Nonlinear Cointegration and Asymmetric Adjustment in Purchasing Power Parity of the USA, Germany, and Pakistan-Reference-Cited by-同舟云学术

Nonlinear Cointegration and Asymmetric Adjustment in Purchasing Power Parity of the USA, Germany, and Pakistan

Published:2021-12-21 Issue: Volume:2021 Page:1-7
ISSN:1099-0526
Container-title:Complexity
language:en
Short-container-title:Complexity

Author:

Ali Kashif¹,Hina Hafsa²,Ijaz Muhammad³^ORCID,El-Morshedy Mahmoud⁴⁵^ORCID

Affiliation:

1. Department of Statistics, University of Peshawar, Peshawar, Pakistan

2. Department of Econometrics and Statistics, PIDE, Islamabad, Pakistan

3. Department of Mathematics and Statistics, The University of Haripur, Haripur, Pakistan

4. Department of Mathematics, College of Science and Humanities in Al-Kharj, Prince Sattam Bin Abdulaziz University, Al-Kharj 11942, Saudi Arabia

5. Department of Mathematics, Faculty of Science, Mansoura University, Mansoura 35516, Egypt

Abstract

The current study explores nonlinear cointegration as well as asymmetric adjustment to investigate the long-run purchasing power parity in three major trading partners of Pakistan. The ESTAR and LSTAR models were used to investigate the behavior of the nominal exchange rates. The findings declared that series follows the nonlinear exchange rate. The asymmetric behavior of the exchange rate allows the threshold cointegration model to be implemented. In the case of Pakistan-China, the result suggests that long-run PPP holds. As a result, trading will be more profitable if the exchange rate is varied in relation to major trading partners rather than just the US dollar.

Publisher

Hindawi Limited

Subject

Multidisciplinary,General Computer Science

Link

http://downloads.hindawi.com/journals/complexity/2021/1555091.pdf

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