Revisiting purchasing power parity in the ASEAN-5 countries: evidence from the Fourier quantile unit root test

Bahramian, Pejman; Saliminezhad, Andisheh

doi:10.1080/13504851.2020.1803473

Cited by 10 publications

(4 citation statements)

References 20 publications

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“…Doğanlar, Mike and Kızılkaya (2021) also confirm the validity of the ppp hypothesis in 8 developed, 11 emerging, and 7 frontier market economies using the Fourier quantile unit root test. Bahramian and Saliminezhad (2021) conclude that the ppp hypothesis holds for four asean-5 countries. She et al (2021) test the ppp hypothesis using Fourier unit root tests for Pakistan against 21 trading partners and show that the ppp hypothesis mostly holds.…”

Section: Literature Reviewmentioning

confidence: 69%

Revisiting Purchasing Power Parity in Emerging-7 Countries: A Powerful Unit Root Test

Yilanci,

Ursavaş,

Mike

2024

Investigación Económica

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This 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.

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Section: Literature Reviewmentioning

confidence: 69%

Revisiting Purchasing Power Parity in Emerging-7 Countries: A Powerful Unit Root Test

Yilanci,

Ursavaş,

Mike

2024

Investigación Económica

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“…This study used REER for the exchange rate as proxy to Malaysian real external competitiveness purchasing power, following the approach used by Bahramian and Saliminezhad (2020), Ibrahim (2000), and Wong (2017). Meanwhile, the FTSE Bursa Malaysia Kuala Lumpur Composite Index was used as the proxy for Malaysian stock market index.…”

Section: Data and Model Specificationmentioning

confidence: 99%

How far does the stock market performance influence Malaysia’s consumers purchasing power?

2022

KJSS

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This study examined the asymmetric effect of stock market index performance on the external competitiveness of purchasing power for Malaysia covering the period of 1996-2019 utilizing the Ender and Siklos (2001) and the threshold vector error correction model (TVECM) approaches. The empirical findings confirmed an existing of asymmetric effect between stock market index and the external competitiveness purchasing power in Malaysia cases. There is evidence of negative relationship between both series with a bidirectional asymmetric causality relationship. Therefore, policymakers should give more attention of stock market performance to strengthen the current and future monetary policies related to consumer's purchasing power agenda in Malaysia and consider the current global economic uncertainty caused by the COVID-19 pandemic worldwide.

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“…Studies such as Taylor (1988), MacDonald (1993), Enders and Chumrusphonlert (2004), and Doğanlar et al (2009) can be given as examples of empirical studies that try to test the validity of PPP by examining the relationship between nominal exchange rates and price levels. Studies such as Papell (1997), Baum et al (1999), Narayan (2005), Kalyoncu and Kalyoncu (2008), Acaravci and Ozturk (2010), Chang et al (2012), Pan et al (2012), He and Chang (2013), Bahmani-Oskooee et al (2014), Karagöz and Saraç (2016), Bahmani-Oskooee et al (2018), Mike and Kızılkaya (2019), Bahramian and Saliminezhad (2020) and Doğanlar et al (2020) can be given as examples of empirical studies trying to reveal the validity of PPP by testing the stationarity of the real exchange rate. In this study, to test the validity of absolute PPP, it is investigated whether the real exchange rate is stationary or not.…”

Section: Introductionmentioning

confidence: 99%

An Analysis of The Validity of Absolute Purchasing Power Parity: The Case of Turkish Lira and British Pound

Erdoğmuş

2021

Sosyoekonomi

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This study aims to determine the validity of the absolute purchasing power parity between the Turkish lira and the British pound for March 2001-November 2020. Traditional unit root tests (and stationarity test) that do not take structural breaks into account and unit root tests that take structural breaks into account were used in the study. According to the results of all tests, it was found that the absolute purchasing power parity between the Turkish lira and the British pound was not valid.

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Revisiting purchasing power parity in the ASEAN-5 countries: evidence from the Fourier quantile unit root test

Cited by 10 publications

References 20 publications

Revisiting Purchasing Power Parity in Emerging-7 Countries: A Powerful Unit Root Test

Revisiting Purchasing Power Parity in Emerging-7 Countries: A Powerful Unit Root Test

How far does the stock market performance influence Malaysia’s consumers purchasing power?

An Analysis of The Validity of Absolute Purchasing Power Parity: The Case of Turkish Lira and British Pound

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