REEL EFEKTİF DÖVİZ KURUNUN DURAĞANLIĞININ YAPISAL KIRILMALI PANEL BİRİM KÖK TESTLERİ KULLANILARAK SINANMASI

Abstract

Ülkelerin ekonomik istikrarı hakkında önemli bilgiler veren reel döviz kurlarının durağanlığını incelemek için son yıllarda oldukça fazla çalışma yapılmaktadır. Reel döviz kurlarının durağanlığını analiz etmek için, serinin hem genel hem de bireysel olarak durağanlığının incelenmesine imkan tanıyan panel birim kök testleri sıklıkla kullanılmaktadır. Genel olarak, makro iktisadi zaman serilerinde bazı yıllarda yapısal kırılmalar olduğu görülmektedir. Bu kırılmalar dikkate alınmadan birim kök testleri yapılırsa; kırılma noktası dikkate alınarak durağan olan bir seride, durağanlığın reddi gibi yanıltıcı bir sonuçla karşılaşılabilinir. Bu çalışmada, 25 OECD ülkesinde Satın Alma Gücü Paritesi teorisinin geçerliliğini sınamak için uygulanan panel durağanlık testleri, yapısal kırılmanın olduğu ve olmadığı durumlarda ele alınmıştır. Sonuçlara göre, yapısal kırılma dikkate alınmadan yapılan birim kök testlerinde sadece 10 ülkede SGP teorisi geçerli iken, kırılmalar dikkate alındığında teorinin ülkelerin tamamında geçerli olduğu görülmüştür.

Keywords

• Satın Alma Gücü Paritesi, Reel Döviz Kuru, Panel Birim Kök Testi, Yapısal Kırılma

ANALYZING OF THE STATIONARITY OF REEL EFFECTIVE EXCHANGE RATES USING PANEL UNIT ROOT TESTS WITH STRUCTURAL BREAKS

Abstract

In the last years, many studies have analyzed the stationarity of reel exchange rates which gives important knowledge about economic stability of countries. The panel unit root tests which include both pooled and individual unit root tests are used frequently to analyze the stationarity of real exchange rates. Generally, structural breaks issue have taken place in macroeconomic time series for some years. If unit root tests are used without taking account these structural breaks, stationarity hypothesis can be rejected mistakenly. In this study, panel unit root tests with and without structural breaks were used to analyze the validity of Purchasing Power Parity hypothesis in 25 OECD countries. According to the results, while in panel unit root tests with no break, PPP theory is valid for only 10 countries; it is valid for all countries in panel unit root tests with structural breaks

Keywords

• Purchasing Power Parity , Real Exchange Rates , Panel Unit Root Tes , Structural Break

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