IDEAS home Printed from https://ideas.repec.org/a/wly/ijfiec/v23y2018i2p79-93.html
   My bibliography  Save this article

Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach

Author

Listed:
  • Matthew Lyon
  • Jose Olmo

Abstract

This paper examines the legitimacy of the Purchasing Power Parity condition applied to the quantile process for 12 oil†exporting countries: Algeria, Angola, Canada, Colombia, Indonesia, Iran, Kazakhstan, Kuwait, Mexico, Nigeria, Norway, and Russia. The application of quantile unit root inference methods to test the specification of the PPP condition in the quantile process yields limited support to the equilibrium condition. However, the application of quantile cointegration methods that estimate the equilibrium relationship between national prices and the nominal exchange rate is much more supportive of a generalized PPP condition that varies across countries and quantiles. Our empirical findings suggest that the distribution of the nominal exchange rate reflects a nonlinear equilibrium relationship between national prices that varies widely between the central and tail quantiles and is country†specific.

Suggested Citation

  • Matthew Lyon & Jose Olmo, 2018. "Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(2), pages 79-93, April.
    • Handle: RePEc:wly:ijfiec:v:23:y:2018:i:2:p:79-93
    DOI: 10.1002/ijfe.1603
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/ijfe.1603
    Download Restriction: no
    File URL: https://libkey.io/10.1002/ijfe.1603?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mudeer A. Khattak & Buerhan Saiti & Shabeer Khan, 2023. "Does market power explain margins in dual banking? Evidence from panel quantile regression," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1826-1844, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:ijfiec:v:23:y:2018:i:2:p:79-93. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/1076-9307/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.