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This paper tries to examine if purchasing power parity exists in Indonesia, Malaysia, Philippines, Singapore, and Thailand. To this end, we conduct a nonlinear asymmetric cointegration approach on testing for the existence of purchasing power parity (PPP) in ASEAN-5 countries using the threshold cointegration tests (TAR and MTAR). Based on Monthly data from 1996 to 2016, results of the threshold cointegration tests revealed evidence of long run PPP with asymmetric adjustment in Philippines and Thailand. However, PPP does not hold in Indonesia, Malaysia and Singapore, and the adjustment process in these countries is symmetric. Keywords:Purchasing power parity Asymmetric adjustment Threshold autoregressive (TAR) Model momentum threshold autoregressive (MTAR)

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