Fourier Nonlinear Quantile Unit Root Test of Purchasing Power Parity in cryptocurrencies

Abstract

The primary purpose of this article is to conduct the Fourier Nonlinear Unit Root Test to check Purchasing Power Parity (PPP) for seven cryptocurrencies traded in seventeen countries from 2010 to 2021. The unit root test supports the PPP hypothesis when we use each cryptocurrency separately for all the countries. However, the PPP hypothesis is strongly supported when we pool them together by countries and cryptocurrencies. This finding is in line with the power of the test issue of the PPP for regular PPP testing, which also holds good in cryptocurrencies.