 Half-Life Deviations from PPP in the South African Development Community (SADC)Thabo M. Mokoena (), Rangan Gupta and Renee van Eyden () Applied Econometrics and International Development, 2009, vol. 9, issue 1 Abstract: This paper utilises various recently developed econometric methods to obtain better approximations to the half-life for real exchange rates of ten South African Development Community (SADC) countries and to generate confidence intervals for half-life deviations from the purchasing power parity (PPP). The robust methods of Stock (1991), Elliott and Stock (2001), and Hansen (1999) imply that point estimates of less than 36 months exist, making them compatible with PPP. However, the results of ADF and ADF-GLS tests render the SADC real exchange rates as nonstationary processes, a result that is patently at odds with mean-reversion, implying at the same time the possibility of infinite half-lives. Therefore the empirical results appearing in this paper do not convincingly resolve the half-life version of the PPP puzzle and leaves room for future research in the directions of non-parametric methods and median unbiased confidence intervals. Keywords: PPP; Half-life; Real Exchange Rates (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eaa:aeinde:v:9:y:2009:i:1_12 Ordering information: This journal article can be ordered from Access Statistics for this article More articles in Applied Econometrics and International Development from Euro-American Association of Economic Development |
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