TESTING THE PURCHASE POWER PARITY HYPOTHESIS FOR BRICS: EVIDENCE FROM FOURIER UNIT ROOT AND COINTEGRATION TEST

被引：0

作者：

Govdeli, Tuncer ^{[1
]}

Sumer, Serpil ^{[1
]}

机构：

[1] Ataturk Univ, Erzurum, Turkey

来源：

JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY | 2021年 / 8卷 / 03期

关键词：

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; NULL; MODEL;

D O I：

10.30798/makuiibf.822369

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：1394 / 1406

页数：13

共 48 条

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