Cointegration, dynamic structure, and the validity of purchasing power parity in African countries

@inproceedings{Arize2010CointegrationDS,
  title={Cointegration, dynamic structure, and the validity of purchasing power parity in African countries},
  author={Augustine C. Arize and John Malindretos and Kiseok Nam},
  year={2010}
}
The purpose of this paper is to test the validity of the purchasing power parity (PPP) in Africa in the context of a multivariate error-correction model. This approach allows for the consideration of long-run elasticities as well as the dynamics of the short-run adjustment of exchange rates to changes in domestic and foreign prices. Monthly data for fourteen African countries are used, and the period examined is 1973:4 through 2007:7 (i.e., 412 observations). Results from long-run cointegration… CONTINUE READING

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