Article
2021
·
1 citations
TESTING THE PURCHASE POWER PARITY HYPOTHESIS FOR BRICS: EVIDENCE FROM FOURIER UNIT ROOT AND COINTEGRATION TEST
Abstract
This study is a review of the purchasing power parity hypothesis applied to BRICS countries (Brazil, Russia, India, China, and South Africa). For each country, time series based on a Fourier perspective was applied. The initial stages of the study analyzed the stationarity of the series using Fourier unit root testing. The series was found to be stationary at level I(1), paving the way for the Fourier Shin cointegration test, which constituted the second stage. The analysis revealed cointegration associations with all BRICS countries. Hence, it is understood that the purchasing power parity theory applies to all five countries.
Keywords
Purchasing Power Parity
Fourier Unit Root Test
Fourier Cointegration Test
BRICS Countries
REAL EXCHANGE-RATE
LONG-RUN
OECD COUNTRIES
EMPIRICAL-TEST
PPP
STATIONARITY
VALIDITY
MARKETS
MODEL
WoS Categories
Economics
Sustainable Development Goals
Citation
- Journal
- JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY
- Year
- 2021
- Volume
- 8
- Issue
- 3
- Pages
- 1394-1406
- ISSN
- 2149-1658
- DOI
- 10.30798/makuiibf.822369
- WoS UID
- WOS:000725183600008