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Purchasing power parity in African countries : linear versus non-linear unit root tests
Dissertation (MPhil (Finance and Investment))--University of Pretoria, 2024.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2025
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| _version_ | 1867613515611635712 |
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| access_status_str | Open Access |
| author2 | Van der Westhuizen, Elizabeth Ann |
| author_browse | Van der Westhuizen, Elizabeth Ann |
| author_facet | Van der Westhuizen, Elizabeth Ann |
| collection | Thesis |
| dc_rights_str_mv | © 2023 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MPhil (Finance and Investment))--University of Pretoria, 2024. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/101096 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:22.799Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2025 |
| publishDateRange | 2025 |
| publishDateSort | 2025 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/101096 Purchasing power parity in African countries : linear versus non-linear unit root tests Van der Westhuizen, Elizabeth Ann zuzitzkajanz@gmail.com Lakhani, Sonya Janz, Zuzitzka UCTD Purchasing power parity Non-linear unit root tests Linear unit root tests Real effective exchange rate African economies Purchasing power parity Dissertation (MPhil (Finance and Investment))--University of Pretoria, 2024. This study investigated the validity of purchasing power parity (PPP) in 40 African countries by comparing the results of linear and non-linear unit root tests applied to the real effective exchange rates. Using a comprehensive dataset spanning from 1992 to 2024, the research addressed the “PPP puzzle” in African economies characterised by rapid growth and unique exchange rate dynamics. The study employed traditional linear tests alongside advanced non-linear tests to account for non-linearities, quantiles, and external covariates. Results indicated that linear tests identified stationarity consistent with PPP in only a limited number of countries, whereas non-linear tests, particularly the quantile non-linear unit root test with stationary covariates, detected stationarity in a significantly larger number of countries and across various quantiles. These findings suggest that advanced econometric techniques that incorporate quantiles and covariates provide a deeper understanding of exchange rate dynamics and PPP theory in African countries and offer valuable insights for policymakers, economists, and investors to better understand and forecast exchange rate behaviours in these dynamic markets. Financial Management MPhil (Finance and Investment) Unrestricted Faculty of Economic And Management Sciences None 2025-02-20T14:43:13Z 2025-02-20T14:43:13Z 2025-04 2024-11 Dissertation * A2025 http://hdl.handle.net/2263/101096 https://doi.org/10.25403/UPresearchdata.27436668 en © 2023 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Purchasing power parity Non-linear unit root tests Linear unit root tests Real effective exchange rate African economies Purchasing power parity Purchasing power parity in African countries : linear versus non-linear unit root tests |
| title | Purchasing power parity in African countries : linear versus non-linear unit root tests |
| title_full | Purchasing power parity in African countries : linear versus non-linear unit root tests |
| title_fullStr | Purchasing power parity in African countries : linear versus non-linear unit root tests |
| title_full_unstemmed | Purchasing power parity in African countries : linear versus non-linear unit root tests |
| title_short | Purchasing power parity in African countries : linear versus non-linear unit root tests |
| title_sort | purchasing power parity in african countries linear versus non linear unit root tests |
| topic | UCTD Purchasing power parity Non-linear unit root tests Linear unit root tests Real effective exchange rate African economies Purchasing power parity |
| url | http://hdl.handle.net/2263/101096 https://doi.org/10.25403/UPresearchdata.27436668 |