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Purchasing Power Parity in the BRICS and the MIST Countries: Sequential Panel Selection Method

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  • Mohsen Bahmani-Oskooee

    () (The Center for Research on International Economics; Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, U.S.A.)

  • Tsangyao Chang

    () (Department of Finance, Feng Chia University, Taichung, TAIWAN)

  • Kuei-Chiu Lee

    () (Department of Cooperative Economics, Feng Chia University, Taichung, TAIWAN)

Abstract

The Sequential Panel Selection Method (SPSM) procedure is applied to the real effective exchange rates of BRICS (Brazil, Russia, India, China, and South Africa) and MIST (Mexico, Indonesia, South Korea and Turkey) countries, using monthly data over the period 1994-2012. While several panel unit root tests give us mixed results, SPSM classifies the whole panel into a group of stationary series and a group of non-stationary series, identifying stationary series within the panel. Empirical results from the SPSM procedure that uses the Panel KSS unit root test with a Fourier function indicate that mean-reversion in real effective exchange rates holds true for these two groups of countries under study.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Tsangyao Chang & Kuei-Chiu Lee, 2014. "Purchasing Power Parity in the BRICS and the MIST Countries: Sequential Panel Selection Method," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 1-12, Feburary.
  • Handle: RePEc:bap:journl:140101
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    References listed on IDEAS

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    More about this item

    Keywords

    Purchasing Power Parity; BRICS countries; MIST countries; Sequential Panel Selection Method; Fourier function;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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