Yükselen Piyasa Ekonomilerinde Uluslararası Satın Alma Gücü Paritesi: Panel Koentegrasyon Testlerinden Kanıtlar

Year 2014, Volume: 8 Issue: 1, 117 - 139, 01.06.2014

Önder Büberkökü

Abstract

Bu çalışmada 21 tane yükselen piyasa ekonomisinde uluslararası satın alma gücü paritesinin PPP geçerliliği panel koentegrasyon testleri kullanılarak incelenmiştir. Çalışmanın ilk aşamasında Pedroni 1999, 2004 , Kao 1999 ve Johansen Fisher 1999 panel koentegrasyon testlerinden yararlanılmıştır. Bu kapsamdaki bulgular yükselen piyasa ekonomilerinde PPP’nin zayıf formunun geçerli olduğuna işaret etmektedir. Bu da ilgili ekonomilerde denge döviz kurunun belirlenmesinde PPP’nin kullanılabileceği anlamına gelmektedir. Fakat yatay kesit bağımlılığını dikkate alan Westerlund 2007 testi kullanıldığında değişkenler arasında uzun dönemli bir ilişkinin olmadığı belirlenmiştir. Bu da panel veri analizlerinde varlığı durumunda yatay kesit bağımlılığının dikkate alınmasının önemli olduğuna işaret etmektedir

Keywords

Satın alma gücü paritesi, Panel koentegrasyon, Yükselen piyasa ekonomileri

Purchasing power parity for emerging markets: Evidence from panel cointegration tests

Abstract

This study examines the purchasing power parity PPP of 21 emerging markets using different panel co-integration tests. First, Pedroni 1999, 2004 , Kao 1999 and Johansen Fisher 1999 tests are applied and Pedroni 2000 panel FMOLS is used to estimate the long-run parameters. The results provide strong evidence for the weak version of PPP. Then, Westerlund 2007 panel co-integration test considering cross section dependency CD is employed. In contrast, at this time, results clearly indicate that PPP is not hold. Additionally, when 21 emerging markets are subdivided into emerging Asia, emerging Europe, emerging Latin America and Africa, similar results are found. Therefore, results point out the importance of considering the CD in panel co-integration tests. Based on this analysis, it is concluded that policymakers in these emerging markets should not use purchasing power parity to determine the equilibrium exchange rate

Keywords

Purchasing power parity, Panel cointegratin, Emerging markets

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