Nonlinear adjustment effects in the purchasing power parity

Arbeitspapier

This study examines nonlinear adjustment effects in the purchasing power parity (PPP) between South Africa and her main currency trading partners; namely, the US, the UK, the Euro area, China and Japan. We use monthly data of the nominal exchange rates and domestic price level data collected between the periods 1971-2014. The empirical study is conducted using nonlinear unit root and asymmetric cointegration analysis. Our empirical results show significant asymmetric PPP effects between South Africa and her main trading partners with causal effects flowing from exchange rates to price differentials.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: EERI Research Paper Series ; No. 08/2017

Classification and Topics

• Classification: Wirtschaft ; History of Economic Thought: Macroeconomics ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Price Level; Inflation; Deflation ; Central Banks and Their Policies ; Foreign Exchange
• Subject: Purchasing power parity (PPP) ; Threshold co-integration ; Momentum threshold autoregressive (MTAR) model ; Threshold Error correction (TEC) model ; South Africa

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Phiri, Andrew
• Event: Veröffentlichung
• (who): Economics and Econometrics Research Institute (EERI)
• (where): Brussels
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/179409
• Last update: 10.03.2025, 11:41 AM CET