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The role of structural breaks, nonlinearity and asymmetric adjustments in African bilateral real exchange rates

机译：结构性断裂，非线性和不对称调整在非洲双边实际汇率中的作用

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This paper examines the validity of the purchasing power parity, PPP for six African countries of Botswana, Ghana, Kenya, Nigeria, South Africa and Tanzania using the countries' bilateral real exchange rates with their fifteen major trading partners for the period 1960-2011. It uses the Lagrangian multiplier, LM, which accommodates up to two endogenous structural breaks in addition to conventional unit root tests. The paper also uses the threshold cointegration tests to explore nonlinearity and asymmetric adjustments of the series. Results from the LM unit root tests indicate that the exchange rates of Botswana, Ghana, Kenya and Nigeria relative to their major trading partners are stationary. The results from the threshold cointegration suggest that there is a long-run relationship between the series and that the adjustments are asymmetric. Appreciation is faster than depreciation in most of the countries. This is consistent with suggestions that countries are intolerant of depredation. (C) 2016 Elsevier Inc. All rights reserved.
机译：本文研究了六个国家博茨瓦纳，加纳，肯尼亚，尼日利亚，南非和坦桑尼亚的购买力平价（PPP）的有效性，方法是使用该国与其15个主要贸易伙伴在1960-2011年期间的双边实际汇率。它使用拉格朗日乘数LM，除常规单位根检验外，它还可以容纳多达两个内源性结构断裂。本文还使用阈值协整检验来探索该序列的非线性和不对称调整。 LM单位根检验的结果表明，博茨瓦纳，加纳，肯尼亚和尼日利亚相对于其主要贸易伙伴的汇率是固定的。阈值协整的结果表明该系列之间存在长期关系，并且调整是不对称的。在大多数国家，升值要快于贬值。这与有关国家不容忍掠夺的建议是一致的。 （C）2016 Elsevier Inc.保留所有权利。

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