SATINALMA GÜCÜ PARİTESİ TEORİSİNİN DÖVİZ KURU BELİRLEME MODELİ OLABİLİRLİĞİ ÜZERİNE AMPİRİK BİR İNCELEME: TÜRKİYE ÖRNEĞİ

Year 2015, Volume: 15 Issue: 4, 1 - 34, 30.12.2015

Ahmet Güney Hail Tunalı

Abstract

Bu çalışmada,
1990:01-2014:12 dönemi USD/TL döviz kuru için satınalma gücü paritesi
teorisinin geçerliliği test edilmiştir. Çalışmanın iki temel amacı
bulunmaktadır. İlk olarak, Türkiye'de PPP'nin geçerli bir döviz kuru belirleme
modeli olup olmadığını tespit etmek. İkinci olarak ise, fiyat endeks
tercihlerinin ve kullanılan ekonometrik yöntemlerin PPP'nin geçerliliğini etkileyip
etkilemediğini ortaya koymaktır. Bu kapsamda, Tüketici ve Üretici Fiyat
Endeksine dayalı reel döviz kuru için; ADF, DF-GLS ve PP birim kök testleri ve
nominal döviz kuru ve ülkeler arası fiyat farkı değişkenleri için Engle-Granger
(1987) ve Johansen (1988) koentegrasyon testleri uygulanmıştır. Birim kök test sonuçları (sabitli+trendli),
Türkiye'de PPP'nin hem üretici fiyat endeksine göre geçersiz bir yaklaşım
olduğunu göstermiştir. Diğer taraftan koentegrasyon ve birim kök testleri
(sabitli) ise, sadece PPI'a dayalı analizlerin PPP lehine sonuçlar verdiğini
göstermiştir. Bu sonuçlar altında PPP'nin, her nekadar kısa dönemli sapmalar
gösterse de uzun dönemde USD/TL döviz kuru için geçerli bir teori olduğu diğer
bir ifadeyle kur hareketleri için genel bir eğilim sunduğu düşünülmektedir.

Keywords

Birim Kök Testleri, Satınalma Gücü Paritesi, Döviz Kuru, Koentegrasyon

References

• Abumustafa, Naser I. ve Mete Feridun (2010). “Explaining The Long- Term Real Equilibrium Exchange Rates Through Purchasing Power Parity: An Emprical Investigation on Egypt, Jordan and Turkey”. African Journal of Business Management 4 (7): 1260- 1265. Alba, Joseph Dennis ve Donghyun Park (2003). "Purchasing Power Parity in Developing Countries: Multi-Period Evidence Under The Current Float". World Development 31: 2049-2060. Alba, Joseph Dennis ve Donghyun Park (2005). "An Emprical Investigation of Purchasing Power Parity (PPP) for Turkey". Journal of Policy Modeling 27: 989-1000. Ardeni, Pier Giorgio ve Diego Lubian (1991). "Is There Trend Reversion in Purchasing Power Parit?". European Economic Review 35: 1035-1055. Arize, Augustine C., John Malindretos ve Kiseok Nam (2010). "Cointegration, Dynamic Structure, and The Validity of Purchasing Power Parity in African Countries". International Review of Economics and Finance 19: 755-768. Baillie, Richard ve David D. Selover (1987). "Cointegration and Models of Exchange Rate Determination". International Journal of Forecasting 3: 43-51. Bilson, John F.O. (1978). "The Monetary Approach To The Exchange Rate: Some Emprical Evidence". International Monetary Fund 25(1): 48-75. Bunting, Frederick H. (1939). "The Purchasing Power Parity Theory Reexamined". Southern Economic Journal 5(3): 282-301. Caner, Mehmet ve Bruce E. Hansen (2001). "Threshold Autoregression With a Unit Root". Econometrica 69(6): 1555-1596. Cassel, Gustav (1921). The World’s Monetary Problems. London: Constable & Co. Cassel, Gustav (1922). Money and Foreign Exchange After 1914. New York: MacMillan. Chang, Tsangyao, De-Piao Tang, Wen-Chi Liu ve Chia-Hao Lee (2010). "Purchasing Power Parity for 15 COMESA and SADC Countries: Evidence Based on Panel SURADF Tests". Applied Economics Letters 17: 1721-1727. Cheung, Yin-Wong ve Kon S. Lai (1994). “Mean Reversion in Real Exchange Rates”. Economics Letters 46: 251-256. Chortareas, Georgios ve George Kapetanios (2009). "Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels". Journal of Banking & Finance 33: 390-404. Corbae, Dean ve Sam Ouliaris (1988). “Cointegration and Tests of Purchasing Power Parity". The Review of Economics and Statistics 70(3): 508-511. Doğanlar, Murat, Harun Bal ve Mehmet Özmen (2009). "Testing Long- Run Validity of Purchasing Power Parity for Selected Emerging Market Economies". Applied Economic Letters 16: 1443-1448. Dornbusch, Rudiger (1976). “Expectations and Exchange Rate Dynamics”. Journal of Politiical Economy, 84(6): 1161-1176. Dornbusch, Rudiger (1985). “Purchasing Power Parity”. NBER Working Papers 1591. Einzig, Paul (1937). The Theory of Forward Exchange. London: Macmillan. Elliott, Graham, Rothenberg Thomas J. ve Stock James H. (1996). "Efficient Tests For An Autoregressive Unit Root". Econometrica 64(4): 813-836. Enders, Walter (1988). "ARIMA and Cointegration Tests of PPP Under Fixed and Flexible Exchange Rate Regime". The Review of Economics and Statistics 70(3): 504-508. Enders, Walter (1989). "Unit Roots and The Real Exchange Rate Before World War I: The Case of Britain and The USA". Journal of International Money and Finance 8: 59-73. Enders, Walter (2015). Applied EconometricTime Series. Hoboken, USA: John Wiley & Sons, Fourth Edition. Engel, Charles ve Granger Clive W. (1987). "Co-Integration and Error Correction: Representation, Estimation and Testing". Econometrica 55: 251-276. Erlat, Haluk (2003). "The Nature of Persistence In Turkish Real Exchange Rates". Emerging Markets Finance & Trade 39(2): 70-97. Fisher, Eric O'N ve Joon Y. Park (1991). "Testing Purchasing Power Parity Under The Null Hypothesis of Co-Ontegration". The Economic Journal 101(409): 1476-1484. Francis, Bill, Iftekhar Hasan ve James R. Lothian (2001). “The Monetary Approach to Exchange Rates and The Behavior of The Canadian Dollar over The Long Run”. Applied Financial Economics 11(5): 475-481. Frankel, Jeffrey A. (1979). “On The Mark: A Theory of Floating Exchange Rates on Real Interest Differentials”. American Economic Review 69(4): 610-622. Frenkel, Jacob A, (1980). “Exchange Rates, Pices, and Money: Lessons from The 1920’s”. The American Economic Review 70(2): 235 – 242. Frenkel, Jacob A. (1976). "A Monetary Approach to The Exchange Rate: Doctrinal Aspects and Emprical Evidence". The Scandinavian Journal of Economics 78(2): 200-224. Frenkel, Jacob A. (1981). “The Collapse of purchasing power Parities During The 1970’s”, European Economic Review 16: 145 – 165. Froot, Kenneth ve Kenneth Rogoff (1994). “Perspectives On PPP And Long-Run Real Exchange Rates”. NBER Working Paper Series 4952. Genberg, Hans (1978). "Purchasing Power Parity Under Fixed and Flexible Exchange Rates". Journal of International Economics 8: 247-276. Güney, Ahmet (2015). Döviz Kuru Teorileri ve Türkiye'de Döviz Kurunun Belirleyicileri. Yayımlanmamış Doktora Tezi. İstanbul: İstanbul Üniversitesi Sosyal Bilimler Enstitüsü. Hakkio, Craig S. (1982). "A Reexamination of Purchasing Power Parity: A Multi-Country and Multi-Period Study". NBER Working Paper 865. Harris, Richard, Sollis, Robert (2003). Applied Time Series Modelling And Forecasting. West Sussex, England: Wiley. He, Huizhen ve Tsangyao Chang (2013). "Purchasing Power Parity in Transtion Countries: Sequential Panel Selection Method". Economic Modelling 35: 604-609. He, Huizhen, Omid Ranjbar ve Tsangyao Chang (2013). "Purchasing Power Parity in Transition Countries: Old wine With New Bottle". Japan and The World Economy 28: 24-32. Hodgson, John S., Patricia Phelp (1975). "The Distributed Impact of Price-Level Variation on Floating Exchange Rates". The Review of Economics and Statistics 57(1): 58-64. Holmes, James Mark (2001). "New Evidence on Real Exchange Rate Stationary and Purchasing Power Parity in Less Developed Countries". Journal of Macroeconomics 23(4): 601-614. Hsing, Yu (2009). "The Determination of The Costa Rica Colon/USD Exchange Rate". The International Journal of Business and Finance Research, 3(1): 79-87. Hung, Mao-Wei ve Yin-Ching Jan (2002). “Use of Deviations of Purchasing Power Parity to Clarify The 1997 Asian Financial Crisis”. Review of Pacific Basin Financial Markets and Policies 5(2): 195-218. Johansen, Soren (1988). "Statistical Analysis of Cointegrating Factors". Journal of Economic Dynamics and Control 12: 231-254. Kapetanios, G, Yongcheol Shin ve Andy Snell (2003). "Testing For A Unit Root In The Nonlinear STAR Framework". Journal of Econometrics 112(2): 359-379. Kargbo, Joseph M. (2003). "Cointegration Tests of Purchasing Power Parity In Africa". World Development 31(10): 1673-1685. Khan, Muhammad Arshad ve Abdul Qayyum (2007). “Exchange Rate Determination in Pakistan: Evidence Based on Purchasing Power Parity Theory”. Pakistan Economic and Social Review 45(2): 181- 202. Kim, Yoonbai (1990). “Purchasing Power Parity in The Long Run: A Cointegration Approach”. Journal of Money, Credit and Banking 22(4): 491-503. Koukouritakis, Minoas (2009). “Testing The Purchasing Power Parity: Evidence From The New EU Countries”. Applied Economics Letters 16(1): 39-44. Krugman, Paul R. (1978). "Purchasing Power Parity And Exchange Rates, Another Look at The Evidence". Journal of International Economics 8(3): 397-407. Leybourne, Stephen, Paul Newbold ve Dimitrios Vougas (1998). "Unit Roots and Smooth Transtions". Journal of Time Series Analysis 19: 83-97. MacDonald, Ronald (2007). Exchange Rate Economics. London and New York: Routledge, Taylor & Francis Group. MacDonald, Ronald ve Mark P. Taylor (1993). "The Monetary Approach To The Exchange Rate: Rational Expectations, Long-Run Equilibrium and Forecasting". International Monetary Fund 40(1): 89-107. Mahdavi, Saeid ve Su Zhou (1994). "Purchasing Power PArity in High- Inflation Countries: Further Evidence". Journal of Macroeconomics 16(3): 403-422. Nusair, Salah A. (2003). "Testing The Validity of Purchasing Power Parity For Asian Countries During The Current Float". Journal of Economic Development 28(2): 129-147. Officer, Lawrance H. (1976). “The Purchasing Power Parity Theory of Exchange Rates: A Review Article”. International Monetary Fund Staff Papers 23: 1-60. Phillips, Peter C.B. ve Perron Pierre (1988). "Testing For A Unit Root In Time Series Regression", Biometrika 75(2):335-346. Rogoff, Kenneth (1996). “The Purchasing Power Parity Puzzle”. Journal of Economic Literature 34(2): 647-668. Salehizadeh, Mehdi ve Robert Taylor (1999). "A Test of Purchasing Power Parity for Emerging Economies". Journal of International Financial Markets, Institutions and Money 9: 183-193. Sarno, Lucio (2005). “Towards A Solution to The Puzzles in Exchange Rate Economics: Where do We Stand”. The Canadian Journal of Economics 38(3): 673-708. Sevüktekin, Mustafa ve Nargeleçekenler, Mehmet (2005). Zaman Serileri Analizi. Ankara: Nobel Yayın Dağıtım. Shively, Philip (2001a). "A Test of Long-Run Purchasing Power Parity". Economics Letters 73: 201-205. Shively, Philip (2001b). "Trend-Stationary GNP: Evidence From a New Exact Pointwise Most Powerful Invariant Unit Root Test". Journal of Applied Econometrics 16(4): 537-551. Sideris, Dimitrios (2004). "Testing For Long-Run PPP In A System Context: Evidence For The US, Germany and Japan". Bank of Greece Working Paper 19. Sollis, Robert (2004). "Asymmetric Adjustment and Smooth Transitions: A Combination of Some Unit Root Tests". Journal of Time Series Analysis 25: 409-417. Su, Jen-Je, Adrian Cheung ve Eduardo Roca (2014). "Does Purchasing Power Parity Hold? New Evidence From Wild-Bootstarpt Non Linear Unit Root Tests in The Presence of Heteroskedasticity". Economic Modelling 34: 161-171. Taştan, Hüseyin (2005). "Do Real Exchange Rates Contain A Unit Root? Evidence From Turkish Data". Applied Economics 37: 2037-2053. Taylor, Alan M ve Mark P. Taylor (2004). “The Purchasing Power Parity Debate”, Journal of Economic Perspectives 18(4): 135-158. Taylor, Mark P, David A. Peel ve Lucio Sarno (2001). "Nonlinear Mean- Reversion in Real Exchange Rates:Toward A Solution to The Purchasing Power Parity Puzzles". International Economic Review 42(4): 1015-1042. Taylor, Mark P. ve Patrick C. McMahon (1988). "Long-Run Purchasing Power Parity in The 1920s". European Economic Review 32: 179- 197. Telatar, Erdinç ve Kazdağlı Hasan (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: 51-53. Temurlenk, Sinan (1999). "Weak and Strong Form Tests For Purchasing Power Parity: Evidence From Turkey". Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi 13(1): 197-206. Terborgh, G. W. (1926). "The Purchasing Power Parity Theory". Journal of Political Economy 34(2): 197-208. Thrilwall, Anthony P. ve Heather D. Gibson (1992). Balance of Payments Theory and United Kingdon Experience, London: MacMillan, Fourth Edition. Xu, Zhenhui (1999). "The Exchange Rate and Long-Run Price Movements in The US and Japan". Applied Economics Letters 6: 227-230. Zhou, Su (1997). "Purchasing Power Parity in High-Inflation Countries: A Cointegration Analysis of Integrated Variables With Trend Breaks". Southern Economic Journal 64(2): 450-467.