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Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması

Yıl 2015, Cilt: 23 Sayı: 24, 23 - 37, 06.04.2015

Öz

Bu çalışmanın amacı Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi kavramlarına yönelik mevcut teorileri ve tanımlamaları gözden geçirmek ve elde edilen ampirik bulgular üzerine bir literatür taraması sunmaktır. Çalışmada, Tek Fiyat Kanunundan meydana gelen sapmalar ve sapmaların nedenlerinden başlayarak Satın Alma Gücü Paritesinin geçerliliğini test eden farklı ekonometrik ve istatistikî yaklaşımları kullanan çalışmalar ele alınmıştır. İlgili tanımlamalara ait ampirik çalışmaları ele alan literatür, özellikle gelişmiş ülke örneklemleri bakımından incelenmiştir. Çalışmanın uluslararası iktisat ve uluslararası finans alanlarında bu konularla ilgilenen araştırmacılara, farklı yöntemlerden elde edilen bulguların karşılaştırılabilmesi bakımından faydalı olabileceği düşünülmektedir.

Kaynakça

  • Abuaf, N. & P. Jorion (1990), “Purchasing Power Parity in the Long Run”, Journal of Finance, 45(1), 157-74.
  • Adler, M. & B. Lehmann (1983), “Deviations from Purchasing Power Parity in the Long Run”, Journal of Finance, 38(5), 1471-87.
  • Alba, J.D. & D.H. Papell (2007), “Purchasing Power Parity and Country Characteristics: Evidence from Panel Data Tests”, Journal of Development Economics, 83(1), 240-51.
  • Asea, P.K. & W.M. Corden (1994), “The Balassa-Samuelson Model: An Overview”, Review of International Economics, 2(3), 191-200.
  • Atkeson, A. & A. Burstein (2008), “Pricing-to-Market, Trade Costs, and International Relative Prices”, American Economic Review, 98(5), 1998-2031.
  • Balassa, B. (1964), “The Purchasing Power Parity Doctrine: A Reappraisal”, Journal of Political Economy, 72(6), 584-96.
  • Banerjee, A. & M. Marcellino & C. Osbat (2004), “Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data”, Econometrics Journal, 7(2), 322-40.
  • Bhagwati, J.N. (1984), “Why Are Services Cheaper in the Poor Countries?”, Economic Journal, 94(374), 279-86.
  • Breitung, J. (2000), “The Local Power of Some Unit Root Tests for Panel Data”, Advances In Econometrics: Nonstationary Panels, Panel Cointegration and Dynamic Panels, Vol. 15, Amsterdam: JAI Press, 161-78.
  • Brock, W.A. & D.A. Hsieh & B. LeBaron (1991), Nonlinear Dynamics, Chaos and Instability, Cambridge, MA: MIT Press.
  • Cerrato, M. & N. Sarantis (2007), “Does Purchasing Power Parity Hold in Emerging Markets? Evidence from a Panel of Black Market Exchange Rates”, International Journal of Finance and Economics, 12(4), 427-44.
  • Cheung, Y-W. & K.S. Lai (1993), “A Fractional Cointegration Analysis of Purchasing Power Parity”, Journal of Business and Economic Statistics, 11(1), 103-12.
  • Choi, I. (2001), “Unit Root Tests for Panel Data”, Journal of International Money and Finance, 20(2), 249-72.
  • Chong, Y. & O. Jorda & A.M. Taylor (2012), “The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and Their Long-run Equilibrium”, International Economic Review, 53(2), 609-34.
  • Cochrane, J.H. (1988), “How Big Is the Random Walk in GNP?”, Journal of Political Economy, 96(5), 893-920.
  • De Gregorio, J. & A. Giovannini & H.C. Wolf (1994), “International Evidence on Tradables and Nontradables Inflation”, European Economic Review, 38(6), 1225-44.
  • Dickey, D. & W.A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with A Unit Root”, Journal of the American Statistical Association, 74(366), 427-31.
  • Dickey, D. & W.A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057-72.
  • Dixit, A.K. (1989), “Hysteresis, Import Penetration and Exchange Rate Pass-Through”, Quarterly Journal of Economics, 104(2) 205-28.
  • Dornbusch, R. (1987), “Purchasing Power Parity”, the New Palgrave: A Dictionary of Economics, Londra: Macmillan, 1075-1085.
  • Drunat, J. & G. Dufrenot & G. & C. Dunis & L. Mathieu (1997), “Stochastic or Chaotic Dynamics in High Frequency Exchange Rates?”, Forecasting Financial Markets: Exchange Rates, Interest Rates and Asset Management, West Sussex: John Wiley and Sons, 33-49.
  • Dumas, B. (1992), “Dynamic Equilibrium and the Real Exchange Rate in A Spatially Separated World”, Review of Financial Studies, 5(2), 153-80.
  • Dumas, B. (1994), “Partial Equilibrium versus General Equilibrium Models of the International Capital Market”, Handbook of International Macroeconomics, Cambridge: Blackwell Publishing, 506-34.
  • Engel, C. & J.H. Rogers (1996), “How Wide Is the Border?”, American Economic Review, 86(5), 1112-25.
  • Engel, C. & J.H. Rogers (2001), “Deviations from Purchasing Power Parity: Causes and Welfare Costs”, Journal of International Economics, 55(1), 29-57.
  • Engle, R.F. & C.W.J. Granger (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55(2), 251-76.
  • Feenstra, R.C. & J.D. Kendall (1997), “Pass-through of Exchange Rates and Purchasing Power Parity”, Journal of International Economics, 43(1-2), 237-61.
  • Flood, R.P. & M.P. Taylor (1996), “Exchange Rate Economics: What’s wrong with the Conventional Macro Approach?” The Microstructure of Foreign Exchange Markets, Chicago: University of Chicago Press, 261-94.
  • Frankel, J.A. (1986), “International Capital Mobility and Crowding Out in the US Economy: Imperfect Integration of Financial Markets or Goods Markets?”, How Open is the US Economy?, Lexington: Lexington Books, 33-67.
  • Frankel, J.A. (1990), “Zen and the Art of Modern Macroeconomics: A Commentary”, Monetary Policy for a Volatile Global Economy, Washington, D.C.: American Enterprise Institute, 117-23.
  • Frenkel, J.A. (1978), “Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s”, Journal of International Economics, 8(2), 169-91.
  • Frenkel, J.A. (1981), “Flexible Exchange Rates, Prices, and the Role of “News”: Lessons from the 1970s”, Journal of Political Economy, 89(4), 665-705.
  • Frensch, R. & A. Schmillen (2011), “Can We Identify Balassa-Samuelson Effects with Measures of Product Variety?”, Economic Systems, 35(1), 98-108.
  • Froot, K.A. & K.S. Rogoff (1995), “Perspectives on PPP and Long-run Real Exchange Rates”, Handbook of International Economics, Vol. 3, Amsterdam: Elsevier, 1647-88.
  • Fuller, W.A. (1976), Introduction to Statistical Time Series, New York: John Wiley and Sons.
  • Ghironi, F. & M. Melitz (2005), “International Trade and Macroeconomics Dynamics with Heterogeneous Firms”, Quarterly Journal of Economics, 120(3), 865-915.
  • Ghosh, A.R. & H.C. Wolf (1994), “Pricing in International Markets: Lessons from the Economist”, National Bureau of Economic Research Working Paper, 4806.
  • Granger, C.W.J. & T. Terasvirta (1993), Modelling Nonlinear Economic Relationships, Oxford: Oxford University Press.
  • Hadri, K. (2000), “Testing for Stationarity in Heterogeneous Panel Data”, Econometric Journal, 3(2), 148-61.
  • Hakkio, C.S. (1984), “A Re-examination of Purchasing Power Parity: A Multi-country and Multi-period Study”, Journal of International Economics, 17(3-4), 265-77.
  • Harrod, R. (1933), International Economics, Londra: James Nisbet.
  • Hellerstein, R. (2008), “Who Bears the Cost of A Change in the Exchange Rate? Pass-through Accounting for the Case of Beer”, Journal of International Economics, 76(1), 14-32.
  • Im, K.S. & M.H. Pesaran & Y. Shin (2003), “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, 115(1), 53-74.
  • Imbs, J. & H. Mumtaz & M. Ravn & H. Rey (2005), “PPP Strikes Back: Aggregation and the Real Exchange Rate”, Quarterly Journal of Economics, 120(1), 1-43.
  • Isard, P. (1977), “How Far Can We Push the “Law of One Price”?”, American Economic Review, 67(5), 942-48.
  • Johansen, S. (1988), “Statistical Analysis of Cointegrating Vectors”, Journal of Economic Dynamics and Control, 12(2-3), 231-54.
  • Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models”, Econometrica, 59(6), 1551-80.
  • Kapetanios, G. & Y. Shin & A. Snell (2003), “Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics, 112(2), 359-79.
  • Kasa, K. (1992), “Adjustment Costs and Pricing-to-Market: Theory and Evidence”, Journal of International Economics, 32(1-2), 1-30.
  • Kilian, L. & M.P. Taylor (2003), “Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?”, Journal of International Economics, 60(1), 85-107.
  • Kim, H. & Y-K. Moh (2010), “A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity”, Journal of International Money and Finance, 29(7), 1398-1405.
  • Knetter, M.M. (1989), “Price Discrimination by U.S. and German Exporters”, American Economic Review, 79(1), 198-210.
  • Knetter, M.M. (1993), “International Comparisons of Price-to-Market Behavior”, American Economic Review, 83(3), 473-86.
  • Knetter, M.M. (1994), “Did the Strong Dollar Increase Competition in U.S. Product Markets?”, Review of Economics and Statistics, 76(1), 192-5.
  • Kravis, I.B. & R.E. Lipsey (1988), “National Price Levels and Price of Tradables and Nontradables”, American Economic Review, 78(2), 474-8.
  • Krugman, P.R. (1978), “Purchasing Power Parity and Exchange Rates: Another Look at the Evidence”, Journal of International Economics, 8(3), 397-407.
  • Krugman, P.R. (1987), “Pricing to Market When the Exchange Rate Changes”, Real–financial Linkages among Open Economies, Cambridge, MA: MIT Press, 49-70.
  • Krugman, P.R. (1989), Exchange Rate Instability, Cambridge, MA: MIT Press.
  • Kwiatkowski, D. & P.C.B. Phillips & P. Schmidt & Y. Shin (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root”, Journal of Econometrics, 54(1-3), 159-78.
  • Levin, A. & C-F. Lin & C-S.J. Chu (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-sample Properties”, Journal of Econometrics, 108(1), 1-24.
  • Lothian, J.R. & M.P. Taylor (1997), “Real Exchange Rate Behavior: The Problem of Power and Sample Size”, Journal of International Money and Finance, 16(6), 945-54.
  • Lothian, J.R. & M.P. Taylor (2000), “Purchasing Power Parity over Two Centuries: Strengthening the Case for Real Exchange Rate Stability”, Journal of International Money and Finance, 19(5), 759-764.
  • Lothian, J.R. & M.P. Taylor (2008), “Real Exchange Rates over The Past Two Centuries: How Important is The Harrod-Balassa-Samuelson Effect?”, Economic Journal, 118(532), 1742-63.
  • Maddala, G.S. & S. Wu (1999), “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test”, Oxford Bulletin of Economics and Statistics, 61(S), 631-52.
  • McKinnon, R.I. (1971), Monetary Theory and Controlled Flexibility in the Foreign Exchanges, Princeton, NJ: International Finance Section of Princeton University.
  • Meese, R.A. & K.S. Rogoff (1988), “Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-rate Period”, Journal of Finance, 43(4), 933-48.
  • Michael, P. & R.A. Nobay & D.A. Peel (1997), “Transaction Cost and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation”, Journal of Political Economy, 105(4), 862-79.
  • Norman, S. (2010), “How Well Does Nonlinear Mean Reversion Solve the PPP Puzzle?” Journal of International Money and Finance, 29(5), 919-37.
  • O’Connell, P.G. & S-J. Wei (2002), “The Bigger They Are, The Harder They Fall: Retail Prices Differences across US Cities”, Journal of International Economics, 56(1), 21-53.
  • O’Connell, P.G. (1998), “The Overvaluation of Purchasing Power Parity”, Journal of International Economics, 44(1), 1-19.
  • Obstfeld, M. & K.S. Rogoff (1996), Foundations of International Macroeconomics, Cambridge, MA: MIT Press.
  • Obstfeld, M. & A.M. Taylor (1997), “Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher’s Commodity Points Revisited”, Journal of the Japanese and International Economies, 11(4), 441-79.
  • Parsley, D.C. & S-J Wei (1996), “Convergence to the Law of One Price without Trade Barriers or Currency Fluctuations”, Quarterly Journal of Economics, 111(4), 1211-36.
  • Paya, I. & D.A. Peel (2006), “Temporal Aggregation of an ESTAR Process: Some Implications for Purchasing Power Parity Adjustment”, Journal of Applied Econometrics, 21(5), 655-68.
  • Phillips, P.C.B. & B.E. Hansen (1990), “Statistical Inference in Instrumental Variables Regression with I(1) Processes”, Review of Economic Studies, 57(1), 99-125.
  • Phillips, P.C.B. & P. Perron (1988), “Testing for A Unit Root in Time Series Regression”, Biometrika, 75(2), 335-46.
  • Phillips, P.C.B. (1986), “Understanding Spurious Regressions in Econometrics”, Journal of Econometrics, 33(3), 311-40.
  • Qui, M. & J.F. Pinfold & L.C. Rose (2011), “Predicting Foreign Exchange Movements Using Historic Deviations from PPP”, International Review of Economics and Finance, 20(4), 485-97.
  • Richardson, D.J. (1978), “Some Empirical Evidence on Commodity Arbitrage and the Law of One Price”, Journal of International Economics, 8(2), 341-51.
  • Rogoff, K.S. (1992), “Traded Goods Consumption Smoothing and the Random Walk Behavior of the Real Exchange Rate”, Monetary and Economic Studies, 10(2), 1-29.
  • Rogoff, K.S. (1996), “The Purchasing Power Parity Puzzle”, Journal of Economic Literature, 34(2), 647-68.
  • Rogoff, K.S. & K.A. Froot & M. Kim (2001), “The Law of One Price over 700 Years”, International Monetary Fund Working Paper, 174.
  • Roll, R. (1979), “Violations of Purchasing Power Parity and their Implications for Efficient International Commodity Markets”, International Finance and Trade, Vol. 1, Cambridge: Ballinger, 133-76.
  • Sabate, M. & M.D. Gadea & J.M. Serrano (2003), “PPP and Structural Breaks: The Peseta Sterling Rate, 50 Years of Floating Regime”, Journal of International Money and Finance, 22(5), 613-27.
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  • Sarno, L. & M.P. Taylor (2002), The Economics of Exchange Rates, Cambridge: Cambridge University Press.
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Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması

Yıl 2015, Cilt: 23 Sayı: 24, 23 - 37, 06.04.2015

Öz

Bu çalışmanın amacı Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi kavramlarına yönelik mevcut teorileri ve tanımlamaları gözden geçirmek ve elde edilen ampirik bulgular üzerine bir literatür taraması sunmaktır. Çalışmada, Tek Fiyat Kanunundan meydana gelen sapmalar ve sapmaların nedenlerinden başlayarak Satın Alma Gücü Paritesinin geçerliliğini test eden farklı ekonometrik ve istatistikî yaklaşımları kullanan çalışmalar ele alınmıştır. İlgili tanımlamalara ait ampirik çalışmaları ele alan literatür, özellikle gelişmiş ülke örneklemleri bakımından incelenmiştir. Çalışmanın uluslararası iktisat ve uluslararası finans alanlarında bu konularla ilgilenen araştırmacılara, farklı yöntemlerden elde edilen bulguların karşılaştırılabilmesi bakımından faydalı olabileceği düşünülmektedir.

Kaynakça

  • Abuaf, N. & P. Jorion (1990), “Purchasing Power Parity in the Long Run”, Journal of Finance, 45(1), 157-74.
  • Adler, M. & B. Lehmann (1983), “Deviations from Purchasing Power Parity in the Long Run”, Journal of Finance, 38(5), 1471-87.
  • Alba, J.D. & D.H. Papell (2007), “Purchasing Power Parity and Country Characteristics: Evidence from Panel Data Tests”, Journal of Development Economics, 83(1), 240-51.
  • Asea, P.K. & W.M. Corden (1994), “The Balassa-Samuelson Model: An Overview”, Review of International Economics, 2(3), 191-200.
  • Atkeson, A. & A. Burstein (2008), “Pricing-to-Market, Trade Costs, and International Relative Prices”, American Economic Review, 98(5), 1998-2031.
  • Balassa, B. (1964), “The Purchasing Power Parity Doctrine: A Reappraisal”, Journal of Political Economy, 72(6), 584-96.
  • Banerjee, A. & M. Marcellino & C. Osbat (2004), “Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data”, Econometrics Journal, 7(2), 322-40.
  • Bhagwati, J.N. (1984), “Why Are Services Cheaper in the Poor Countries?”, Economic Journal, 94(374), 279-86.
  • Breitung, J. (2000), “The Local Power of Some Unit Root Tests for Panel Data”, Advances In Econometrics: Nonstationary Panels, Panel Cointegration and Dynamic Panels, Vol. 15, Amsterdam: JAI Press, 161-78.
  • Brock, W.A. & D.A. Hsieh & B. LeBaron (1991), Nonlinear Dynamics, Chaos and Instability, Cambridge, MA: MIT Press.
  • Cerrato, M. & N. Sarantis (2007), “Does Purchasing Power Parity Hold in Emerging Markets? Evidence from a Panel of Black Market Exchange Rates”, International Journal of Finance and Economics, 12(4), 427-44.
  • Cheung, Y-W. & K.S. Lai (1993), “A Fractional Cointegration Analysis of Purchasing Power Parity”, Journal of Business and Economic Statistics, 11(1), 103-12.
  • Choi, I. (2001), “Unit Root Tests for Panel Data”, Journal of International Money and Finance, 20(2), 249-72.
  • Chong, Y. & O. Jorda & A.M. Taylor (2012), “The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and Their Long-run Equilibrium”, International Economic Review, 53(2), 609-34.
  • Cochrane, J.H. (1988), “How Big Is the Random Walk in GNP?”, Journal of Political Economy, 96(5), 893-920.
  • De Gregorio, J. & A. Giovannini & H.C. Wolf (1994), “International Evidence on Tradables and Nontradables Inflation”, European Economic Review, 38(6), 1225-44.
  • Dickey, D. & W.A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with A Unit Root”, Journal of the American Statistical Association, 74(366), 427-31.
  • Dickey, D. & W.A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057-72.
  • Dixit, A.K. (1989), “Hysteresis, Import Penetration and Exchange Rate Pass-Through”, Quarterly Journal of Economics, 104(2) 205-28.
  • Dornbusch, R. (1987), “Purchasing Power Parity”, the New Palgrave: A Dictionary of Economics, Londra: Macmillan, 1075-1085.
  • Drunat, J. & G. Dufrenot & G. & C. Dunis & L. Mathieu (1997), “Stochastic or Chaotic Dynamics in High Frequency Exchange Rates?”, Forecasting Financial Markets: Exchange Rates, Interest Rates and Asset Management, West Sussex: John Wiley and Sons, 33-49.
  • Dumas, B. (1992), “Dynamic Equilibrium and the Real Exchange Rate in A Spatially Separated World”, Review of Financial Studies, 5(2), 153-80.
  • Dumas, B. (1994), “Partial Equilibrium versus General Equilibrium Models of the International Capital Market”, Handbook of International Macroeconomics, Cambridge: Blackwell Publishing, 506-34.
  • Engel, C. & J.H. Rogers (1996), “How Wide Is the Border?”, American Economic Review, 86(5), 1112-25.
  • Engel, C. & J.H. Rogers (2001), “Deviations from Purchasing Power Parity: Causes and Welfare Costs”, Journal of International Economics, 55(1), 29-57.
  • Engle, R.F. & C.W.J. Granger (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55(2), 251-76.
  • Feenstra, R.C. & J.D. Kendall (1997), “Pass-through of Exchange Rates and Purchasing Power Parity”, Journal of International Economics, 43(1-2), 237-61.
  • Flood, R.P. & M.P. Taylor (1996), “Exchange Rate Economics: What’s wrong with the Conventional Macro Approach?” The Microstructure of Foreign Exchange Markets, Chicago: University of Chicago Press, 261-94.
  • Frankel, J.A. (1986), “International Capital Mobility and Crowding Out in the US Economy: Imperfect Integration of Financial Markets or Goods Markets?”, How Open is the US Economy?, Lexington: Lexington Books, 33-67.
  • Frankel, J.A. (1990), “Zen and the Art of Modern Macroeconomics: A Commentary”, Monetary Policy for a Volatile Global Economy, Washington, D.C.: American Enterprise Institute, 117-23.
  • Frenkel, J.A. (1978), “Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s”, Journal of International Economics, 8(2), 169-91.
  • Frenkel, J.A. (1981), “Flexible Exchange Rates, Prices, and the Role of “News”: Lessons from the 1970s”, Journal of Political Economy, 89(4), 665-705.
  • Frensch, R. & A. Schmillen (2011), “Can We Identify Balassa-Samuelson Effects with Measures of Product Variety?”, Economic Systems, 35(1), 98-108.
  • Froot, K.A. & K.S. Rogoff (1995), “Perspectives on PPP and Long-run Real Exchange Rates”, Handbook of International Economics, Vol. 3, Amsterdam: Elsevier, 1647-88.
  • Fuller, W.A. (1976), Introduction to Statistical Time Series, New York: John Wiley and Sons.
  • Ghironi, F. & M. Melitz (2005), “International Trade and Macroeconomics Dynamics with Heterogeneous Firms”, Quarterly Journal of Economics, 120(3), 865-915.
  • Ghosh, A.R. & H.C. Wolf (1994), “Pricing in International Markets: Lessons from the Economist”, National Bureau of Economic Research Working Paper, 4806.
  • Granger, C.W.J. & T. Terasvirta (1993), Modelling Nonlinear Economic Relationships, Oxford: Oxford University Press.
  • Hadri, K. (2000), “Testing for Stationarity in Heterogeneous Panel Data”, Econometric Journal, 3(2), 148-61.
  • Hakkio, C.S. (1984), “A Re-examination of Purchasing Power Parity: A Multi-country and Multi-period Study”, Journal of International Economics, 17(3-4), 265-77.
  • Harrod, R. (1933), International Economics, Londra: James Nisbet.
  • Hellerstein, R. (2008), “Who Bears the Cost of A Change in the Exchange Rate? Pass-through Accounting for the Case of Beer”, Journal of International Economics, 76(1), 14-32.
  • Im, K.S. & M.H. Pesaran & Y. Shin (2003), “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, 115(1), 53-74.
  • Imbs, J. & H. Mumtaz & M. Ravn & H. Rey (2005), “PPP Strikes Back: Aggregation and the Real Exchange Rate”, Quarterly Journal of Economics, 120(1), 1-43.
  • Isard, P. (1977), “How Far Can We Push the “Law of One Price”?”, American Economic Review, 67(5), 942-48.
  • Johansen, S. (1988), “Statistical Analysis of Cointegrating Vectors”, Journal of Economic Dynamics and Control, 12(2-3), 231-54.
  • Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models”, Econometrica, 59(6), 1551-80.
  • Kapetanios, G. & Y. Shin & A. Snell (2003), “Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics, 112(2), 359-79.
  • Kasa, K. (1992), “Adjustment Costs and Pricing-to-Market: Theory and Evidence”, Journal of International Economics, 32(1-2), 1-30.
  • Kilian, L. & M.P. Taylor (2003), “Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?”, Journal of International Economics, 60(1), 85-107.
  • Kim, H. & Y-K. Moh (2010), “A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity”, Journal of International Money and Finance, 29(7), 1398-1405.
  • Knetter, M.M. (1989), “Price Discrimination by U.S. and German Exporters”, American Economic Review, 79(1), 198-210.
  • Knetter, M.M. (1993), “International Comparisons of Price-to-Market Behavior”, American Economic Review, 83(3), 473-86.
  • Knetter, M.M. (1994), “Did the Strong Dollar Increase Competition in U.S. Product Markets?”, Review of Economics and Statistics, 76(1), 192-5.
  • Kravis, I.B. & R.E. Lipsey (1988), “National Price Levels and Price of Tradables and Nontradables”, American Economic Review, 78(2), 474-8.
  • Krugman, P.R. (1978), “Purchasing Power Parity and Exchange Rates: Another Look at the Evidence”, Journal of International Economics, 8(3), 397-407.
  • Krugman, P.R. (1987), “Pricing to Market When the Exchange Rate Changes”, Real–financial Linkages among Open Economies, Cambridge, MA: MIT Press, 49-70.
  • Krugman, P.R. (1989), Exchange Rate Instability, Cambridge, MA: MIT Press.
  • Kwiatkowski, D. & P.C.B. Phillips & P. Schmidt & Y. Shin (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root”, Journal of Econometrics, 54(1-3), 159-78.
  • Levin, A. & C-F. Lin & C-S.J. Chu (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-sample Properties”, Journal of Econometrics, 108(1), 1-24.
  • Lothian, J.R. & M.P. Taylor (1997), “Real Exchange Rate Behavior: The Problem of Power and Sample Size”, Journal of International Money and Finance, 16(6), 945-54.
  • Lothian, J.R. & M.P. Taylor (2000), “Purchasing Power Parity over Two Centuries: Strengthening the Case for Real Exchange Rate Stability”, Journal of International Money and Finance, 19(5), 759-764.
  • Lothian, J.R. & M.P. Taylor (2008), “Real Exchange Rates over The Past Two Centuries: How Important is The Harrod-Balassa-Samuelson Effect?”, Economic Journal, 118(532), 1742-63.
  • Maddala, G.S. & S. Wu (1999), “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test”, Oxford Bulletin of Economics and Statistics, 61(S), 631-52.
  • McKinnon, R.I. (1971), Monetary Theory and Controlled Flexibility in the Foreign Exchanges, Princeton, NJ: International Finance Section of Princeton University.
  • Meese, R.A. & K.S. Rogoff (1988), “Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-rate Period”, Journal of Finance, 43(4), 933-48.
  • Michael, P. & R.A. Nobay & D.A. Peel (1997), “Transaction Cost and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation”, Journal of Political Economy, 105(4), 862-79.
  • Norman, S. (2010), “How Well Does Nonlinear Mean Reversion Solve the PPP Puzzle?” Journal of International Money and Finance, 29(5), 919-37.
  • O’Connell, P.G. & S-J. Wei (2002), “The Bigger They Are, The Harder They Fall: Retail Prices Differences across US Cities”, Journal of International Economics, 56(1), 21-53.
  • O’Connell, P.G. (1998), “The Overvaluation of Purchasing Power Parity”, Journal of International Economics, 44(1), 1-19.
  • Obstfeld, M. & K.S. Rogoff (1996), Foundations of International Macroeconomics, Cambridge, MA: MIT Press.
  • Obstfeld, M. & A.M. Taylor (1997), “Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher’s Commodity Points Revisited”, Journal of the Japanese and International Economies, 11(4), 441-79.
  • Parsley, D.C. & S-J Wei (1996), “Convergence to the Law of One Price without Trade Barriers or Currency Fluctuations”, Quarterly Journal of Economics, 111(4), 1211-36.
  • Paya, I. & D.A. Peel (2006), “Temporal Aggregation of an ESTAR Process: Some Implications for Purchasing Power Parity Adjustment”, Journal of Applied Econometrics, 21(5), 655-68.
  • Phillips, P.C.B. & B.E. Hansen (1990), “Statistical Inference in Instrumental Variables Regression with I(1) Processes”, Review of Economic Studies, 57(1), 99-125.
  • Phillips, P.C.B. & P. Perron (1988), “Testing for A Unit Root in Time Series Regression”, Biometrika, 75(2), 335-46.
  • Phillips, P.C.B. (1986), “Understanding Spurious Regressions in Econometrics”, Journal of Econometrics, 33(3), 311-40.
  • Qui, M. & J.F. Pinfold & L.C. Rose (2011), “Predicting Foreign Exchange Movements Using Historic Deviations from PPP”, International Review of Economics and Finance, 20(4), 485-97.
  • Richardson, D.J. (1978), “Some Empirical Evidence on Commodity Arbitrage and the Law of One Price”, Journal of International Economics, 8(2), 341-51.
  • Rogoff, K.S. (1992), “Traded Goods Consumption Smoothing and the Random Walk Behavior of the Real Exchange Rate”, Monetary and Economic Studies, 10(2), 1-29.
  • Rogoff, K.S. (1996), “The Purchasing Power Parity Puzzle”, Journal of Economic Literature, 34(2), 647-68.
  • Rogoff, K.S. & K.A. Froot & M. Kim (2001), “The Law of One Price over 700 Years”, International Monetary Fund Working Paper, 174.
  • Roll, R. (1979), “Violations of Purchasing Power Parity and their Implications for Efficient International Commodity Markets”, International Finance and Trade, Vol. 1, Cambridge: Ballinger, 133-76.
  • Sabate, M. & M.D. Gadea & J.M. Serrano (2003), “PPP and Structural Breaks: The Peseta Sterling Rate, 50 Years of Floating Regime”, Journal of International Money and Finance, 22(5), 613-27.
  • Samuelson, P.A. (1964), “Theoretical Notes on Trade Problems”, Review of Economics and Statistics, 46(2), 145-54.
  • Samuelson, P.A. (1994), “Facets of Balassa-Samuelson Thirty Years Later”, Review of International Economics, 2(3), 201-26.
  • Sarno, L. & E. Passari (2012), “Purchasing Power Parity in Tradable Goods”, Handbook of Exchange Rates, Londra: John Wiley, 203-38.
  • Sarno, L. & M.P. Taylor (1998), “Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion”, Economics Letters, 60(2), 131-7.
  • Sarno, L. & M.P. Taylor (2002), The Economics of Exchange Rates, Cambridge: Cambridge University Press.
  • Sarno, L. & G. Valente (2006), “Deviations from Purchasing Power Parity under Different Exchange Rate Regimes: Do They Revert and, If So, How?”, Journal of Banking and Finance, 30(11), 3147-69.
  • Sarno, L. (2005), “Viewpoint: Towards A Solution to The Puzzles In Exchange Rate Economics: Where Do We Stand?”, Canadian Journal of Economics, 38(3), 673-708.
  • Sarno, L. & M.P. Taylor & I. Chowdhury (2004), “Nonlinear Dynamics in Deviations from the Law of One Price: A Broad-based Empirical Study”, Journal of International Money and Finance, 23(1), 1-25.
  • Stock, J.H. & M.W. Watson (1988), “Testing for Common Trends”, Journal of the American Statistical Association, 83(404), 1097-107.
  • Taylor, M.P. & L. Sarno (1998), “The Behavior of Real Exchange Rates during the Post-Bretton Woods Period”, Journal of International Economics, 46(2), 281-312.
  • Taylor, M.P. & D.A. Peel & L. Sarno (2001), “Nonlinear Mean Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles”, International Economic Review, 42(4), 1015-42.
  • Tica, J. & I. Druzic (2006), “The Harrod Balassa Samuelson Effect: A Survey of Empirical Evidence”, University of Zagreb Faculty of Economics and Business Working Paper Series, 686.
  • Tong, H. (1990), Nonlinear Time Series: A Dynamical System Approach, Oxford: Oxford University Press.
  • Visser, H. (2004), A Guide to International Monetary Economics: Exchange Rate Theories, Systems and Policies, Third Edition, Cheltenham: Edward Elgar Publishing.
  • Williams, J.C. & B.D. Wright (1991), Storage and Commodity Markets, Cambridge: Cambridge University Press.
  • Zellner, A. (1962), “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias”, Journal of the American Statistical Association, 57(298), 348-68.
Toplam 100 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Giray Gözgör

Yayımlanma Tarihi 6 Nisan 2015
Gönderilme Tarihi 6 Nisan 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 23 Sayı: 24

Kaynak Göster

APA Gözgör, G. (2015). Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması. Sosyoekonomi, 23(24), 23-37. https://doi.org/10.17233/se.70193
AMA Gözgör G. Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması. Sosyoekonomi. Nisan 2015;23(24):23-37. doi:10.17233/se.70193
Chicago Gözgör, Giray. “Tek Fiyat Kanunu Ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması”. Sosyoekonomi 23, sy. 24 (Nisan 2015): 23-37. https://doi.org/10.17233/se.70193.
EndNote Gözgör G (01 Nisan 2015) Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması. Sosyoekonomi 23 24 23–37.
IEEE G. Gözgör, “Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması”, Sosyoekonomi, c. 23, sy. 24, ss. 23–37, 2015, doi: 10.17233/se.70193.
ISNAD Gözgör, Giray. “Tek Fiyat Kanunu Ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması”. Sosyoekonomi 23/24 (Nisan 2015), 23-37. https://doi.org/10.17233/se.70193.
JAMA Gözgör G. Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması. Sosyoekonomi. 2015;23:23–37.
MLA Gözgör, Giray. “Tek Fiyat Kanunu Ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması”. Sosyoekonomi, c. 23, sy. 24, 2015, ss. 23-37, doi:10.17233/se.70193.
Vancouver Gözgör G. Tek Fiyat Kanunu ve Satın Alma Gücü Paritesi Hipotezine İlişkin Ampirik Bulgular: Bir Literatür Taraması. Sosyoekonomi. 2015;23(24):23-37.