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|標題:||Can the PPP stand on the BRICS? The ADL test for threshold cointegration||作者:||Chang, T.Y.
|關鍵字:||purchasing power parity;BRICS countries;ADL test;threshold;cointegration;purchasing power parity;real exchange-rate;2 centuries;rates;adjustment;economics;dynamics;price||Project:||Applied Economics Letters||期刊/報告no：:||Applied Economics Letters, Volume 19, Issue 12, Page(s) 1123-1127.||摘要:||
We apply a newly developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of BRICS countries (i.e. Brazil, Russia, India, China and South Africa) over January 1996 to July 2010. The empirical results indicate that PPP only holds true for most of these countries under study, with the exception of Brazil. Our results have important policy implications for the BRICS countries under study.
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