Purchasing Power Parity in Asian Economies: Further Evidence from Rank Tests for Cointegration
Posted: 27 Feb 2006
Date Written: February 20, 2006
The finding, from Breitung's (2001) nonparametric rank tests, that Asian exchange rates are nonlinearly cointegrated with their relevant fundamentals as suggested by Purchasing Power Parity (PPP) reinforces previous validations of PPP by the parametric testing procedures.
Keywords: Purchasing power parity, nonparametric test, rank test of cointegration
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