Validity of Purchasing Power Parity in BRICS under a DFA Approach
Emmanuel Numapau Gyamfi () and
Adam Anokye Mohammed ()
Additional contact information
Emmanuel Numapau Gyamfi: Ghana Institute of Management and Public Administration
Adam Anokye Mohammed: University of Cape Coast
Acta Universitatis Danubius. OEconomica, 2017, issue 13(1), 17-28
This study tests the validity of the purchasing power parity (PPP) theory in Brazil, Russia, India, Macao-China and South Africa. We examine real exchange rates of these countries for mean reversion. The Hurst exponent is our mean reversion measure which is evaluated by the Detrended Fluctuation Analysis (DFA) in a rolling window to determine the validity of the PPP theory amongst these countries through time. Our results show persistence in real exchange rates; an indication not supporting the PPP theory in the five countries. The study contributes to the extant literature of the PPP theory in BRICS using the DFA approach in a rolling window through time.
Keywords: Real Exchange rates; Hurst exponent; DFA; Rolling window (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:dug:actaec:y:2017:i:1:p:17-28
Access Statistics for this article
More articles in Acta Universitatis Danubius. OEconomica from Danubius University of Galati Contact information at EDIRC.
Bibliographic data for series maintained by Daniela Robu ().