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This study applies stationary test with a Fourier function proposed by Enders and Lee (2004, 2009) to test the validity of long run Purchasing Power Parity (PPP) to assess the nonstationary properties of the real exchange rate for 20 African countries. We find that our approximation has higher power to detect U shaped breaks and smooth breaks than linear method if the true data generating process of exchange rate is in fact a stationary nonlinear process. We examine the validity of PPP from the nonlinear point of view and provide robust evidence clearly indicate that PPP holds true for almost African countries. Our findings point out their exchange rate adjustment is mean reversion towards PPP equilibrium values in a nonlinear way. [ABSTRACT FROM PUBLISHER]

This study applies stationary test with a Fourier function proposed by Enders and Lee (2004, 2009) to test the validity of long-run Purchasing Power Parity (PPP) to assess the nonstationary properties of the Real Exchange Rates (RERs) for seven major countries of the Organization of the Petroleum Exporting Countries (OPEC). We find that our approximation has higher power to detect U-shaped breaks and smooth breaks than linear method if the true Data-Generating Process (DGP) of exchange rate is in fact a stationary nonlinear process. We examine the validity of PPP from the nonlinear point of view and provide robust evidence that clearly indicates that PPP holds true for six countries, namely Algeria, Angola, Indonesia, Kuwait, Nigeria and Saudi Arabia. Our findings point out their exchange rate adjustment mean-reverts towards PPP equilibrium values in a nonlinear way. [ABSTRACT FROM AUTHOR]

This study applies nonlinear threshold unit-root test to assess the nonstationarity properties of the Real Exchange Rate (RER) for seven Central and Eastern European Countries (CEEC). We find that nonlinear threshold unit-root test has higher power than linear method suggested by Caner and Hansen (2001) if the true data-generating process of exchange rate is in fact a stationary nonlinear process. We examine the validity of Purchasing Power Parity (PPP) from the nonlinear point of view and provide robust evidence that clearly indicates that PPP holds true for three countries, namely Slovakia, Romania and Bulgaria. Our findings point out their exchange rate adjustment mean-reverts towards PPP equilibrium values in a nonlinear way. [ABSTRACT FROM AUTHOR]

This study applies nonlinear threshold unit root test to assess the nonstationary properties of the Real Exchange Rate (RER) for seven major Organization of the Petroleum Exporting Countries (OPEC). We found that nonlinear threshold unit root test has higher power than linear method suggested by Caner and Hansen (2001) if the true data-generating process of exchange rate is in fact a stationary nonlinear process. We examined the validity of Purchasing Power Parity (PPP) from the nonlinear point of view and provided robust evidence clearly indicating that PPP holds true for three countries, namely Angola, Indonesia and Iran. Our findings point out that their exchange rate adjustment is mean reversion towards PPP equilibrium values in a nonlinear way. [ABSTRACT FROM AUTHOR]

This study applies nonlinear panel unit root test to assess the nonstationary properties of the real exchange rate for seven Central and Eastern European countries (CEEC). We find that nonlinear panel unit root test has higher power than linear method suggested by Breuer et al. (2001) if the true data-generating process of exchange rate is in fact a stationary nonlinear process. We re-examine the validity of Purchasing Power Parity (PPP) from the panel nonlinear point of view and provide robust evidence that clearly indicates that PPP holds true for five countries, namely, Bulgaria, Hungary, Poland, Romania and Russia. Our findings point out their exchange rate adjustment is mean reversion towards PPP equilibrium values in a nonlinear way. [ABSTRACT FROM AUTHOR]

The primary aim of this study is an attempt to determine whether the Purchasing Power Parity (PPP) hypothesis holds for those countries that have collectively come to be known as 'BRICs', namely, Brazil, Russia, India and China. We use the momentum threshold cointegration tests (advanced by Enders and Siklos, 2001) to investigate whether any asymmetric adjustment is discernible for BRICs, and show that whilst the Engle-Granger test (which assumes only symmetric adjustment) fails to reveal any cointegrational relationship for BRICs, the threshold cointegration test (with asymmetric adjustment) provides clear evidence of long-run PPP for BRICs, with the notable exception of China. We conclude that asymmetric adjustment of nominal exchange rates plays an important role in eliminating deviations from long-run PPP. [ABSTRACT FROM AUTHOR]