Long-run validity of Purchasing Power Parity and cointegration analysis for Central Asian countries


Doganlar M.

APPLIED ECONOMICS LETTERS, cilt.13, ss.457-461, 2006 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 13 Konu: 7
  • Basım Tarihi: 2006
  • Doi Numarası: 10.1080/13504850500397478
  • Dergi Adı: APPLIED ECONOMICS LETTERS
  • Sayfa Sayısı: ss.457-461

Özet

This study investigates the long-run validity of Purchasing Power Parity for three transition Asian countries, namely Azerbaijan, Kazakhstan and Kyrgyzstan. The results show that the nominal exchange rates, domestic and foreign price series are not cointegrated when four different types of cointegration techniques were applied. Time series properties of the real exchange rates for these countries also show that they are non-stationary. All these results confirm that validity of the Purchasing Power Parity in the long-run can be rejected for these countries.