Assessing the mean reversion behaviour of fiscal policy : the perspective of Asian countries

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


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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.

Item Type: Article
Uncontrolled Keywords: reversion behavior, fiscal policy, Asian Countries, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Faculties, Institutes, Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 21 Mar 2014 07:57
Last Modified: 14 Jun 2023 03:22

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