TESTING THE VALIDITY OF PURCHASING POWER PARITY FOR BRICS COUNTRIES USING NON-LINEAR UNIT ROOT TEST | Zendy

Ali Eren Alper | Zendy

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TESTING THE VALIDITY OF PURCHASING POWER PARITY FOR BRICS COUNTRIES USING NON-LINEAR UNIT ROOT TEST

Author(s) -

Ali Eren Alper

Publication year - 2015

Publication title -

akademik araştırmalar ve çalışmalar dergisi (akad)

Language(s) - English

Resource type - Journals

ISSN - 2149-1585

DOI - 10.20990/aacd.20953

Subject(s) - purchasing power parity , unit root , unit root test , test (biology) , econometrics , root (linguistics) , parity (physics) , statistics , economics , mathematics , computer science , monetary economics , biology , botany , physics , particle physics , linguistics , philosophy , cointegration , exchange rate

The main aim of this paper is to investigate the validity of the purchasing power parity (PPP) hypothesis for BRICS countries, by using both Kapetanios et al. (KSS) and rolling KSS unit root tests. By adopting the rolling unit root test, the study aims to determine episodic characteristics of the real exchange rates. The results of the KSS unit root test show that the PPP hypothesis is not valid for the entire countires. On the other hand, the study has found evidence of the validity of PPP for only short time of periods by using rolling KSS.

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