Purchasing power parity in emerging markets: A panel stationary test with both sharp and smooth breaks
Mohsen Bahmani-Oskooee (),
Tsangyao Chang () and
Economic Systems, 2016, vol. 40, issue 3, 453-460
Univariate unit root tests are said to have low power in rejecting the null of unit root or supporting the stationarity of real exchange rates, hence the purchasing power parity theory (PPP). In this paper we apply a panel stationary test with both sharp and smooth breaks to test PPP in 11 emerging countries, using their real effective exchange rates over January 1994 to March 2013. This test has been proved to be more powerful in capturing both long swings and sharp breaks of the real effective exchange rates. Our empirical results from several panel tests provide strong support for PPP in these emerging countries.
Keywords: Purchasing power parity; Emerging markets; Panel stationary test; Sharp and smooth breaks (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
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:eee:ecosys:v:40:y:2016:i:3:p:453-460
Access Statistics for this article
Economic Systems is currently edited by R. Frensch
More articles in Economic Systems from Elsevier Contact information at EDIRC.
Bibliographic data for series maintained by Dana Niculescu ().