TESTING THE PURCHASING POWER PARITY HYPOTHESIS FOR BRICS: EVIDENCE FROM THE FOURIER UNIT ROOT AND COINTEGRATION TEST
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 were applied. The initial stages of the study analyzed the stationarity of the series using Fouri...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Mehmet Akif Ersoy University
2021-11-01
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| Series: | Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/en/download/article-file/1383912 |
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| Summary: | 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 were applied. The initial stages of the study analyzed the stationarity of the series using Fourier unit root testing. The series were 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 for all five countries. |
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| ISSN: | 2149-1658 |