This paper attempts to provide evidence indicating that the Purchasing Power Parity
(PPP) puzzle is becoming less of a puzzle. It present the results of Augmented Dickey-
Fuller (ADF) test, nonlinear tests of nonstationarity, and Bayesian unit root tests, applied
to ten SADC countries. The Bayesian tests were found to be biased in favour of a trend
stationary model in all cases. It is argued that nonlinear approaches to exchange rate
adjustments are likely to provide a firmer basis for inference and stronger support for the
PPP in the long-term. This is more so at 1 per cent and 5 per cent levels of significance.