Advanced search
Publication Cover
Applied Economics Letters Volume 17, 2010 - Issue 11
Submit an article Journal homepage
255
Views
9
CrossRef citations to date
0
Altmetric
Original Articles

Long-run purchasing power parity and asymmetric adjustment in BRICs

Hsu-Ling Chang Department of Accounting and Information, Lin Tung University, Taichung, Taiwan, ROC
,
Chi-Wei Su Department of Finance, Providence University, No. 200 Chung-Chi Road, Shalu, Taichung, Taiwan, 43301, ROCCorrespondence[email protected]
,
Meng-Nan Zhu Department of Finance, Xiamen University, Xiamen, China
&
Pei Liu Department of Finance, Xiamen University, Xiamen, China
Pages 1083-1087 | Published online: 05 Jun 2009

References

  • Balke , N. S. and Fomby , T. B. 1997 . Threshold cointegration . International Economic Review , 38 : 637 – 45 .
  • Boothe , P. and Glassman , D. 1987 . The statistical distribution of exchange rates . Journal of International Economics , 25 : 297 – 319 .
  • Caner , M. and Hansen , B. E. 2001 . Threshold autoregression with a near unit root . Econometrica , 69 : 1555 – 96 .
  • Chan , K. S. 1993 . Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model . Annals of Statistics , 21 : 520 – 33 .
  • Enders , W. 1988 . ARIMA and cointegration tests of purchasing power parity . Review of Economics and Statistics , 70 : 504 – 8 .
  • Enders , W. and Dibooglu , S. 2002 . Long-run purchasing power parity with asymmetric adjustment . Southern Economics Journal , 26 : 101 – 10 .
  • Enders , W. and Granger , C. W. J. 1998 . Unit root tests and asymmetric adjustment with an example using the term structure of interest rates . Journal of Business Economics and Statistics , 16 : 304 – 11 .
  • Enders , W. and Siklos , P. L. 2001 . Cointegration and threshold adjustment . Journal of Business Economics and Statistics , 19 : 166 – 76 .
  • Harvey , D. and Leybourne , S. 2007 . Testing for time series linearity . Econometrics Journal , 10 : 149 – 65 .
  • Hsieh , D. A. 1989 . Testing for non-linear dependence in daily foreign exchange rates . Journal of Business , 62 : 339 – 68 .
  • Kapetanios , G. , Shin , Y. and Snell , A. 2003 . Testing for a unit root in the non-linear STAR framework . Journal of Econometrics , 112 : 359 – 79 .
  • Lo , M. C. and Zivot , E. 2001 . Threshold cointegration and non-linear adjustment to the law of one price . Macroeconomic , 5 : 533 – 76 .
  • Madsen , J. B. and Yang , B. Z. 1998 . Asymmetric price adjustment in a menu-cost model . Economics and Statistics , 75 : 690 – 5 .
  • Patel , J. 1990 . Purchasing power parity as a long-run relation . Journal of Applied Economics , 5 : 367 – 79 .
  • Rhee , W. and Rich , R. W. 1995 . Inflation and the asymmetric effects of money on output fluctuations . Journal of Macroeconomics , 17 : 683 – 702 .
  • Rogoff , K. 1996 . The purchasing power parity puzzle . Journal of Economic Literature , 34 : 1093 – 100 .
  • Sarno , L. 2000 . Real exchange rate behavior in the Middle East: a re-examination . Economics Letters , 66 : 127 – 36 .
  • Taylor , M. P. 1988 . An empirical examination of long-run purchasing power parity using cointegration techniques . Applied Economics , 20 : 1369 – 81 .
  • Taylor , M. P. and Peel , D. A. 2000 . Non-linear adjustment, long-run equilibrium and exchange rate fundamentals . Journal of International Money and Finance , 19 : 33 – 53 .
  • Taylor , M. P. , Peel , D. A. and Sarno , L. 2001 . Nonlinear mean-reversion in real exchange rate: towards a solution to the purchasing power parity puzzles . International Economic Review , 42 : 1015 – 42 .
  • Wilson , D. and Purushortaman , R. 2003 . Dreaming with BRICs: the path to 2050 . Global Economics Papers , 99 : 1 – 24 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.