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Investigation of Validity Purchasing Power Parity Hypothesis for Turkey: Non-Linear Unit Root Test

Year 2024, Volume: 8 Issue: 1, 22 - 39, 30.06.2024

M. Can Yardımcı

https://doi.org/10.46452/baksoder.1389033

Abstract

The law of one price establish a basic framework of purchasing power parity. The validity of the purchasing power parity hypothesis is still debated in the literature. This paper examines validity purchasing power parity hypothesis for Turkey under structural breaks and non-linearity conditions. It is tested using times-series unit root tests over the period of 2013-2023. Real exchange rate data is used in this study and this data is collected from TCMB. ADF, DF-GLS, Ziwot-Andrews, Lee-Strazicich and ESTAR unit root tests are implemented in the study. The obtained result from study displays that purchasing power parity hypothesis is valid for Turkey.

Keywords

Non- Linear Unit Root Test Purchasing Power Parity Hypothesis

References

  • Acaravci, S. K. and Acaravci, A. (2007). Nonstationarity and the level shift for Turkish real exchange rates. Empirical Economic Letter, 6, 517- 523.
  • Alba, J. D. and Park, D. (2005). Non-linear mean reversion of real exchange rates and purchasing power parity: some evidence from Turkey. Applied Economics Letters, 12(11), 701-704. Aydın, M. (2019). Satın alma gücü paritesi hipotezi geçerliliğinin fourier birim kök testleri ile incelenmesi: Türkiye örneği. Ekoist: Journal of Econometrics and Statistics, (30), 35-48
  • Bai, J. and Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18: 1-22.
  • Bahmani-Oskooee, M., Chang, T., Chen, T. H. and Tzeng, H. W. (2017). Revisiting purchasing power parity in Eastern European countries: quantile unit root tests. Empirical Economics, 52, 463-483.
  • Bahramian, P. and Saliminezhad, A. (2021). Revisiting purchasing power parity in the ASEAN-5 countries: evidence from the Fourier quantile unit root test. Applied Economics Letters, 28(13), 1104-1109.
  • Büyükkantarcı Tolgay, S. ve Kula, F. (2020). Purchasing power parity testing unit root tests with structural break in Turkey. Revista Economică, 71(1), 89-98.
  • Cassel, G. (1918). Abnormal deviations in international exchanges. The Economic Journal, 28(112), 413-415.
  • Choi, I. (2001). Unit root tests for panel data. Journal of international money and Finance, 20(2), 249-272.
  • Choji, N. M. and Sek, S. K. (2023). Purchasing power parity theory: a cross-sectional dependence panel data analysis of sixteen developed countries. Journal of Computational Innovation and Analytics (JCIA), 2(1), 89-106.
  • Cuestas, J. C. and Regis, P. J. (2013). Purchasing power parity in OECD countries: Nonlinear unit root tests revisited. Economic Modelling, 32, 343-346.
  • Dickey, D. A. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
  • Dickey, D. A. and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072.
  • Doğanlar, M., Kızılkaya, O. and Mike, F. (2020). Testing the long-run PPP for Turkey: new evidence from the Fourier quantile unit root test. Applied economics letters, 27(9), 729-735.
  • Elliott, G., Rothenberg, T. J. and Stock, J. H. (1996). Efficient Tests for an Autoregressive Unit Root. Econometrica: Journal of the Econometric Society, 813-836.
  • Emirmahmutoğlu, F. and Omay, T. (2014). Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test. Economic Modelling, 40, 184-190.
  • Erdal, B. and Pınar, A. (2014). The validity of the purchasing power parity in intermediate and flexible exchange rate regimes: empirical evidence from Turkey. Journal of Economics and International Finance, 6(10), 249-252.
  • Erlat, H. (2003). The nature of persistence in Turkish real exchange rates. Emerging Markets Finance and Trade, 39(2), 70-97.
  • Güney, A. ve Tunalı, H. (2015). Satın alma gücü paritesi teorisinin döviz kuru belirleme modeli olabilirliği üzerine ampirik bir inceleme: Türkiye örneği. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15 (4) , 1-34.
  • Gür, B. (2022). Çoklu kırılmalı birim kök yardımıyla satın alma gücü paritesinin Türkiye için analizi. Eurasian Econometrics Statistics & Emprical Economics Journal, 1, 32-42.
  • Güriș, B. and M. Tiraşoğlu. (2018).The validity of purchasing power parity in BRICS countries. Prague Economic Papers, University of Economics, 4 (4): 417–26.
  • Han, A. (2022). Satın alma gücü paritesi̇ hipotezinin sınanması; doğrusal olmayan birim kök testlerinden kanıtlar. International Journal of Educational and Social Sciences, 1(1), 82-102.
  • Hüseyin, T. (2005). Do real exchange rates contain a unit root? Evidence from Turkish data. Applied Economics, 37(17), 2037-2053.
  • Im, K. S., Lee, J. and Tieslau, M. (2005). Panel LM unit‐root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3), 393-419.
  • Kalyoncu, H. (2009). New evidence of the validity of purchasing power parity from Turkey. Applied Economics Letters, 16(1), 63-67.
  • Kapetanios, G. and Shin, Y. (2008). GLS detrending-based unit root tests in nonlinear STAR and SETAR models. Economics Letters, 100(3), 377-380.
  • Kapetanios, G., Shin, Y. and Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of econometrics, 112(2), 359-379.
  • Karagöz, K. and Saraç, T. B. (2016). Testing the validity of PPP theory for Turkey: nonlinear unit root testing. Procedia economics and finance, 38, 458-467.
  • Kum, H. (2012). The Impact of structural break(s) on the validity of purchasing power parity in Turkey: evidence from Zivot-Andrews and lagrange multiplier unit root tests. International Journal of Economics and Financial Issues, 2 (3), 241-245.
  • Lee, J. and Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of economics and statistics, 85(4), 1082-1089.
  • Nazlıoğlu, S., Altuntaş, M., Kılıç, E. and Küçükkkaplan, I. (2022). Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity. Applied Economic Analysis, 30(90), 176-195.
  • Özbek, S. (2020). Türkiye’de reel döviz kuru durağan mı? geleneksel ve yapısal kırılmalı durağanlık testlerinden kanıtlar. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(7), 155-164.
  • Özdemir, Z. A. (2008). The purchasing power parity hypothesis in Turkey: evidence from nonlinear STAR error correction models. Applied Economics Letters, 15(4), 307-311.
  • Özkan, F. (2003). Denge reel kur hesaplama yöntemleri ve reel kur dengesizliğinin ölçülmesi: Türk lirası üzerine bir çalışma. TCMB Uzmanlık Tezi: Ankara.
  • Paparoditis, E. and Politis, D. N. (2018). The asymptotic size and power of the augmented Dickey–Fuller test for a unit root. Econometric Reviews, 37(9), 955-973.
  • Papell, D. H. and Prodan, R. (2006). Additional evidence of long-run purchasing power parity with restricted structural change. Journal of Money, Credit and Banking, 38(5), 1329-1349.
  • Rogoff, K. (1996). The purchasing power parity puzzle. Journal of Economic literature, 34(2), 647-668.
  • Sarno, L. (2000). Real Exchange rate behavior in high inflation countries: empirical evidence from Turkey, 1980-1997. Applied Economics Letters, 7(5), 285-291.
  • Seyrek, İ. (2003). Purchasing power parity and the Turkish exchange rate. Akdeniz İİBF Dergisi, 3(6), 151-170.
  • Su, C. W., Chang, H. L., Chang, T. and Lee, C. H. (2012). Purchasing power parity for BRICS: Linear and nonlinear unit root tests with stationary covariates. Applied Economics Letters, 19(16), 1587-1591.
  • Taylor, A. M. and Taylor, M. P. (2004). The purchasing power parity debate. Journal of Economic Perspectives, 18(4), 135-158.
  • Telatar, E. and Kazdağlı, H. (1998). Re-examine the long-run purchasing power parity hypothesis for a high inflation country: the case of Turkey 1980-93. Applied Economics Letters, 5(1), 51-53.
  • Vasconcelos, C. R. F. and Júnior, L. A. L. (2016). Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests. EconomiA, 17(1), 114-125.
  • Yazgan, M. E. (2003). The Purchasing power parity hypothesis for a high inflation country: a re-examination of the case of Turkey. Applied Economics Letters, 10(3), 143-147.
  • Yıldırım, D. (2017). Empirical investigation of purchasing power parity for Turkey: Evidence from recent nonlinear unit root tests. Central Bank Review, 17(2), 39-45.
  • Yıldırım, K., Mercan, M. ve Kostakoğlu, F. (2013). Satın alma gücü paritesinin geçerliliğinin test edilmesi: zaman serisi ve panel veri analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 8(3), 75-95.
  • Yıldırım, S. ve Yıldırım, Z. (2012). Reel efektif döviz kuru üzerinde kırılmalı birim kök testleri ile Türkiye için satın alma gücü paritesi hipotezinin geçerliliğinin sınanması. Marmara Üniversitesi İ.İ.B.F. Dergisi, 33(2), 221-238.
  • Zengin, G. ve Yanar, R. (2018). Satın alma gücü paritesi yapısal kırılmalar altında Türkiye örneği: 2003-2018. Al Farabi Uluslararası Sosyal Bilimler Dergisi, 2(4), 158-164 .
  • Zivot, E. and Andrews, D. (1992). Further evidence of great crash, the oil price shock and unit root hypothesis, Journal of Business and Economic Statistics, 10, 251-270.

Satın Alma Gücü Paritesi Hipotezinin Türkiye İçin Geçerliliğinin Araştırılması: Lineer Olmayan Birim Kök Testi

Year 2024, Volume: 8 Issue: 1, 22 - 39, 30.06.2024

M. Can Yardımcı

https://doi.org/10.46452/baksoder.1389033

Abstract

Tek fiyat kanunu, satın alma gücü paritesinin temel çerçevesini oluşturur. Satın alma gücü paritesi hipotezinin geçerliliği literatürde halen tartışılmaktadır. Bu çalışma, Türkiye için satın alma gücü paritesi hipotezinin yapısal kırılmalar ve doğrusal olmama koşullarında geçerliliğini incelemektedir. Bu hipotez zaman serisi birim kök sınamaları kullanılarak 2013-2023 dönemi için test edilmiştir. Çalışmada reel döviz kuru verileri kullanılmaktadır ve bu veriler TCMB'den elde edilmiştir. ADF, DF-GLS, Ziwot- Andrews, Lee-Strazicich ve ESTAR birim kök sınamalarına çalışmada yer verilmiştir. Çalışma sonucunda elde edilen bulgu, satın alma gücü paritesi hipotezinin Türkiye için geçerli olduğunu göstermektedir.

Keywords

Doğrusal Olmayan Birim Kök Satın Alma Gücü Paritesi Hipotezi ESTAR Model

References

  • Acaravci, S. K. and Acaravci, A. (2007). Nonstationarity and the level shift for Turkish real exchange rates. Empirical Economic Letter, 6, 517- 523.
  • Alba, J. D. and Park, D. (2005). Non-linear mean reversion of real exchange rates and purchasing power parity: some evidence from Turkey. Applied Economics Letters, 12(11), 701-704. Aydın, M. (2019). Satın alma gücü paritesi hipotezi geçerliliğinin fourier birim kök testleri ile incelenmesi: Türkiye örneği. Ekoist: Journal of Econometrics and Statistics, (30), 35-48
  • Bai, J. and Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18: 1-22.
  • Bahmani-Oskooee, M., Chang, T., Chen, T. H. and Tzeng, H. W. (2017). Revisiting purchasing power parity in Eastern European countries: quantile unit root tests. Empirical Economics, 52, 463-483.
  • Bahramian, P. and Saliminezhad, A. (2021). Revisiting purchasing power parity in the ASEAN-5 countries: evidence from the Fourier quantile unit root test. Applied Economics Letters, 28(13), 1104-1109.
  • Büyükkantarcı Tolgay, S. ve Kula, F. (2020). Purchasing power parity testing unit root tests with structural break in Turkey. Revista Economică, 71(1), 89-98.
  • Cassel, G. (1918). Abnormal deviations in international exchanges. The Economic Journal, 28(112), 413-415.
  • Choi, I. (2001). Unit root tests for panel data. Journal of international money and Finance, 20(2), 249-272.
  • Choji, N. M. and Sek, S. K. (2023). Purchasing power parity theory: a cross-sectional dependence panel data analysis of sixteen developed countries. Journal of Computational Innovation and Analytics (JCIA), 2(1), 89-106.
  • Cuestas, J. C. and Regis, P. J. (2013). Purchasing power parity in OECD countries: Nonlinear unit root tests revisited. Economic Modelling, 32, 343-346.
  • Dickey, D. A. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
  • Dickey, D. A. and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072.
  • Doğanlar, M., Kızılkaya, O. and Mike, F. (2020). Testing the long-run PPP for Turkey: new evidence from the Fourier quantile unit root test. Applied economics letters, 27(9), 729-735.
  • Elliott, G., Rothenberg, T. J. and Stock, J. H. (1996). Efficient Tests for an Autoregressive Unit Root. Econometrica: Journal of the Econometric Society, 813-836.
  • Emirmahmutoğlu, F. and Omay, T. (2014). Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test. Economic Modelling, 40, 184-190.
  • Erdal, B. and Pınar, A. (2014). The validity of the purchasing power parity in intermediate and flexible exchange rate regimes: empirical evidence from Turkey. Journal of Economics and International Finance, 6(10), 249-252.
  • Erlat, H. (2003). The nature of persistence in Turkish real exchange rates. Emerging Markets Finance and Trade, 39(2), 70-97.
  • Güney, A. ve Tunalı, H. (2015). Satın alma gücü paritesi teorisinin döviz kuru belirleme modeli olabilirliği üzerine ampirik bir inceleme: Türkiye örneği. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15 (4) , 1-34.
  • Gür, B. (2022). Çoklu kırılmalı birim kök yardımıyla satın alma gücü paritesinin Türkiye için analizi. Eurasian Econometrics Statistics & Emprical Economics Journal, 1, 32-42.
  • Güriș, B. and M. Tiraşoğlu. (2018).The validity of purchasing power parity in BRICS countries. Prague Economic Papers, University of Economics, 4 (4): 417–26.
  • Han, A. (2022). Satın alma gücü paritesi̇ hipotezinin sınanması; doğrusal olmayan birim kök testlerinden kanıtlar. International Journal of Educational and Social Sciences, 1(1), 82-102.
  • Hüseyin, T. (2005). Do real exchange rates contain a unit root? Evidence from Turkish data. Applied Economics, 37(17), 2037-2053.
  • Im, K. S., Lee, J. and Tieslau, M. (2005). Panel LM unit‐root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3), 393-419.
  • Kalyoncu, H. (2009). New evidence of the validity of purchasing power parity from Turkey. Applied Economics Letters, 16(1), 63-67.
  • Kapetanios, G. and Shin, Y. (2008). GLS detrending-based unit root tests in nonlinear STAR and SETAR models. Economics Letters, 100(3), 377-380.
  • Kapetanios, G., Shin, Y. and Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of econometrics, 112(2), 359-379.
  • Karagöz, K. and Saraç, T. B. (2016). Testing the validity of PPP theory for Turkey: nonlinear unit root testing. Procedia economics and finance, 38, 458-467.
  • Kum, H. (2012). The Impact of structural break(s) on the validity of purchasing power parity in Turkey: evidence from Zivot-Andrews and lagrange multiplier unit root tests. International Journal of Economics and Financial Issues, 2 (3), 241-245.
  • Lee, J. and Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of economics and statistics, 85(4), 1082-1089.
  • Nazlıoğlu, S., Altuntaş, M., Kılıç, E. and Küçükkkaplan, I. (2022). Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity. Applied Economic Analysis, 30(90), 176-195.
  • Özbek, S. (2020). Türkiye’de reel döviz kuru durağan mı? geleneksel ve yapısal kırılmalı durağanlık testlerinden kanıtlar. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(7), 155-164.
  • Özdemir, Z. A. (2008). The purchasing power parity hypothesis in Turkey: evidence from nonlinear STAR error correction models. Applied Economics Letters, 15(4), 307-311.
  • Özkan, F. (2003). Denge reel kur hesaplama yöntemleri ve reel kur dengesizliğinin ölçülmesi: Türk lirası üzerine bir çalışma. TCMB Uzmanlık Tezi: Ankara.
  • Paparoditis, E. and Politis, D. N. (2018). The asymptotic size and power of the augmented Dickey–Fuller test for a unit root. Econometric Reviews, 37(9), 955-973.
  • Papell, D. H. and Prodan, R. (2006). Additional evidence of long-run purchasing power parity with restricted structural change. Journal of Money, Credit and Banking, 38(5), 1329-1349.
  • Rogoff, K. (1996). The purchasing power parity puzzle. Journal of Economic literature, 34(2), 647-668.
  • Sarno, L. (2000). Real Exchange rate behavior in high inflation countries: empirical evidence from Turkey, 1980-1997. Applied Economics Letters, 7(5), 285-291.
  • Seyrek, İ. (2003). Purchasing power parity and the Turkish exchange rate. Akdeniz İİBF Dergisi, 3(6), 151-170.
  • Su, C. W., Chang, H. L., Chang, T. and Lee, C. H. (2012). Purchasing power parity for BRICS: Linear and nonlinear unit root tests with stationary covariates. Applied Economics Letters, 19(16), 1587-1591.
  • Taylor, A. M. and Taylor, M. P. (2004). The purchasing power parity debate. Journal of Economic Perspectives, 18(4), 135-158.
  • Telatar, E. and Kazdağlı, H. (1998). Re-examine the long-run purchasing power parity hypothesis for a high inflation country: the case of Turkey 1980-93. Applied Economics Letters, 5(1), 51-53.
  • Vasconcelos, C. R. F. and Júnior, L. A. L. (2016). Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests. EconomiA, 17(1), 114-125.
  • Yazgan, M. E. (2003). The Purchasing power parity hypothesis for a high inflation country: a re-examination of the case of Turkey. Applied Economics Letters, 10(3), 143-147.
  • Yıldırım, D. (2017). Empirical investigation of purchasing power parity for Turkey: Evidence from recent nonlinear unit root tests. Central Bank Review, 17(2), 39-45.
  • Yıldırım, K., Mercan, M. ve Kostakoğlu, F. (2013). Satın alma gücü paritesinin geçerliliğinin test edilmesi: zaman serisi ve panel veri analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 8(3), 75-95.
  • Yıldırım, S. ve Yıldırım, Z. (2012). Reel efektif döviz kuru üzerinde kırılmalı birim kök testleri ile Türkiye için satın alma gücü paritesi hipotezinin geçerliliğinin sınanması. Marmara Üniversitesi İ.İ.B.F. Dergisi, 33(2), 221-238.
  • Zengin, G. ve Yanar, R. (2018). Satın alma gücü paritesi yapısal kırılmalar altında Türkiye örneği: 2003-2018. Al Farabi Uluslararası Sosyal Bilimler Dergisi, 2(4), 158-164 .
  • Zivot, E. and Andrews, D. (1992). Further evidence of great crash, the oil price shock and unit root hypothesis, Journal of Business and Economic Statistics, 10, 251-270.
There are 48 citations in total.

Details

Primary Language Turkish
Subjects Financial Economy
Journal Section Research Article
Authors

M. Can Yardımcı 0000-0002-2317-2249

Early Pub Date February 28, 2024
Publication Date June 30, 2024
Submission Date November 10, 2023
Acceptance Date February 23, 2024
Published in Issue Year 2024 Volume: 8 Issue: 1

Cite

APA Yardımcı, M. C. (2024). Satın Alma Gücü Paritesi Hipotezinin Türkiye İçin Geçerliliğinin Araştırılması: Lineer Olmayan Birim Kök Testi. Uluslararası Batı Karadeniz Sosyal Ve Beşeri Bilimler Dergisi, 8(1), 22-39. https://doi.org/10.46452/baksoder.1389033
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