OF MULTIVARIATE GARCH MODELSRead the article
BANK COMPETITION, CONCENTRATION AND RISK-TAKING IN THE UAE BANKING INDUSTRYRead the article
Imad MOOSA, School of Economics, Finance and Marketing, RMIT University, Melbourne, Australia
Ming MA, Beijing Institute of Technology, Beijing, China
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.
C20, F31, F41
Purchasing Power Parity, Nonlinearity, Error Correction, Non-Nested Model Selection Tests
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