Paridades das taxas de câmbio (FX) nos mercados emergentes

Abstract

This paper aims to test the purchasing power parity (PPP) in emerging markets by using the recent cointegrated panel technique. The relative version of the purchasing power theory is tested for a group of countries, which composes the EMBI Global Index. Our sample is composed of 22 developing countries: Argentina, Brazil, Mexico, Venezuela, Ecuador, Peru, Colombia, Chile, South Korea, Philippines, Malaysia, China, Thailand, Russia, Poland, Bulgaria, Greece, Turkey Hungary, Croatia, Morocco and South Africa. For testing the strong version of the PPFJ we have considered the between-dimension FMOLS (Fully Modified OLS) according to Pedroni (2001). This estimator permits more flexibility relatively to the homogeneity ofthe cointegration vector in the alternative hypothesis ofthe test. Our results have rejected the PPP.