TESTING THE PURCHASING POWER PARITY HYPOTHESIS FOR BRICS: EVIDENCE FROM THE FOURIER UNIT ROOT AND COINTEGRATION TEST

Yıl 2021, Cilt: 8 Sayı: 3, 1394 - 1406, 30.11.2021

Tuncer Gövdeli Serpil Sumer

https://doi.org/10.30798/makuiibf.822369

Öz

This study is a review of the purchasing power parity hypothesis applied to BRICS countries (Brazil, Russia, India, China, and South Africa). For each country, time series based on a Fourier perspective were applied. The initial stages of the study analyzed the stationarity of the series using Fourier unit root testing. The series were found to be stationary at level I(1), paving the way for the Fourier Shin cointegration test, which constituted the second stage. The analysis revealed cointegration associations with all BRICS countries. Hence, it is understood that the purchasing power parity theory applies for all five countries.

Anahtar Kelimeler

Purchasing Power Parity, Fourier Unit Root Test, Fourier Cointegration Test, BRICS Countries

Proje Numarası

yok

BRICS İÇİN SATIN ALMA GÜCÜ PARİTESİ HİPOTEZİNİN TEST EDİLMESİ: FOURIER BİRİM KÖK VE EŞBÜTÜNLEŞME TESTİNDEN KANIT

Öz

Bu çalışmada, BRICS (Brezilya, Rusya, Hindistan, Çin ve Güney Afrika) ülkelerinin satın alma gücü paritesi teorisi incelenmiştir. Her ülke için Fourier yaklaşımı içeren zaman serisi kullanılmıştır. Çalışmanın ilk aşamasında serilerin durağanlıkları Fourier KPSS testi kullanılmıştır. Seriler I(1) düzeyinde durağan oldukları tespit edilerek ikinci aşama olan Fourier Shin eşbütünleşme testine geçilmiştir. Yapılan analiz sonucu tüm BRICS ülkelerinde eşbütünleşme ilişkisi bulunmuştur. Böylece bu beş ülkede satın alma gücü paritesi teorisinin geçerli olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler

Satın Alma Gücü Paritesi, Fourier Birim Kök Testi, Fourier Eşbütünleşme Testi, BRICS Ülkeleri

Destekleyen Kurum

yok

Proje Numarası

yok

Teşekkür

yok

Kaynakça

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