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Title: |
Asymmetric Adjustment Towards Long-Run PPP: Some New Evidence for Asian Economies |
| Author: |
Holmes, Mark; Wang, Ping |
| Author
Affiliation: |
Department of Economics, Waikato University, Hamilton, New Zealand; Birmingham Business School, University of Birmingham, UK |
| Source: |
International Economic Journal, June 2006, v. 20, no. 2, pp. 161-178 |
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Publication Date: |
June 2006 |
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Abstract: |
This paper investigates relative purchasing power parity for a sample of nine Asain economies during the post-Bretton Woods floating exchange rate era. While most existing studies of purchasing power parity employ linear tests of non-stationarity or non=cointegration, we employ a new cointegration test, recently advocated by Enders & Siklos and Enders & Dibooglu, that tests for an asymmetric adjustment towards parity with respect to positive and negative real exchange rate deviations from parity. In most cases, we find that long-run purchasing power parity is most likely to hold with respect to positive deviations only. |
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