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

GÖVDELİ T., SUMER S.

JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY, cilt.8, sa.3, ss.1394-1406, 2021 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 8 Sayı: 3
  • Basım Tarihi: 2021
  • Doi Numarası: 10.30798/makuiibf.822369
  • Dergi Adı: JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.1394-1406
  • Anahtar Kelimeler: 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
  • Atatürk Üniversitesi Adresli: Evet

Özet

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.