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

Pejman Bahramian and Andisheh Saliminezhad

Applied Economics Letters, 2021, vol. 28, issue 13, 1104-1109

Abstract: This study examines the long-run validity of purchasing power parity (PPP) through the Fourier quantile unit root test for a sample of ASEAN-5 countries. Using the aforementioned test, we can model structural breaks as a gradual and smooth process. The application of the conventional unit root tests provides conflicting results in support of the PPP hypothesis. However, the results of the Fourier quantile unit root test indicate that the real effective exchange rate series are stationary for Indonesia, the Philippines, Singapore, and Thailand.

Date: 2021
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DOI: 10.1080/13504851.2020.1803473

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