Are Real Exchange Rates of Papua New Guinea Mean-Reverting? Evidence from Panel Unit Root Tests
Download
Download
Download
Full text for this resource is not available from the Research Repository.
Export
Wickremasinghe, Guneratne B (2009) Are Real Exchange Rates of Papua New Guinea Mean-Reverting? Evidence from Panel Unit Root Tests. Applied Economic Letters, 16 (2). pp. 157-161. ISSN 1350-4851
Abstract
This article examines mean-reversion of real exchange rates of Papua New Guinea (PNG), which is the crucial condition for purchasing power parity (PPP) to hold. Taking a departure from the most previous studies, we used six panel unit root tests to investigate the empirical validity of the PPP hypothesis to PNG. Both the preliminary analysis performed by examining time series plots of real exchange rates and the results of the panel unit root tests indicate that the PPP does not hold for PNG. These results may be attributed to frictions, such as transportations costs, prevailing in international trade that lead PPP to follow a nonlinear stochastic process. This issue will be investigated in future research.
Dimensions Badge
Altmetric Badge
| Item type | Article |
| URI | https://vuir.vu.edu.au/id/eprint/4688 |
| DOI | 10.1080/13504850601018296 |
| Official URL | http://www.tandfonline.com/doi/abs/10.1080/1350485... |
| Subjects | Historical > Faculty/School/Research Centre/Department > School of Accounting Historical > FOR Classification > 1402 Applied Economics Historical > FOR Classification > 1502 Banking, Finance and Investment Historical > SEO Classification > 9001 Financial Services |
| Keywords | ResPubID18015, mean-reversion of real exchange rates, Papua New Guinea, purchasing power parity (PPP), empirical validity of PPP hypothesis, nonlinear stochastic process |
| Citations in Scopus | 3 - View on Scopus |
| Download/View statistics | View download statistics for this item |
CORE (COnnecting REpositories)