Testing Purchasing Power Parity: results from a new foreign exchange market
Journal article
Authors | Apergis, Nicholas |
---|---|
Abstract | This study examines whether the Purchasing Power Parity hypothesis holds in the foreign exchange market of Armenia, following the initiation of an independent foreign exchange market, after the country seceded from the Soviet Union and the rouble zone in 1993. OLS and highly efficient unit root tests provide results suggesting that PPP fails to hold both in the short-run and in the long-run, respectively. In addition, variance decompositions justify - in terms of the Balassa-Samuelson effect - why in the long-run the PPP is rejected by identifying real shocks as the main determinant of the Dram real exchange rate. |
Keywords | Purchasing Power Parity; foreign exchange market |
Year | 2010 |
Journal | Applied Economics Letters |
Publisher | Taylor & Francis |
Web address (URL) | http://hdl.handle.net/10545/623603 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623603 | |
Publication dates | 06 Oct 2010 |
Publication process dates | |
Deposited | 14 Mar 2019, 17:42 |
Contributors | University of Ioannina |
File | File Access Level Open |
File | File Access Level Open |
https://repository.derby.ac.uk/item/944zq/testing-purchasing-power-parity-results-from-a-new-foreign-exchange-market
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