Revisiting purchasing power parity in emerging-7 countries: A powerful unit root test

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dc.contributor.authorYilanci, Veli
dc.contributor.authorUrsavas, Ugur
dc.contributor.authorMike, Faruk
dc.date.accessioned2025-01-27T18:58:59Z
dc.date.available2025-01-27T18:58:59Z
dc.date.issued2024
dc.departmentÇanakkale Onsekiz Mart Üniversitesi
dc.description.abstractThis paper introduces a newly developed unit root test procedure named the Fourier Quantile aestar (faestar-qks) test that allows nonlinearity and structural changes. The faestar-qks unit root test is mainly based on the quantile approach and provides more powerful results since it is robust toward non-normal errors. Then, we test the Purchasing Power Parity hypothesis (ppp) [or the mean-reverting properties of real exchange rates] in emerging seven (E7) countries (Brazil, China, India, Indonesia, Mexico, Russia, and Turkey) from 1995:1 to 2023:6 by using a novel faestar-qks test procedure. The results show that the faestar-qks unit root test provides more evidence on the validity of ppp than the traditional unit root test. Accordingly, the ppp hypothesis is valid in all E7 countries except for Turkey in the long run. © 2024 Universidad Nacional Autonoma de Mexico. All rights reserved.
dc.identifier.doi10.22201/fe.01851667p.2024.328.86700
dc.identifier.endpage54
dc.identifier.issn0185-1667
dc.identifier.issue328
dc.identifier.scopus2-s2.0-85189517288
dc.identifier.scopusqualityQ3
dc.identifier.startpage31
dc.identifier.urihttps://doi.org/10.22201/fe.01851667p.2024.328.86700
dc.identifier.urihttps://hdl.handle.net/20.500.12428/13106
dc.identifier.volume83
dc.identifier.wosWOS:001421253100003
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherUniversidad Nacional Autonoma de Mexico
dc.relation.ispartofInvestigacion Economica
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_Scopus_20250125
dc.subjectE7 countries; Ppp; Quantile unit root
dc.titleRevisiting purchasing power parity in emerging-7 countries: A powerful unit root test
dc.typeArticle

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