PURCHASING POWER PARITY IN MENA REVISITED: EMPIRICAL EVIDENCE IN THE PRESENCE OF ENDOGENOUSLY DETERMINED BREAK POINTS
EKONOMSKA ISTRAZIVANJA-ECONOMIC RESEARCH, cilt.24, sa.1, ss.1-12, 2011 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 24 Sayı: 1
- Basım Tarihi: 2011
- Doi Numarası: 10.1080/1331677x.2011.11517441
- Dergi Adı: EKONOMSKA ISTRAZIVANJA-ECONOMIC RESEARCH
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.1-12
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Erciyes Üniversitesi Adresli: Evet
Özet
This paper re-examines the Purchasing Power Parity hypothesis in which the endogenously determined break points are incorporated in 13 major MENA countries by using official and black market exchange rates data over 1970-1998. We utilize Lagrange Multiplier unit root test that endogenously determines structural breaks in level. We find evidence of PPP for eight of the thirteen countries at the 10% level or better. We also construct the half lives to investigate the persistence of deviations from PPP. The point estimates of the half lives for both OREX and BMREX in the seven countries are lower than range of the consensus of 3-5 years in the literature.(1)