Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity

Saban Nazlioglu, Mehmet Altuntas, Emre Kilic and Ilhan Kucukkkaplan

Applied Economic Analysis, 2021, vol. 30, issue 90, 176-195

Abstract: Purpose - This paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries. Design/methodology/approach - The authors conduct a comprehensive analysis by using unit root approaches without and with structural breaks and non-linearity. Findings - The PPP is valid for the GIIPS countries. Considering structural breaks in non-linear framework plays a crucial role. Originality/value - There is no empirical study testing PPP hypothesis by focusing on the GIIPS countries. This study further takes into account for structural breaks and non-linearity in the real exchange rates of these countries.

Keywords: PPP; Unit root tests; Real exchange rate; GIIPS; C22; F31 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aeapps:aea-10-2020-0146

DOI: 10.1108/AEA-10-2020-0146

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