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Revisiting purchasing power parity in major oil-exporting countries

Author

Listed:
  • Mohsen Bahmani-Oskooee
  • Tsangyao Chang
  • Shu-Ching Cheng
  • Tsung-Pao Wu

Abstract

Univariate unit-root tests of the purchasing power parity (PPP) are said to suffer from low power. Following the literature, we apply the sequential panel selection method combined with a Fourier function to test the PPP in six major oil exporting countries. The results support PPP in all six countries except Russia. Our results point to the importance of proper modelling of structural breaks and non-linearities in the real exchange rate series of these countries.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Tsangyao Chang & Shu-Ching Cheng & Tsung-Pao Wu, 2015. "Revisiting purchasing power parity in major oil-exporting countries," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 8(1-2), pages 108-116, July.
    • Handle: RePEc:taf:macfem:v:8:y:2015:i:1-2:p:108-116
    DOI: 10.1080/17520843.2014.948473
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    Cited by:

    1. Nadiia Pysar & Victoria Dergacheva, 2018. "Determination of Parity Price for Gas and Electricity in Terms of Estimation of Household Incomes and Energy Costs," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 342-346.
    2. Kai-Hua WANG & Chi-Wei SU & Hsu-Ling CHANG & Ji MA & Cristina IOVU, 2017. "Purchasing Power Parity In China: An Empirical Investigation Based On Bootstrap Rollingwindow Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 166-181, December.
    3. 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.
    4. BAHMANI-OSKOOEE, Mohsen & Wu, Tsung-Pao, 2017. "Purchasing Power Parity in the 34 OECD Countries: Evidence from Quantile-Based Unit Root Tests with both Smooth and Sharp Breaks," MPRA Paper 81820, University Library of Munich, Germany, revised 07 Feb 2017.
    5. Xie, Zixiong & Chen, Shyh-Wei & Hsieh, Chun-Kuei, 2021. "Facing up to the polysemy of purchasing power parity: New international evidence," Economic Modelling, Elsevier, vol. 98(C), pages 247-265.
    6. Mohsen Bahmani-Oskooee & Omid Ranjbar, 2016. "Quantile unit root test and PPP: evidence from 23 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 48(31), pages 2899-2911, July.
    7. Yoon, Jong Cheol & Min, Dai Hong & Jei, Sang Young, 2019. "Empirical test of purchasing power parity using a time-varying cointegration model for China and the UK," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 41-47.
    8. Stewart, Chris, 2023. "Re-evaluating whether absolute or relative purchasing power parity is being tested when using price indices," Economics Discussion Papers 2023-1, School of Economics, Kingston University London.

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