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The validity of purchasing power parity hypothesis for eleven middle eastern countries

Narayan, P.K. and Prasad, Biman C. (2005) The validity of purchasing power parity hypothesis for eleven middle eastern countries. Review of Middle East Economics and Finance, 3 (2). pp. 135-149. ISSN 1475-3685

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Abstract

There is a large literature that examines purchasing power parity (PPP). The growth in this literature is mainly due to the absence of a consensus view on whether or not PPP holds. This paper considers PPP for 11 Middle Eastern countries using a number of tests: the one-break test unit root, the two-break unit root test, and the panel Lagrange multiplier (LM) unit root test with structural breaks. The main finding from univariate tests is that there is evidence for PPP in only seven countries (Lebanon, Saudi Arabia, Egypt, Iran, Syria, Tunisia and Sudan). However, when the panel LM test is applied with two structural breaks, strong evidence is found in favor of PPP for the Middle Eastern countries.

Item Type: Journal Article
Subjects: H Social Sciences > HF Commerce
Divisions: Faculty of Business and Economics (FBE) > School of Economics
Depositing User: Ms Mereoni Camailakeba
Date Deposited: 21 Apr 2005 17:47
Last Modified: 16 Jul 2012 17:01
URI: http://repository.usp.ac.fj/id/eprint/3427
UNSPECIFIED

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