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Revisiting Purchasing Power Parity for India using threshold cointegration and nonlinear unit root test

机译：使用阈值协整和非线性单位根检验重新审视印度的购买力平价

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This study examines the Purchasing Power Parity (PPP) hypothesis in case of India for her five major trading partners over the period of 1991M_1-2009M_2. The study used the DF-GLS unit root test and threshold autoregressive (TAR) model as well as momentum-TAR (M-TAR) models for empirical analysis. However, we relied on TAR and MTAR models based cointegration tests to draw conclusions because of their superiority to traditional cointegration techniques as these models have limit cycles, amplitude dependent frequencies, and jump phenomena. These models are capable of producing asymmetric limit cycles and are suitable for time series data. Our empirical exercise reveals that PPP hypothesis does not exist for all major trading partners in case of India. This reveals that intermediate goods face high barriers to trade in this sampled countries. This supports the argument that Indian government has not been able to strike out the proper balance between flexibility and stability between real bilateral exchange rates and thus unable to maintaining confidence in the domestic currency that has been evident from the recent fall of rupee in relation to the US dollar.
机译：这项研究针对印度在其1991M_1-2009M_2期间的五个主要贸易伙伴研究了购买力平价（PPP）假设。该研究使用DF-GLS单位根检验和阈值自回归（TAR）模型以及动量TAR（M-TAR）模型进行经验分析。但是，由于它们比传统的协整技术优越，因为它们具有极限周期，振幅相关的频率和跳跃现象，因此我们依靠基于TAR和MTAR模型的协整测试得出结论。这些模型能够产生不对称的极限环，并且适用于时间序列数据。我们的经验表明，在印度，并非所有主要贸易伙伴都拥有PPP假设。这表明在该抽样国家中，中间商品面临着很高的贸易壁垒。这支持了这样一种论点，即印度政府未能在实际双边汇率之间的灵活性与稳定性之间取得适当的平衡，因此无法维持对本币的信心，这一点从最近卢比兑卢比贬值就可以看出。美元。

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