| تعداد نشریات | 24 |
| تعداد شمارهها | 924 |
| تعداد مقالات | 8,298 |
| تعداد مشاهده مقاله | 16,567,390 |
| تعداد دریافت فایل اصل مقاله | 13,974,660 |
The Theory of Purchasing Power Parity in MENA Countries: The Quantile Unit Root Test | ||
| Iranian Journal of Economic Studies | ||
| مقاله 3، دوره 8، شماره 2، اسفند 2019، صفحه 253-263 اصل مقاله (326.78 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2020.33571.1570 | ||
| نویسندگان | ||
| Seyyed Ali Paytakhti Oskooe* 1؛ Ehsan Shafei2 | ||
| 1Department of Economics, Tabriz Branch, Islamic Azad University, Tabriz, Iran | ||
| 2, Department of Economics, Tabriz Branch, Islamic Azad University, Tabriz, Iran | ||
| چکیده | ||
| This paper examines the theory of purchasing power parity about the exchange rate of the dollar with local currencies in MENA countries - the Middle East and North Africa - using a unit root test established on the quantile auto regressive model during the period 1980-2017. This test, like other unit root tests, uses auto regressive model, unlike other methods that emphasize the mean of the dependent variable, this test employees different variables or quantiles for estimating the regression. If the theory of purchasing power parity is in place, the real exchange rate will be stationary. According to the results of quantile unit root test, the real exchange rate for dollar in all countries except the four countries of Morocco, Bahrain, Saudi Arabia and Jordan has a unit root and is not stationary. Therefore, except for the four countries mentioned, the theory of purchasing power parity is not true in other studied countries. This result could be due to the difference in macroeconomic conditions and less flexibility of the foreign exchange system in these countries compared to developed countries. | ||
| کلیدواژهها | ||
| Purchasing Power Parity؛ MENA Countries؛ Quantile Unit Root Test | ||
| مراجع | ||
|
Benbouziane, M and A. Benamar, 2006. The Purchasing Power Parity in The Maghreb Countries: A Nonlinear Perspective, http://mpra.ub.uni-muenchen.de/13853/.
Bahmani-Oskooee, M. 1998. Do exchange rates follow a random walk process in Middle Eastern countries? Economics Letters, 58, 339–344.
Bahmani-Oskooee, M and M. Kandil, 2007. Testing the PPP in the non-linear STAR Framework: Evidence from MENA Countries, Scientific Journal of Administrative Development Vol.5.
Bahmani-Oskooee, M., Chang, T., Chen, T. H., and H. W. Tzeng, 2016. Quantile unit root test and the PPP in Africa. Applied Economics, 49(19), 1913-1921
Bahmani-Oskooee, M., and O. Ranjbar, 2016. Quantile unit root test and PPP: evidence from 23 OECD countries. Applied Economics, 48(31), 2899-2911.
Drine, I and C. Rault, 2008. Purchasing Power Parity for Developing and Developed Countries. What can we Learn from Non-Stationary Panel Data Models?, CESifo Working Paper No. 2255.
Kalyoncu, H., Kula,F and A. Aslan, 2010. The Validity of Purchasing Power Parity Hypothesis in Middle East, Romanian Journal of Economic Forecasting, 4.
Kalyoncu, H., Aslan, A. and F. Kula, 2011. Purchasing Power Parity In Mena Revisited: Empirical Evidence in the Presence of Endogenously Determined Break Points, Economic Research-Ekonomska Istraživanja, 24:1, 1-12.
Koenker, R., and Z. Xiao, 2004. Unit root quantile autoregression inference. Journal of the American Statistical Association, 99(467), 775-787.
Koenker, R., and Z. Xiao, 2006. Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990.
Narayan K. and B.C. Prasad, 2005. The validity of purchasing power parity hypothesis for eleven middle eastern countries, Review of Middle East Economics and Finance 3, 135–149. | ||
|
آمار تعداد مشاهده مقاله: 742 تعداد دریافت فایل اصل مقاله: 858 |
||