Asymmetric adjustment towards long-run PPP: Some new evidence for Asian economies

References

• Azali , Mohamed , Habibullah , Muzafar S. and Baharumshah , Ahmad Z. 2001 . Does PPP hold between Asian and Japanese economies? Evidence using panel unit root and panel cointegration . Japan and the World Economy , 13 ( 1 ) : 35 – 50 .
   Web of Science ®Google Scholar
• Bahmani-Oskooee , Mohsen . 1993 . Purchasing power parity based on effective exchange rate and cointegration: 25 LDCs experience with its absolute formulation . World Development , 21 ( 6 ) : 1023 – 1031 .
   Web of Science ®Google Scholar
• Balassa , Bela . 1964 . The purchasing power doctrine: a reappraisal . Journal of Political Economy , 72 ( 6 ) : 584 – 596 .
   Web of Science ®Google Scholar
• Basher , Syed A. and Mohsin , Mohammed . 2004 . PPP tests in cointegrated panels: evidence from Asian developing countries . Applied Economics Letters , 11 ( 3 ) : 163 – 166 .
   Web of Science ®Google Scholar
• Bhatti , Razzaque H. 2000 . On purchasing power parity between Pakistan and other Asian countries . Pakistan Economic and Social Review , 38 ( 2 ) : 1 – 15 .
   Google Scholar
• Chortareas , Georgios and Kapetanios , George . 2004 . The yen real exchange rate may be stationary after all: evidence from non-linear unit-root tests . Oxford Bulletin of Economics and Statistics , 66 ( 1 ) : 113 – 132 .
   Web of Science ®Google Scholar
• Cover , James . 1992 . Asymmetric effects of positive and negative money supply shocks . Quarterly Journal of Economics , 107 ( 4 ) : 1261 – 1282 .
   Web of Science ®Google Scholar
• Crownover , Collin , Pippenger , John and Steigerwald , Douglas C. 1996 . Testing for absolute purchasing power parity . Journal of International Money and Finance , 15 ( 5 ) : 783 – 796 .
   Google Scholar
• De Long , J. Bradford and Summers , Lawrence H. 1988 . How does macroeconomic policy affect output . Brookings Papers on Economic Activity , 1988 ( 2 ) : 433 – 480 .
   Google Scholar
• Doganlar , Murat . 1999 . Testing long-run validity of PPP for Asian countries . Applied Economics Letters , 6 ( 3 ) : 147 – 151 .
   Web of Science ®Google Scholar
• Dornbusch , Rudiger . 1980 . Exchange rate economics: where do we stand? . Brookings Papers on Economic Activity , 1980 ( 1 ) : 143 – 185 .
   Google Scholar
• Enders , Walter and Chumrusphonlert , Kamol . 2004 . Threshold cointegration and purchasing power parity in the Pacific nations . Applied Economics , 36 ( 9 ) : 889 – 896 .
   Web of Science ®Google Scholar
• Enders , Walter and Dibooglu , Selahattin . 2001 . Long-run purchasing power parity with asymmetric adjustment . Southern Economic Journal , 68 ( 2 ) : 433 – 445 .
   Web of Science ®Google Scholar
• Enders , Walter and Siklos , Pierre L. 2001 . Cointegration and threshold adjustment . Journal of Business and Economics Statistics , 19 ( 2 ) : 166 – 176 .
   Web of Science ®Google Scholar
• Frenkel , Jacob A. 1978 . Purchasing power parity: doctrinal perspective and evidence from the 1920s . Journal of International Economics , 8 ( 2 ) : 169 – 191 .
   Google Scholar
• Frenkel , Jacob A. 1981 . The collapse of purchasing power parities during the 1970s . European Economic Review , 16 ( 1 ) : 145 – 165 .
   Web of Science ®Google Scholar
• Hakkio , Craig S. 1984 . A re-examination of purchasing power parity: a multi-country and multi-period study . Journal of International Economics , 17 ( 3 ) : 265 – 277 .
   Google Scholar
• Hansen , Bruce . 1997 . Inference in TAR models . Studies in Non-linear Dynamics and Econometrics , 1 ( 2 ) : 119 – 131 .
   Google Scholar
• Hamilton , James D. 1989 . A new approach to the economic analysis of nonstationary time series and the business cycle . Econometrica , 57 ( 2 ) : 357 – 384 .
   Web of Science ®Google Scholar
• Holmes , Mark J. 2001 . New evidence on real exchange rate stationarity and PPP in less developed countries . Journal of Macroeconomics , 23 ( 4 ) : 601 – 615 .
   Web of Science ®Google Scholar
• Holmes , Mark J. 2004 . Is there non-linear real exchange rate adjustment for the Asian economies? . ASEAN Economic Bulletin , 21 ( 2 ) : 198 – 212 .
   Google Scholar
• Iannizzotto , Matteo . 2001 . Exchange rate misalignment and nonlinear convergence to purchasing power parity in European exchange rate mechanism . Applied Financial Economics , 11 ( 6 ) : 511 – 526 .
   Google Scholar
• Karras , Georgios . 1996 . Are the output effects of monetary policy asymmetric? Evidence from a sample of European countries . Oxford Bulletin of Economics and Statistics , 58 ( 2 ) : 267 – 278 .
   Web of Science ®Google Scholar
• Kuo , Shew-Huei and Enders , Walter . 2004 . The term structure of Japanese interest rates: the equilibrium spread with asymmetric dynamics . Journal of the Japanese and International Economies , 18 ( 1 ) : 84 – 98 .
   Google Scholar
• Liu , Peter C. 1992 . Purchasing power parity in Latin America: a cointegration analysis . Weltwirtschaftliches Archiv , 128 ( 3 ) : 662 – 680 .
   Google Scholar
• McMillan , David and Speight , Alan . 2001 . Non-linearities in the black market Zloty–Dollar exchange rate: some further evidence . Scottish Journal of Political Economy , 11 ( 2 ) : 209 – 220 .
   Google Scholar
• McNown , Robert F. and Wallace , Myles S. 1989 . National price levels, purchasing power parity, and cointegration: a test of four high inflation economies . Journal of International Money and Finance , 8 ( 4 ) December : 533 – 545 .
   Web of Science ®Google Scholar
• Mahdavi , Saeid and Zhou , Su . 1994 . Purchasing power parity in high inflation countries: further evidence . Journal of Macroeconomics , 16 ( 2 ) : 403 – 422 .
   Google Scholar
• Michael , Panos , Nobay , A. Robert and Peel , David . 1997 . Transactions costs and nonlinear adjustments in real exchange rates: an empirical investigation . Journal of Political Economy , 105 ( 4 ) : 862 – 879 .
   Web of Science ®Google Scholar
• Obstfeld , Maurice and Taylor , Alan . 1997 . “ Nonlinear aspects of goods market arbitrage and adjustment: Heckscher's commodity points revisited ” . CEPR . Discussion Paper No. 1672
   Google Scholar
• O'Connell , Paul . 1998 . The overvaluation of purchasing power parity . Journal of International Economics , 44 ( 1 ) : 1 – 19 .
   Web of Science ®Google Scholar
• Papell , David . 1997 . Searching for stationarity: purchasing power parity under the current float . Journal of International Economics , 43 ( 3 ) : 313 – 332 .
   Google Scholar
• Razzaghipour , Alipasha , Fleming , Grant and Heaney , Richard . 2001 . Deviations and mean reversion to purchasing power parity in the Asian currency crisis of 1997 . Applied Economics , 33 ( 9 ) : 1093 – 1100 .
   Web of Science ®Google Scholar
• Rhee , Wooheon . 1995 . Asymmetric effects of money on inflation: evidence from Korean data . International Economic Journal , 9 ( 4 ) : 31 – 43 .
   Google Scholar
• Sarantis , Nicholas . 1999 . Modeling non-linearities in real effective exchange rates . Journal of International Money and Finance , 18 ( 1 ) : 27 – 45 .
   Web of Science ®Google Scholar
• Sarno , Lucio . 2000 . Real exchange rate behavior in high inflation countries: empirical evidence from Turkey, 1980–97 . Applied Economics Letters , 7 ( 5 ) : 285 – 291 .
   Web of Science ®Google Scholar
• Sercu , Piet , Uppal , Raman and van Hulle , Cynthia . 1995 . The exchange rate in the presence of transactions costs . Journal of Finance , 50 ( 4 ) : 1309 – 1319 .
   Web of Science ®Google Scholar
• Serletis , Apostolos and Gogas , Periklis . 2000 . Purchasing power parity, non-linearity and chaos . Applied Financial Economics , 10 ( 6 ) : 615 – 622 .
   Google Scholar
• Tong , Howell . 1990 . Non-linear Time Series: A Dynamical System Approach , Oxford : Oxford University Press .
   Google Scholar
• Tsay , Ruey S. 1989 . Testing and modeling threshold autoregressive processes . Journal of the American Statistical Association , 84 ( 405 ) : 231 – 240 .
   Web of Science ®Google Scholar
• Wang , Ping . 2000 . Testing PPP for Asian economies during the recent floating period . Applied Economics Letters , 7 ( 8 ) : 545 – 548 .
   Web of Science ®Google Scholar