Purchasing power parity and efficiency of black market exchange rate in African countries
This paper investigates the long-run dynamics of black and official exchange rates for ten African countries. Our major findings are, first, that parity holds more favorably when the black market rate is used to validate the purchasing power parity hypothesis. The evidence supports the notion that t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis
2011
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| Online Access: | http://psasir.upm.edu.my/id/eprint/22844/ http://psasir.upm.edu.my/id/eprint/22844/1/Purchasing%20power%20parity%20and%20efficiency%20of%20black%20market%20exchange%20rate%20in%20African%20countries.pdf |
| _version_ | 1848844595999277056 |
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| author | Baharumshah, Ahmad Zubaidi Mohd, Siti Hamizah Soon, Siew Voon |
| author_facet | Baharumshah, Ahmad Zubaidi Mohd, Siti Hamizah Soon, Siew Voon |
| author_sort | Baharumshah, Ahmad Zubaidi |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This paper investigates the long-run dynamics of black and official exchange rates for ten African countries. Our major findings are, first, that parity holds more favorably when the black market rate is used to validate the purchasing power parity hypothesis. The evidence supports the notion that the speed of adjustment is much faster in the black market than in the official market. Second, the two rates are connected in the long run, with the official rate adjusting toward the black market rate for the majority of cases. Finally, we find the long-run informationally efficient hypothesis is supported in the majority of African countries. |
| first_indexed | 2025-11-15T08:33:26Z |
| format | Article |
| id | upm-22844 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:33:26Z |
| publishDate | 2011 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-228442015-08-26T04:52:44Z http://psasir.upm.edu.my/id/eprint/22844/ Purchasing power parity and efficiency of black market exchange rate in African countries Baharumshah, Ahmad Zubaidi Mohd, Siti Hamizah Soon, Siew Voon This paper investigates the long-run dynamics of black and official exchange rates for ten African countries. Our major findings are, first, that parity holds more favorably when the black market rate is used to validate the purchasing power parity hypothesis. The evidence supports the notion that the speed of adjustment is much faster in the black market than in the official market. Second, the two rates are connected in the long run, with the official rate adjusting toward the black market rate for the majority of cases. Finally, we find the long-run informationally efficient hypothesis is supported in the majority of African countries. Taylor & Francis 2011-10 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/22844/1/Purchasing%20power%20parity%20and%20efficiency%20of%20black%20market%20exchange%20rate%20in%20African%20countries.pdf Baharumshah, Ahmad Zubaidi and Mohd, Siti Hamizah and Soon, Siew Voon (2011) Purchasing power parity and efficiency of black market exchange rate in African countries. Emerging Markets Finance & Trade, 47 (5). pp. 52-70. ISSN 1540-496X; ESSN: 1558-0938 http://www.tandfonline.com/doi/abs/10.2753/REE1540-496X470503 10.2753/REE1540-496X470503 |
| spellingShingle | Baharumshah, Ahmad Zubaidi Mohd, Siti Hamizah Soon, Siew Voon Purchasing power parity and efficiency of black market exchange rate in African countries |
| title | Purchasing power parity and efficiency of black market exchange rate in African countries |
| title_full | Purchasing power parity and efficiency of black market exchange rate in African countries |
| title_fullStr | Purchasing power parity and efficiency of black market exchange rate in African countries |
| title_full_unstemmed | Purchasing power parity and efficiency of black market exchange rate in African countries |
| title_short | Purchasing power parity and efficiency of black market exchange rate in African countries |
| title_sort | purchasing power parity and efficiency of black market exchange rate in african countries |
| url | http://psasir.upm.edu.my/id/eprint/22844/ http://psasir.upm.edu.my/id/eprint/22844/ http://psasir.upm.edu.my/id/eprint/22844/ http://psasir.upm.edu.my/id/eprint/22844/1/Purchasing%20power%20parity%20and%20efficiency%20of%20black%20market%20exchange%20rate%20in%20African%20countries.pdf |