YAPISAL KIRILMALAR ALTINDA SATIN ALMA GÜCÜ PARİTESİ HİPOTEZİNİN GEÇERLİLİĞİ: AVRASYA ÜLKELERİ ÖRNEĞİ

Abstract

Çalışmanın amacı, Satın Alma Gücü Paritesi hipotezinin Avrasya Ülkeleri için panel veri analiz teknikleri kapsamında test edilmesidir. Çalışmada Satın Alma Gücü Paritesi hipotezinin geçerliliği hem mutlak hem de nispi Satın Alma Gücü Paritesi teorisi çerçevesinde araştırılmıştır. Mutlak satın alma gücü paritesi hipotezi, reel döviz kurunun sabit bir ortalama etrafında dağılmasını ifade etmektedir. Bununla birlikte, nispi satın alma gücü paritesi ise nominal döviz kuru ile nispi fiyatlar arasında uzun dönemli bir ilişki olduğunda geçerli olmaktadır. Bu çerçevede, çalışmada 10 Avrasya ülkesi (Ermenistan, Azerbaycan, Belarus, Gürcistan, Kazakistan, Kırgızistan, Moldova, Rusya, Ukrayna ve Türkiye) için 2002-2017 dönemini kapsayan aylık veriler kullanılmıştır.  Bu bağlamda, çalışmada yatay kesit bağımlılığını ve yapısal kırılmaları dikkate alan panel birim kök ve panel eş bütünleşme testlerinden yararlanılmıştır. Bulgular ele alınan ülkelerde hem mutlak hem de nispi Satın Alma Gücü Paritesi hipotezinin geçerli olduğunu göstermektedir. 

Keywords

• Satın Alma Gücü Paritesi,Avrasya Ülkeleri,Panel Veri Analizi

THE VALIDITY OF THE PURCHASING POWER PARITY HYPOTHESIS UNDER STRUCTURAL BREAKS: THE CASE OF EURASIAN COUNTRIES

Abstract

The aim of this study to examine the validity of the Purchasing Power Parity hypothesis for Eurasian Countries using panel data analysis methods. In this Study, the validity of the Purchasing Power Parity hypothesis has been investigated both within the absolute and relative Purchasing Power Parity theory. The absolute purchasing power parity hypothesis refers to the distribution of the real exchange rate around a fixed average. However, the relative purchasing power parity is valid when there is a long-term relationship between the nominal exchange rate and the relative prices. In this framework, the study used monthly data covering the period 2002-2017 for the 10 Eurasian countries (Armenia, Azerbaijan, Belarus, Georgia, Kazakhstan, Kyrgyz Republic, Moldova, Russian Federation, Ukraine and Turkey). In this context, panel unit root and panel cointegration tests taking into account cross-section dependency and structural breaks were used in the study. Findings show that both absolute and relative Purchasing Power Parity hypotheses are valid in the countries studied.

Keywords

• Purchasing Power Parity,Eurasian Countries,Panel Data Analysis

References

1. AMARA, Jomana (2011), “Testing for Stationarity Using Covariates: An Application to Purchasing Power Parity”, Applied Economics Letters, vol. 18, no. 13, pp. 1295-1301.
2. ASLAN, Nurdan & KANBUR, Nesligül, A. (2007), “Türkiye’de 1980 Sonrası Satın Alma Gücü Paritesi Yaklaşımı”, Marmara Üniversitesi İ.İ.B.F. Dergisi, cilt. 23, sayı. 2, ss. 9-43.
3. ASLAN, Özgür & KORAP, Levent (2009), “Are Real Exchange Rates Mean Reverting? Evidence from a Panel of Countries”, Applied Economics Letters, vol. 16, no. 1, pp. 23-27.
4. ASLAN, Alper., KULA, Ferit & KALYONCU, Hasan (2010), “Additional Evidence of Long-Run Purchasing Power Parity with Black and Official Exchange Rates”, Applied Economics Letters, vol. 17, no. 14, pp. 1379-1382.
5. BAHMANI-OSKOOEE, Mohsen, CHANG, Tsangyao & HUNG, Ken (2013), “Revisiting Purchasing Power Parity in Latin America: Sequential Panel Selection Method”, Applied Economics, vol. 45, no. 32, pp. 4584-4590.
6. BAHMANI-OSKOOEE, Mohsen, CHANG, Tsangyao, ELMI, Zahra, M, GELAN, Abera & RANJBAR, Omid (2017), “Non-linear Quantile Unit Root Test and PPP: More Evidence from Africa”, Applied Economics Letters, vol. 25, no. 7, pp. 465-471.
7. BASHER, Syed, A. & MOHSİN, Mohammed (2004), “PPP Tests in Cointegrated Panels: Evidence from Asian Developing Countries”, Applied Economics Letters, vol. 11, no. 3, pp. 163-166.
8. BOZOKLU, Şeref & YILANCI, Veli (2010), “Reel Döviz Kurlarının Durağanlığı: E7 Ülkeleri için Ampirik Bir İnceleme”, Maliye Dergisi, sayı. 158, ss. 587-606.

9. BREUSCH, Trevor, S. & PAGAN, Adrian, R. (1980), “The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics”, The Review of Economic Studies, vol. 47, no. 1, pp. 239-253.
10. CARRION-I‐SILVESTRE, Lluis., BARRIO-CASTRO, Tomás Del J. & ENRIQUE, López‐Bazo (2005), “Breaking the Panels: An Application to the GDP Per Capita”, The Econometrics Journal, vol. 8, no. 2, pp. 159-175.
11. CASSEL, Gustav (1918), “Abnormal Deviations in International Exchanges”, The Economic Journal, vol. 28, no. 112, pp. 413-415.
12. CHANG, Tsangyao (2012), “Nonlinear Adjustment to Purchasing Power Parity in China”, Applied Economics Letters, vol. 19, no. 9, pp. 843-848.
13. CHANG, Hsu-Ling & SU, Chi-Wei (2010), “Revisiting Purchasing Power Parity for Major OPEC Countries: Evidence Based on Nonlinear Panel Unit Root Tests”, Applied Economics Letters, vol. 17, no. 11, pp. 1119-1123.
14. CHANG, Hsu-Ling, SU, Chi-Wei, ZHU, Meng-Nan & LIU, Pei (2010), “Long-run Purchasing Power Parity and Asymmetric Adjustment in BRICS”, Applied Economics Letters, vol. 17, no. 11, pp. 1083-1087.
15. CHANG, Tsangyao, CHANG, Hsu-Ling., HUNG, Kei & SU, Chi-Wei (2012), “Nonlinear Adjustment to Purchasing Power Parity for Germany’s Real Exchange Rate Relative to its Major Trading Partners”, Applied Economics Letters, vol. 19, no.2, pp. 197-202.
16. CHANG, Tsangyao, LEE, Chia-Hao & CHOU, Pei-I (2012), “Nonlinear Adjustment to Purchasing Power Parity in G7 Countries”, Applied Economics Letters, vol. 19, no. 2, pp. 123-128.
17. CHANG, Tsongyao, LIU, Wen-Chi, TZENG, Han-Wen & YU, Chin-Ping (2010), “Purchasing Power Parity for G7 Countries: Panel SURADF Tests”, Applied Economics Letters, vol. 17, no. 12, pp. 1223-1228.
18. CHANG, Tsangyao, LEE, Kuei-Chiu, LU, Yang-Cheng R. & PAN, Guochen (2011), “Revisiting Purchasing Power Parity for G-7 Countries Using Nonparametric Rank Test for Cointegration”, Applied Economics Letters, vol. 18, no. 18, pp. 1795-1800.
19. CHANG, Tsangyao, SU, Chi-Wei & LEE, Chia-Hao (2012), “Nonlinear Adjustment to Purchasing Power Parity with Flexible Fourier Function in G7 Countries”, Applied Economics Letters, vol. 19, no. 12, pp. 1111-1116.
20. DIVINO, Jose, A., TELES, Vladimir, K. & DE ANDRADE, Joaquim, P. (2009), “On the Purchasing Power Parity for Latin-America Countries”, Journal of Applied Economics, vol. 12, no. 1, pp. 33-54.
21. DOĞANLAR, Murat (2006), “Long-run Validity of Purchasing Power Parity and Cointegration Analysis for Central Asian Countries”, Applied Economics Letters, vol. 13, no. 7, pp. 457-461.
22. DOĞANLAR, Murat, BAL, Harun & ÖZMEN, Mehmet (2009), “Testing Long-Run Validity of Purchasing Power Parity for Selected Emerging Market Economies”, Applied Economics Letters, vol. 16, no. 14, pp. 1443-1448.
23. DORNBUSCH, Rudiger (1985), “Puchasing Power Parity”, NBER Working Paper, no. 1591.GIL-ALANA, Luis, A. & JIANG, Liang (2013), “The Purchasing Power Parity Hypothesis in the US-China Relationship: Fractional Integration, Time Variation and Data Frequency”, International Journal of Finance and Economics, vol. 18, no. 1, pp. 82-92.
24. GÜNEY, Pelin, Ö., TELATAR, Erdinç & HASANOV, Mübariz (2012), “Re-Examining Purchasing Power Parity for Selected Emerging Markets and African Countries”, Applied Economics Letters, vol. 19, no. 2, pp. 139-144.
25. HEPSAG, Aycan (2016), “Testing Convergence of Tourism Markets: Evidence from Seasonal Unit Roots Test”, Anatolia, vol. 27, no. 2, pp. 177-188.
26. KANAS, Angelo (2006), “Purchasing Power Parity and Markov Regime Switching”, Journal of Money, Credit, and Banking, vol. 38, no. 6, pp. 1669-1687.
27. KARGBO, Joseph, M. (2009), “Financial Globalization and Purchasing Power Parity in the G7 Countries”, Applied Economics Letters, vol. 16, no. 1, pp. 69-74.
28. KIM, Hyung-Gun & JEI, Sang, Y. (2013), “Empirical Test for Purchasing Power Parity Using a Time-Varying Parameter Model: Japan and Korea Cases”, Applied Economics Letters, vol. 20, no. 6, pp. 525-529.
29. LIEW, Venus, K-S., CHIA, Ricky, C-J. & LING, Tai-Hu (2010), “Long-run Validity of Purchasing Power Parity and Rank Tests for Cointegration for Central Asian Countries”, Applied Economics Letters, vol. 17, no. 11, pp. 1073-1077.
30. LIU, Siyue, CHANG, Tsangyao, LEE, Chia-Hao & CHOU, Pei-I (2012), “Nonlinear Adjustment to Purchasing Power Parity: The ADL Test for Threshold Cointegration”, Applied Economics Letters, vol. 19, no. 6, pp. 569-573.
31. LIU, Siyue, ZHANG, Dongxiang & CHANG, Chia-Hao (2012), “Purchasing Power Parity-Nonlinear Threshold Unit Root Test for Transition Countries”, Applied Economics Letters, vol. 19, no. 18, pp. 1781-1785.
32. LEE, Hwa-Taek & YOON, Gawon (2013), “Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates”, Applied Economics, vol. 45, no. 16, pp. 2279-2294.
33. LU, Yang-Cheng, R., CHANG, Tsangyao & LEE, Chia-Hao (2012), “Nonlinear Adjustment to Purchasing Power Parity in Transition Countries: The ADL Test for Threshold Cointegration”, Applied Economics Letters, vol. 19, no. 7), pp. 629-633.
34. McCOSKEY, Suzanne & KAO, Chihwa (1998), “A Residual-Based Test of the Null of Cointegration in Panel Data”, Econometric Reviews, vol. 17, no. 1, pp. 57-84.
35. NARAYAN, Paresh, K. & NARAYAN, Seema (2007), “Are Real Exchange Rates Nonlinear with a Unit Root? Evidence on PPP for Italy: A Note”, Applied Economics, vol. 39, no. 19, pp. 2483-2488.
36. NARAYAN, Paresh, K., NARAYAN, Seema & PRASAD, Arti (2009), “Evidence on PPP from a Cointegration Test with Multiple Structural Breaks”, Applied Economics Letters, vol. 16, no.1, pp. 5-8.
37. NARAYAN, Paresh K. & SMYTH, Russell (2008), “Energy Consumption and Real GDP in G7 Countries: New Evidence from Panel Cointegration with Structural Breaks”, Energy Economics, vol. 30, no. 5, pp. 2331-2341.
38. PAPELL, David, H. & PRODAN, Ruxandra (2006), “Additional Evidence of Long-Run Purchasing Power Parity with Restricted Structural Change”, Journal of Money, Credit, and Banking, vol. 38, no. 5, pp. 1229-1349.
39. PESARAN, Hashem, M. (2004), “General Diagnostic Tests for Cross Section Dependence in Panels”, Cambridge Working Papers in Economics, no. 435.
40. PESARAN, Hashem, M. (2007), “A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence”, Journal of Applied Econometrics, vol. 2, no. 2, pp. 265-312.
41. PESARAN, Hashem, M. & YAMAGATA, Takashi (2008), “Testing Slope Homogeneity in Large Panels”, Journal of Econometrics, vol. 142, no. 1, pp. 50-93.
42. PESARAN, Hashem, M., ULLAH, Aman & YAMAGATA, Takashi (2008), “A Bias‐Adjusted LM Test of Error Cross‐Section Independence”, The Econometrics Journal, vol. 11, no. 1, pp. 105-127.
43. SARNO, Lucio (2000), “Real Exchange Rate Behaviour in High Inflation Countries: Empirical Evidence from Turkey, 1980-1997”, Applied Economics Letters, vol. 7, no. 5, pp. 285-291.
44. SARNO, Lucio, TAYLOR, Mark, P. & CHOWDHURY, Ibrahim (2004), “Nonlinear Dynamics in Deviations from the Law of one Price: A Broad-Based Emprical Study”, Journal of International Money and Finance, no. 23, pp. 1-25.
45. SOLARIN, Sakiru, A. (2014), “Revisiting the Convergence Hypothesis of Tourismmarkets: Evidence from South Africa”, Margin: The Journal of Applied Economic Research, vol. 8, no. 1, pp. 77-92.
46. SOLLIS, Robert (2005), “Evidence on Purchasing Power Parity from Univariate Models: The Case of Smooth Transition Trend-Stationarity”, Journal of Applied Econometrics, no. 20, pp. 79-98.
47. SU, Chi-Wei & CHANG, Hsu-Ling (2011), “Revisiting Purchasing Power Parity for Central and East European Countries”, Eastern European Economics, vol. 49, no. 1, pp. 5-12.
48. SWAMY, Paravastu, A. (1970), “Efficient Inference in a Random Coefficient Regression Model”, Econometrica, vol. 38, no. 2, pp. 311-323.
49. TAŞTAN, Hüseyin (2005), “Do Real Exchange Rates Contain a Unit Root? Evidence from çTurkish Data”, Applied Economics, vol. 37, no. 17, pp. 2037-2053.
50. TELATAR, Erdinç & KAZDAĞLI, 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, vol. 5, no. 1, pp. 51-53.
51. TELATAR, Erdinç & HASANOV, Mübariz (2009), “Purchasing Power Parity in Central and East European Countries”, Eastern European Economics, vol. 45, no. 5, pp. 25-41.
52. WESTERLUND, Joakim (2006), “Testing for Panel Cointegration with Multiple Structural Breaks”, Oxford Bulletin of Economics and Statistics, vol. 68, no. 1, pp. 101-132.
53. YAMAN SONGUR, Demet & SONGUR, Mehmet (2018), Revisiting Purchasing Power Parity For Eurasian Countries: A Fourier Approach, (in) ŞİRİNER, İsmail & KILIÇKAN, Zişan Y. (Ed.), Institution, Development and Economic Growth, London: IJOPEC Publication Limited, pp. 131-138.
54. YAZGAN, Ege, M. (2003), “The Purchasing Power Parity Hypothesis for a High Inflation Country: A Re-Examination of the Case of Turkey”, Applied Economics Letters, vol. 10, no. 3, pp. 143-147.
55. YILANCI, Veli, ASLAN, Murat & ÖZGÜR, Önder (2017), “Testing the Validity of PPP Theory for African Countries”, Applied Economics Letters, vol. 25, no. 18, pp. 1273-1277.
56. ZHOU, Su & KUTAN, Ali, M. (2014), “Smooth Structural Breaks and the Stationarity of the Yen Real Exchange Rates”, Applied Economics, vol. 46, no. 10, pp. 1150-1159.