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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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    Cited by:

    1. Mohsen Bahmani-Oskooee & Tsangyao Chang & Kuei-Chiu Lee, 2016. "Panel asymmetric nonlinear unit root test and PPP in Africa," Applied Economics Letters, Taylor & Francis Journals, vol. 23(8), pages 554-558, May.
    2. Jingfei Wu & Mohsen Bahmani-Oskooee & Tsangyao Chang, 2018. "Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 187-196, February.
    3. repec:prg:jnlpep:v:preprint:id:654:p:1-10 is not listed on IDEAS
    4. Niri Martha Choji* & Siok Kun Sek, 2018. "Investigating the PPP Theory and Long-run Estimates for Five Asian Countries," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 237-242:2.
    5. David De Villiers & Andrew Phiri, 2022. "Towards resolving the purchasing power parity (PPP) ‘Puzzle’ in newly industrialized countries (NIC’s)," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 31(2), pages 161-180, February.
    6. Burak Güriş & Muhammed Tiraşoğlu, 2018. "The Validity of Purchasing Power Parity in BRICS Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(4), pages 417-426.

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    More about this item

    Keywords

    Purchasing Power Parity; BRICS countries; MIST countries; Sequential Panel Selection Method; Fourier function;
    All these keywords.

    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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