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Title: Testing the PPP hypothesis in the sub-Saharan countries
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Purchasing Power Parity (PPP);Fractional integration
Issue Date: 2012
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 12-27, Nov 2012
Abstract: This paper examines the PPP hypothesis in a number of Sub-Saharan countries by testing the order of integration in the log of their real exchange rate vis-à-vis the US dollar. I(d) techniques based on both asymptotic and finite sample results are used. The test results lead to the rejection of PPP in all cases: although orders of integration below 1 are found in fourteen countries, the unit root null cannot be rejected.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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