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 Volume 4, Issue 11 (November 2017), Pages: 155-159


 Original Research Paper

 Title: Testing for purchasing power parity for ASEAN-5 using asymmetric cointegration tests

 Author(s): Niri Martha Choji 1, 2, *, Siok Kun Sek 2


 1Department of Mathematics, Plateau State University, Bokkos, Nigeria
 2School of Mathematical Sciences, Universiti Sains Malaysia, 11800 Minden, Penang, Malaysia

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This paper tries to examine if purchasing power parity exists in Indonesia, Malaysia, Philippines, Singapore, and Thailand. To this end, we conduct a nonlinear asymmetric cointegration approach on testing for the existence of purchasing power parity (PPP) in ASEAN-5 countries using the threshold cointegration tests (TAR and MTAR). Based on Monthly data from 1996 to 2016, results of the threshold cointegration tests revealed evidence of long run PPP with asymmetric adjustment in Philippines and Thailand. However, PPP does not hold in Indonesia, Malaysia and Singapore, and the adjustment process in these countries is symmetric. 

 © 2017 The Authors. Published by IASE.

 This is an open access article under the CC BY-NC-ND license (

 Keywords: Purchasing power parity, Asymmetric adjustment, Threshold autoregressive (TAR), Model momentum threshold  autoregressive (MTAR)

 Article History: Received 20 March 2017, Received in revised form 25 September 2017, Accepted 26 September 2017

 Digital Object Identifier:


 Choji NM and Sek SK (2017). Testing for purchasing power parity for ASEAN-5 using asymmetric cointegration tests. International Journal of Advanced and Applied Sciences, 4(11): 155-159

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