Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/179409
Authors: 
Phiri, Andrew
Year of Publication: 
2017
Series/Report no.: 
EERI Research Paper Series 08/2017
Abstract: 
This study examines nonlinear adjustment effects in the purchasing power parity (PPP) between South Africa and her main currency trading partners; namely, the US, the UK, the Euro area, China and Japan. We use monthly data of the nominal exchange rates and domestic price level data collected between the periods 1971-2014. The empirical study is conducted using nonlinear unit root and asymmetric cointegration analysis. Our empirical results show significant asymmetric PPP effects between South Africa and her main trading partners with causal effects flowing from exchange rates to price differentials.
Subjects: 
Purchasing power parity (PPP)
Threshold co-integration
Momentum threshold autoregressive (MTAR) model
Threshold Error correction (TEC) model
South Africa
JEL: 
B22
C22
C32
E31
E58
F31
Document Type: 
Working Paper

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