Citation
Baharumshah, Ahmad Zubaidi and Mohd, Siti Hamizah and Soon, Siew Voon
(2011)
Purchasing power parity and efficiency of black market exchange rate in African countries.
Emerging Markets Finance & Trade, 47 (5).
pp. 52-70.
ISSN 1540-496X; ESSN: 1558-0938
Abstract
This paper investigates the long-run dynamics of black and official exchange rates for ten African countries. Our major findings are, first, that parity holds more favorably when the black market rate is used to validate the purchasing power parity hypothesis. The evidence supports the notion that the speed of adjustment is much faster in the black market than in the official market. Second, the two rates are connected in the long run, with the official rate adjusting toward the black market rate for the majority of cases. Finally, we find the long-run informationally efficient hypothesis is supported in the majority of African countries.
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Official URL or Download Paper: http://www.tandfonline.com/doi/abs/10.2753/REE1540...
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Economics and Management |
| DOI Number: | https://doi.org/10.2753/REE1540-496X470503 |
| Publisher: | Taylor & Francis |
| Keywords: | African countries; Black market exchange rate; Bounds tests; Purchasing power parity |
| Depositing User: | Nabilah Mustapa |
| Date Deposited: | 31 Jul 2015 12:45 |
| Last Modified: | 26 Aug 2015 04:52 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.2753/REE1540-496X470503 |
| URI: | http://psasir.upm.edu.my/id/eprint/22844 |
| Statistic Details: | View Download Statistic |
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