Revisiting purchasing power parity in major oil-exporting countries

Mohsen Bahmani-Oskooee, Tsangyao Chang, Shu-Ching Cheng and Tsung-Pao Wu

Macroeconomics and Finance in Emerging Market Economies, 2015, vol. 8, issue 1-2, 108-116

Abstract: Univariate unit-root tests of the purchasing power parity (PPP) are said to suffer from low power. Following the literature, we apply the sequential panel selection method combined with a Fourier function to test the PPP in six major oil exporting countries. The results support PPP in all six countries except Russia. Our results point to the importance of proper modelling of structural breaks and non-linearities in the real exchange rate series of these countries.

Date: 2015
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DOI: 10.1080/17520843.2014.948473

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