Non-linear quantile unit root test and PPP: more evidence from Africa |
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| Authors: | Mohsen Bahmani-Oskooee Tsangyao Chang Zahra Elmi Abera Gelan Omid Ranjbar |
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| Institution: | 1. The Center for Research on International Economics and Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, WI, USA;2. Department of Finance, Feng Chia University, Taichung, Taiwan;3. University of Mazandaran, Babolsar, Iran;4. Department of Africology, University of Wisconsin-Milwaukee, Milwaukee, WI, USA;5. Department of Finance, Allameh Tabataba’i University, Tehran, Iran;6. Trade Promotion Organization of Iran, Tehran, Iran |
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| Abstract: | It is now a common practice to establish stationarity of the real exchange rate as a sign of purchasing power parity (PPP) hypothesis. In this article, we consider the real effective exchange rates of 29 African countries. When we apply conventional linear unit root tests, we find support for the PPP in eight countries. However, when we shift to the newly introduced non-linear quantile unit root test, support for the PPP increases to 15 countries. |
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| Keywords: | Non-linear quantile unit root PPP 29 African nations |
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