EXAMINATION OF THE VALIDITY OF PURCHASING POWER PARITY(PPP) WITH FRACTURED FOURIER UNIT ROOT TESTS:THE CASE OF FRAGILE FIVE COUNTRIES

  • MEHMET AYDIN SAKARYA UNIVERSITY

Abstract

The aim of this study is to analyse the stationarity of the real exchange rate for fragile five countries(Brazil, Indonesia, India, Turkey and South Africa).For this purpose, firstly whether the series are linear or not were investigated by the Harvey and Leybourne (2007) and Harvey et al.(2008), in line with the results found the validity of PPP has tested with the fourier adaptations of the appropriate unit root tests.According to results, it is concluded that the PPP is valid only for Turkey between 1994M01-2017M07, whereas the results are not valid for other countries.

Published
Dec 21, 2017
How to Cite
AYDIN, MEHMET. EXAMINATION OF THE VALIDITY OF PURCHASING POWER PARITY(PPP) WITH FRACTURED FOURIER UNIT ROOT TESTS:THE CASE OF FRAGILE FIVE COUNTRIES. Journal of Applied Research in Finance and Economics, [S.l.], v. 3, n. 4, p. 18-28, dec. 2017. ISSN 2458-8083. Available at: <http://jarfe.org/index.php/jarfe/article/view/28>. Date accessed: 24 june 2018.
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Articles