Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries |
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| Authors: | Tsangyao Chang Chia-Hao Lee Pei-I Chou Dai-Piao Tang |
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| Institution: | aDepartment of Finance, Feng Chia University, Taichung, Taiwan;bDepartment of Finance, National Chung Hsing University, Taichung, Taiwan;cGraduate Institute of National Development, National Taiwan University, Taipei, Taiwan |
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| Abstract: | In this study, we applied a threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment on long-run purchasing power parity (PPP) in G-7 countries between January 1994 and April 2010. Although there was strong evidence of long-run PPP for these G-7 countries, with the exception of Canada, the adjustment mechanism was asymmetric. These results have important policy implications for G-7 countries. |
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| Keywords: | JEL classification: C22 F31 |
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