Satın Alma Gücü Paritesinin Azerbaycan, Kazakistan ve Kırgızistan İçin Geçerliliği: Birim Kök ve Eşbütünleşme Analizi

Year 2013, Issue: 64, 259 - 284, 01.06.2013

Turhan Korkmaz Emrah İsmail Çevik Nüket Kırcı Çevik

Abstract

Bu çalışmada Azerbaycan, Kazakistan ve Kırgızistan’da satın alma gücü paritesi hipotezinin geçerliliği geleneksel birim kök ve eşbütünleşme testleri yanında yapısal kırılmaları dikkate alan birim kök ve eşbütünleşme testleri ile de araştırılmıştır. Geleneksel birim kök ve eşbütünleşme testleri bu ülkelerde satın alma gücü paritesi hipotezinin geçerli olmadığını; buna karşın yapısal kırılmaları dikkate alan testler hipotezin geçerli olduğu sonucunu vermiştir. Ayrıca, 1998 yılında Rusya’da yaşanan ekonomik krizin söz konusu ülkelere ait döviz kurları serilerinde yapısal kırılmalara neden olacak derecede etkili olduğu sonucuna varılmıştır

Keywords

Satın Alma Gücü Paritesi, Birim Kök, Eşbütünleşme, Yapısal Kırılma

The Validity of Purchasing Power Parity for Azerbaijan, Kazakhstan, and Kyrgyzstan: Evidence from Unit Root and Co-integration Tests

Abstract

In this study, we examine the validity of purchasing power parity by applying unit root and co-integration tests which allow structural breaks in Azerbaijan, Kazakhstan, and Kyrgyzstan. Although conventional unit root and co-integration tests results indicate that purchasing power parity does not hold in these countries, we determine the validity of purchasing power parity according to unit root and co-integration tests which allow structural breaks. Also, we conclude that the exchange rate of these countries has been affected by the Russian financial crises of 1998 and that the crisis in question has led to structural breaks in the exchange rates of these countries.

Keywords

Purchasing Power Parity, Unit Root, Co-integration, Structural Break

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