Purchasing power parity and efficiency of black market exchange rate in African countries

Ahmad Zubaidi Baharumshah, Siti Mohd, Siew Voon Soon

    Research output: Contribution to journalArticle

    2 Citations (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)52-70
    Number of pages19
    JournalEmerging Markets Finance and Trade
    Volume47
    Issue number5
    DOIs
    Publication statusPublished - 1 Sep 2011

    Fingerprint

    Purchasing power parity
    African countries
    Black market exchange rate
    Black market
    Parity
    Exchange rates
    Speed of adjustment

    Keywords

    • African countries
    • black market exchange rate
    • bounds tests
    • purchasing power parity

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)
    • Finance

    Cite this

    Purchasing power parity and efficiency of black market exchange rate in African countries. / Baharumshah, Ahmad Zubaidi; Mohd, Siti; Soon, Siew Voon.

    In: Emerging Markets Finance and Trade, Vol. 47, No. 5, 01.09.2011, p. 52-70.

    Research output: Contribution to journalArticle

    Baharumshah, Ahmad Zubaidi ; Mohd, Siti ; Soon, Siew Voon. / Purchasing power parity and efficiency of black market exchange rate in African countries. In: Emerging Markets Finance and Trade. 2011 ; Vol. 47, No. 5. pp. 52-70.
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