Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries
This study reexamines the validity of long-run purchasing power parity (PPP) hypothesis using a battery of panel unit root tests for 11 developing countries in Africa over the period 1980-2007. Based on the conventional panel unit root tests, we found evidence that the monthly real exchange rates in...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2009
|
| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/1366/ http://ir.unimas.my/id/eprint/1366/1/Assessing%2Bthe%2Bmean%2Breversion%2Bbehaviour%2Bof%2Bfiscal%2Bpolicy%2B-%2Bthe%2Bperspective%2Bof%2BAsian%2Bcountries.pdf |
| _version_ | 1848834747909799936 |
|---|---|
| author | Evan, Lau Ahmad Zubaidi, Baharumshah |
| author_facet | Evan, Lau Ahmad Zubaidi, Baharumshah |
| author_sort | Evan, Lau |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study reexamines the validity of long-run purchasing power parity (PPP) hypothesis using a battery of panel unit root tests for 11 developing countries in Africa over the period 1980-2007. Based on the conventional panel unit root tests, we found evidence that the monthly real exchange rates in these countries were mean reverting. By contrast, the series-specific unit root test proposed by Breuer et al. (SURADF) reveals that only six of the 11 RERs series were stationary using the US dollar as reference currency. Additionally, our results reveal that there is stronger evidence of the parity condition with the Rand-based rates than in the other currency-based rates like the US dollar or Euro. We conclude that PPP holds in some, but not all, of the African countries according to the SURADF tests. |
| first_indexed | 2025-11-15T05:56:54Z |
| format | Article |
| id | unimas-1366 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T05:56:54Z |
| publishDate | 2009 |
| publisher | Taylor & Francis Group |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-13662023-06-14T03:22:47Z http://ir.unimas.my/id/eprint/1366/ Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries Evan, Lau Ahmad Zubaidi, Baharumshah HG Finance This study reexamines the validity of long-run purchasing power parity (PPP) hypothesis using a battery of panel unit root tests for 11 developing countries in Africa over the period 1980-2007. Based on the conventional panel unit root tests, we found evidence that the monthly real exchange rates in these countries were mean reverting. By contrast, the series-specific unit root test proposed by Breuer et al. (SURADF) reveals that only six of the 11 RERs series were stationary using the US dollar as reference currency. Additionally, our results reveal that there is stronger evidence of the parity condition with the Rand-based rates than in the other currency-based rates like the US dollar or Euro. We conclude that PPP holds in some, but not all, of the African countries according to the SURADF tests. Taylor & Francis Group 2009 Article NonPeerReviewed text en http://ir.unimas.my/id/eprint/1366/1/Assessing%2Bthe%2Bmean%2Breversion%2Bbehaviour%2Bof%2Bfiscal%2Bpolicy%2B-%2Bthe%2Bperspective%2Bof%2BAsian%2Bcountries.pdf Evan, Lau and Ahmad Zubaidi, Baharumshah (2009) Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries. Applied Economics, 41 (15). pp. 1939-1949. ISSN 0003–6846 https://www.tandfonline.com/doi/full/10.1080/00036840601131755 DOI: 10.1080/00036840601131755 |
| spellingShingle | HG Finance Evan, Lau Ahmad Zubaidi, Baharumshah Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries |
| title | Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries |
| title_full | Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries |
| title_fullStr | Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries |
| title_full_unstemmed | Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries |
| title_short | Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries |
| title_sort | assessing the mean reversion behaviour of fiscal policy : the perspective of asian countries |
| topic | HG Finance |
| url | http://ir.unimas.my/id/eprint/1366/ http://ir.unimas.my/id/eprint/1366/ http://ir.unimas.my/id/eprint/1366/ http://ir.unimas.my/id/eprint/1366/1/Assessing%2Bthe%2Bmean%2Breversion%2Bbehaviour%2Bof%2Bfiscal%2Bpolicy%2B-%2Bthe%2Bperspective%2Bof%2BAsian%2Bcountries.pdf |