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

Doganlar M.

APPLIED ECONOMICS LETTERS, vol.13, no.7, pp.457-461, 2006 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 13 Issue: 7
  • Publication Date: 2006
  • Doi Number: 10.1080/13504850500397478
  • Journal Name: APPLIED ECONOMICS LETTERS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.457-461
  • Çukurova University Affiliated: Yes

Abstract

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.