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Can the PPP stand on the BRICS? The ADL test for threshold cointegration

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  • Tsangyao Chang
  • Chia-Hao Lee
  • Ken Hung

Abstract

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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File URL: http://hdl.handle.net/10.1080/13504851.2011.615727
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 19 (2012)
Issue (Month): 12 (August)
Pages: 1123-1127

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Handle: RePEc:taf:apeclt:v:19:y:2012:i:12:p:1123-1127

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Cited by:
  1. Kargi, Bilal, 2014. "The Effects of BRICS and MATIK Countries on World Economy and Cointegration Analysis The Long Term Relation G-7 Growth Rates (1962-2012)," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 262-272.
  2. KARGI, Bilal, 2014. "Structural Breakage and Long Term Cointegration Analysis for Economic Growth in G-7, BRICS and MATIK Countries (1962-2012)," MPRA Paper 57106, University Library of Munich, Germany.

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