Journal
APPLIED ECONOMICS LETTERS
Volume 25, Issue 7, Pages 465-471Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/13504851.2017.1335385
Keywords
Non-linear quantile unit root; PPP; 29 African nations
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It is now a common practice to establish stationarity of the real exchange rate as a sign of purchasing power parity (PPP) hypothesis. In this article, we consider the real effective exchange rates of 29 African countries. When we apply conventional linear unit root tests, we find support for the PPP in eight countries. However, when we shift to the newly introduced non-linear quantile unit root test, support for the PPP increases to 15 countries.
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