Testing the validity of purchasing power parity in alternative markets: Evidence from the fourier quantile unit root test
Yükleniyor...
Tarih
2020
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Borsa İstanbul
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study analyzes the long-run validity of purchasing power parity (PPP) in three types of market economies—developed, emerging, and frontier markets—using the Fourier quantile unit root test. The analyses are conducted on 45 countries, including 10 developed, 20 developing, and 15 frontier market economies, using monthly observations from 1993:1 to 2018:8. Conventional, nonlinear, and Fourier-type unit root tests are also employed for this purpose. The Fourier quantile unit root test results provide more evidence than other tests on the validity of PPP, showing that it is valid in 8 developed, 11 emerging, and 7 frontier market economies.
Açıklama
Anahtar Kelimeler
Fourier function, Purchasing power parity, Quantile unit root test
Kaynak
Borsa İstanbul Review
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
Sayı
Künye
Doğanlar, M., Mike, F., & Kızılkaya, O. (2020). Testing the Validity of Purchasing Power Parity in Alternative Markets: Evidence from the Fourier Quantile Unit Root Test. Borsa Istanbul Review.
