Purchasing Power Parity in African Countries: Further Evidence From Fourier Unit Root Tests Based on Linear and Nonlinear Models

Yılancı, Veli; Eris, Zehra Ayca

doi:10.1111/j.1813-6982.2012.01326.x

Cited by 36 publications

(12 citation statements)

References 48 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…In this study, we utilize Fourier function with ADF and Fourier function with Kapetanios et al (2003) unit root tests which are the expansion of the periodic y t functions as the sum form of trigonometric terms. Fourier form unit root tests developed by Christopoulos and Leon-Ledesma (2010) allow for temporary smooth breaks by employing trigonometric variables to capture large changes in the deterministic trend (Yılancı and Eris, 2013). The initial model of the Fourier test is as follows:…”

Section: Methodsmentioning

confidence: 99%

Are fluctuations in coal, oil and natural gas consumption permanent or transitory? Evidence from OECD countries

Destek

Sarkodıe

2020

Heliyon

View full text Add to dashboard Cite

Economic development is characterised by natural resource extraction and consumption. However, due to the finite nature of fossil fuel energy sources and its price shocks, an investigation into its historical fluctuations is essential for energy policy formulation. Against the backdrop, this paper examines the stationary properties of coal, oil and natural gas consumption per capita of 16 Organisation for Economic Cooperation and Development (OECD) countries for the period 1970-2018. The study employs Fourier ADF and Fourier KSS unit root tests for linear and nonlinear series to assess the permanent or transitory shocks in coal, oil, and natural gas consumption. Empirical findings show that coal consumption is stationary for 6 of 16 countries. In contrast, oil consumption is found stationary for 4 of 16 countries while natural gas consumption is found stationary for 5 of 16 countries. These results demonstrate that any shock in oil, coal, and natural gas consumption will be permanent in most of the OECD countries. Thus, finding fossil fuel alternatives like renewable energy sources which are localized rather than internationally tradable, lessens the reliance on fossil fuel imports and the negative impacts of price shocks.

show abstract

Section: Methodsmentioning

confidence: 99%

Are fluctuations in coal, oil and natural gas consumption permanent or transitory? Evidence from OECD countries

Destek

Sarkodıe

2020

Heliyon

View full text Add to dashboard Cite

show abstract

“…A similar outcome was also observed by Chang, Lu, Tang, and Liu (2011) who incorporated asymmetric adjustment and nonlinearity into testing procedure. The success rate was further increased to 60 per cent when Yilanci and Eris (2013) considered nonlinear unit root tests and allowed multiple structural breaks using Fourier expansion. Stationarity of the real bilateral exchange rates was supported in 20 out of 33 African countries.…”

Section: The Ppp Literature In Africamentioning

confidence: 99%

Fourier nonlinear quantile unit root test and PPP in Africa

Bahmani‐Oskooee

Chang

Niroomand

et al. 2020

Bulletin of Econ Res

View full text Add to dashboard Cite

We test the PPP hypothesis in 29 African countries using a newly developed nonlinear Quantile unit root test with a Fourier function which accounts for smooth breaks. Simulation indicates that the proposed new test has higher power than the conventional Quantile unit root test as proposed by Koneker and Xiao (2004). Our empirical results provide support for the PPP hypothesis in 21 out of 29 African countries, a unique discovery using their real effective exchange rates. It appears that incorporating Fourier function to nonlinear Quantile unit root test gets us closer and closer to solving the PPP puzzle in Africa.

show abstract

“…However, it was also observed that the majority of studies reported that PPP is holds. Some of these studies are as follows: Kugler and Lenz (1993), Coakley and Fuertes (1997), Sarno (2000), Erlat (2003), Narayan (2005), Hoarau (2007), Kargbo (2009), Güloğlu et al (2011), Özcan (2012), Ağayev (2013), Yılancı and Eriş. (2013), Li et al (2015), Yalçınkaya (2016), and Aliyeva and Hüseynov (2017).…”

Section: Theoretical Framework and Related Literaturementioning

confidence: 99%

The Validity of Purchasing Power Parity Hypothesis in E-7 Countries: Panel Data Analysis

Altıner¹,

Bozkurt²

2018

berj

View full text Add to dashboard Cite

The exchange rates are one of the most important macroeconomic variables influencing the economic activities of any country such as foreign trade, money and capital markets. From this aspect, examining the changes in exchange rates, which are considered as one of the indicators of economic stability, is of significant importance. The aim of this study is to test the purchasing power parity (PPP) hypothesis for E-7 countries between 1994 and 2017. Within the scope of this analysis, firstly the dependence between the cross-sections was examined. Then, the validity of PPP hypothesis was tested using SURADF (Seemingly Unrelated Augmented Dickey Fuller) panel unit root test developed by Breuer et al. (2001) and Carrion-i-Silvestre et al. (2005) panel unit root test (PANKPSS), which takes the structural breaks into consideration. According to the results of SURADF test, it was determined that the PPP is holds only in Russia and Turkey, but not in the other countries. According to the results of PANKPSS unit root test considering the structural breaks, however, it was found that PPP is holds in all the countries.

show abstract

Purchasing Power Parity in African Countries: Further Evidence From Fourier Unit Root Tests Based on Linear and Nonlinear Models

Cited by 36 publications

References 48 publications

Are fluctuations in coal, oil and natural gas consumption permanent or transitory? Evidence from OECD countries

Are fluctuations in coal, oil and natural gas consumption permanent or transitory? Evidence from OECD countries

Fourier nonlinear quantile unit root test and PPP in Africa

The Validity of Purchasing Power Parity Hypothesis in E-7 Countries: Panel Data Analysis

Contact Info

Product

Resources

About