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

Year 2009, Volume: 10 Issue: 2, 310 - 323, 01.07.2009

Ferda Yerdelen Tatoğlu

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

References

  • ABUAF, N., JORION, P. (1990). Purchasing Power Parity in the Long Run. The Journal of Finance, Vol. 45 (1), 157-174
  • ABUMUSTAFA, N. I. (2006). New Evidence of the Validity of Purchasing Power Parity from Jordan. Applied Economics Letters, Vol. 13, 379-383
  • AMARA J. & PAPELL D.H. (2006). Testing for Purchasing Power Parity Using Stationary Covariates. Applied Financial Economics, Vol. 16 (1-2), 29-39
  • ANDERSSON, J., LYHAGEN, J. (1999). A Long Memory Panel Unit root Test: PPP Revisited. WP, Stockholm School of Economics
  • BANERJEE, A. (1999). Panel Data Unit Roots and Cointegration: An Overview. Oxford Bulletin of Economics and Statistics, Vol. 61 (4), 607-629
  • BANERJEE, A., MARCELLINO, M., OSBAT, C. (2005). Testing for PPP: Should We Use Panel Methods. Empirical Economics, Issue 1, 77-91
  • BEC F., SALEM M. B. & CARRASCO M. (2004). Detecting Mean Reversion in Real Exchange Rates from A Multiple Regime STAR Model. WP, University of Rochester - Center for Economic Research
  • BEIRNE, J., HUNTER, J. (2007). Is the Real Exchange Rate Stationary? A Similar Sized Test Approach for the Univariate and Panel Cases. WP, Brunel University
  • BREITUNG, J., CANLEDON, B. (2005). Purchasing Power Parity During Currency Crisis: A Panel Unit Root Test under Structural Breaks. Review of World Economic, Vol. 141 (1), 124-140
  • BOYD, D., SMITH, R. (1999). Testing for Purchasing Power Parity: Econometric Issues and an Application to Developing Countries. The Manchester School, Vol. 67 (3), 287-303
  • BURDA, M., WYPLOSZ, C. (2005). Macroeconomics, 4th Edition, Oxford University Pres New York
  • CANZONERI, B. M., CUMBY, R., DIBA, B. (1999). Relative Labor Productivity and the Real Exchange Rate in the Long-Run: Evidence for A Panel of OECD Countries. Journal of International Economics, Vol. 47 (2), 245-266
  • CASHIN P., MCDERMOTT, J. (2006). Parity Reversion in Real Exchange Rates: Fast, Slow, or Not at All?. IMF WP/04/128
  • CASSEL, G. (1918) “Abnormal Deviations in International Exchanges. Economic Journal, Vol. 28, 413-415
  • CERRATO, M., SARANTIS, N. (2004). Cross Sectional Dependence, Panel Unit Root Tests, and Purchasing Power Parity. WP, Centre for International Capital Markets London Metropolitan University
  • CHOI, I., (2001). Unit Root Tests for Panel Data. Journal of International Money and Finance, Vol. 20, 249-272
  • CHORTAREAS, G.E., KAPETANIOS, G. (2006). The Yen Real Exchange Rate may be Stationary after all: Evidence from Nonlinear Unit Root Tests. WP/311, Bank of England
  • CHORTAREAS, G. E., KAPETANIOS, G., SHIN, Y. (2002). Nonlinear Mean- Reversion in Real Exchange Rates. Economics Letter, Vol. 77, 411-417
  • CORBAE, D., OUTARIS, S. (1988). Cointegration and Tests of Purchasing Power Parity. The Review of Economics and Statistics, Vol. 70 (3), 508-511
  • CUDDINGTON, J. T., LIANG, H. (2000). Purchasing Power Parity Over Two Centuries” Journal of International Money and Finance, Vol. 19 (5), 753-757
  • DRINE, I., RAULT, C. (2003). A Re-Examination of the Purchasing Power Parity Using Non-Stationary Dynamic Panel Methods: A Comparative Approach for Developing and Developed Countries. WP/570, William Davidson Institute
  • FISHER, E., PARK, J. Y. (1991). Testing Purchasing Power Parity under the Null of Hypothesis of Co-integration. The Economic Journal, Vol. 101(409), 1476-1484
  • FROOT, K., ROGOFF, K. (1994). Perspectives on PPP and Long-Run Real Exchange Rates. WP/4952, National Bureau of Economic Research
  • HERNANDEZ, J.R., CARRACEDO, M.F. (2005). Testing for Long-run Purchasing Power Parity in the Post Bretton Woods Era: Evidence from Old and New Tests. Papeles de trabajo del Instituto de Estudios Fiscales Serie economía, No. 24, 1-56
  • HONG, S., PHILIPS, P. (2005). Testing Linearity in Cointegration Relations with an Application to Purchasing Power Parity. DP/154, Cowless Foundation
  • HUNTER, J., SIMPSON, M. (2001). A Panel Test of Purchasing Power Parity under the Null of Stationary. WP, Brunel University Department of Economics
  • IM, K., LEE, J., TIESLAU, M. (2005). Panel LM Unit-Root Test with Level Shifts. Oxford Bulletin of Economics and Statistics, Vol. 67, 393-419
  • IM, K. S., PESARAN, M. H., SHIN, Y. (2003). Testing for Unit Roots in Heterogeneous Panels” Journal of Econometrics, Vol. 115 (1), 53-74
  • JEWELL, T., LEE, J., TIESLAU, M., STRAZICICH, M. C. (2003). Stationary of Health Expenditures: A Re-Examination Using Panel Unit Root Tests with Heterogeneous Structural Breaks. Journal of Health Economics, Vol. 22(2), 313- 23
  • KAPETANIOS, G., SHIN, Y., SNELL, A. (2003). Testing For A Unit Root in the Nonlinear STAR Framework. Journal of Econometrics, Vol. 112, 359-379
  • KIM, Y. (1990). Purchasing Power Parity in the Long Run: A Cointegration Approach. Journal of Money, Credit and Banking, Vol. 22 (4), 491-503
  • KUO, B., MIKKOLA, A. (2001). How Sure Are We About Purchasing Power Parity? Panel Evidence with the Null of Stationary Real Exchange Rates. Journal of Money, Credit and Banking, Vol. 33 (3), 767-789
  • LEVIN, A., LIN, C., CHU, C. J. (2002). Unit Root Test with Panel Data: Asymptotic and Finite-Sample. Journal of Econometrics, Vol. 108 (1), 1-24
  • LOPEZ, C. (2003). Panel Unit Root Tests with GLS-Detrending with an Application to Purchasing Power Parity. WP, University of Amsterdam Econometrics and Empirical Economics
  • LOTHIAN, J., TAYLOR, M.P. (1996). Real Exchange Rate Behavior: The Recent Float from Perspective of the Past Two Centuries. Journal of Political Economy, Vol.104, 488-509
  • MACDONALD, R., (1996). Panel Unit Root Tests and Real Exchange Rates. Economics Letters, Vol. 50, 7-11
  • MADDALA, G. S., WU, S. (1999). A Comparative Study of Unit Root Tests with Panel Data A New Simple Test. Oxford Bulletin of Economics and Statistics, Special Issue, Vol. 6, 631-652
  • MARK, N. C. (1990). Real and Nominal Exchanges Rates in The Long Run: An Empirical Investigation. Journal of International Economics, Vol.28 (1/2), 115- 136
  • MONTANES, A. (2000). Unit Roots, Level Shifts and Purchasing Power Parity. WP, University of Zaragosa
  • NARAYAN, P. K. (2005). New Evidence on Purchasing Power Parity from 17 OECD Countries. Applied Economics, Vol. 37 (9), 1063-1071
  • NARAYAN, P.K. (2006). Are Bilateral Real Exchange Rates Stationary? Evidence from Lagrange Multiplier Unit Root Tests for India. Applied Economics, Vol.38, 63-70
  • O’CONNELL, P. G. (1998). The Overvaluation of Purchasing Power Parity. Journal of International Economics, Vol. 44, 1-19
  • OH, K. J. (1996). Purchasing Power Parity and Unit Root Tests Using Panel Data. Journal of International Money And Finance, Vol.15 (3), 405-418
  • PAUL, M. (2004). Empirical Evidence of Purchasing Power Parity in Six South East Asian Countries – A Panel Data Approach” DP/83, Institute of Economic Growth University of Delhi Enclaave
  • PEDRONI, P. (2001). Purchasing Power Parity Tests in Cointegrated Panels. The Review of Economics and Statistics, Vol. 83 (4), 727-731
  • PEDRONI, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis. Econometric Theory, Vol. 20, 597-625
  • PERRON, B. (1989). The Great Crash, the Oil Price Shock and the Unit Root Hypothesis. Econometrica, Vol. 57, 1361-1401
  • PERRON, B., MOON, H. R. (2003). Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-Sectional Dependence” Canada Research Chair in Econometrics Financial Econometrics Conference
  • RAMIREZ, M.D., KHAN, S. (1999). A Cointegration Analysis of Purchasing Power Parity 1973-1996. International Advances In Economic Research, Vol.75(3), 369- 385
  • SHIVELY, P. (2003). Threshold Stationary Real Exchange Rates: A Nonlinear, Multivariate Approach. Economics Bulletin, Vol. 6 (2), 1-11
  • SEYİDOĞLU, H. (2003). Uluslarası İktisat Teori Politika ve Uygulama, İstanbul, 15. Baskı
  • STRAZICICH, M., TIESLAU, M., LEE, J. (2001). Hysteresis in Unemployment? Evidence from Panel Unit Root Tests with Structural Change. WP, University of North Texas
  • TAYLOR, M.P., PEEL, D.A., SARNO L. (2001). Nonlinear Mean-Reversion in Real Exchange Rates: Towards A Solution to the Purchasing Power Parity Puzzles. International Economic Review, Vol. 42, 1015-1042
  • WU, Y. (1996). Are Real Exchange Rates Stationary? Evidence from a Panel-Data Test. Journal of Money, Credit, and Banking, Vol.28 (1), 54-63
  • YILDIRIM, O. (2003). Döviz Kurları Çerçevesinde Satın Alma Gücü Paritesinin Zaman Serisi Analizi ve Türkiye Ekonomisi Uygulaması. Bankacılar Dergisi, Sayı: 44, 3

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

Year 2009, Volume: 10 Issue: 2, 310 - 323, 01.07.2009

Ferda Yerdelen Tatoğlu

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

References

  • ABUAF, N., JORION, P. (1990). Purchasing Power Parity in the Long Run. The Journal of Finance, Vol. 45 (1), 157-174
  • ABUMUSTAFA, N. I. (2006). New Evidence of the Validity of Purchasing Power Parity from Jordan. Applied Economics Letters, Vol. 13, 379-383
  • AMARA J. & PAPELL D.H. (2006). Testing for Purchasing Power Parity Using Stationary Covariates. Applied Financial Economics, Vol. 16 (1-2), 29-39
  • ANDERSSON, J., LYHAGEN, J. (1999). A Long Memory Panel Unit root Test: PPP Revisited. WP, Stockholm School of Economics
  • BANERJEE, A. (1999). Panel Data Unit Roots and Cointegration: An Overview. Oxford Bulletin of Economics and Statistics, Vol. 61 (4), 607-629
  • BANERJEE, A., MARCELLINO, M., OSBAT, C. (2005). Testing for PPP: Should We Use Panel Methods. Empirical Economics, Issue 1, 77-91
  • BEC F., SALEM M. B. & CARRASCO M. (2004). Detecting Mean Reversion in Real Exchange Rates from A Multiple Regime STAR Model. WP, University of Rochester - Center for Economic Research
  • BEIRNE, J., HUNTER, J. (2007). Is the Real Exchange Rate Stationary? A Similar Sized Test Approach for the Univariate and Panel Cases. WP, Brunel University
  • BREITUNG, J., CANLEDON, B. (2005). Purchasing Power Parity During Currency Crisis: A Panel Unit Root Test under Structural Breaks. Review of World Economic, Vol. 141 (1), 124-140
  • BOYD, D., SMITH, R. (1999). Testing for Purchasing Power Parity: Econometric Issues and an Application to Developing Countries. The Manchester School, Vol. 67 (3), 287-303
  • BURDA, M., WYPLOSZ, C. (2005). Macroeconomics, 4th Edition, Oxford University Pres New York
  • CANZONERI, B. M., CUMBY, R., DIBA, B. (1999). Relative Labor Productivity and the Real Exchange Rate in the Long-Run: Evidence for A Panel of OECD Countries. Journal of International Economics, Vol. 47 (2), 245-266
  • CASHIN P., MCDERMOTT, J. (2006). Parity Reversion in Real Exchange Rates: Fast, Slow, or Not at All?. IMF WP/04/128
  • CASSEL, G. (1918) “Abnormal Deviations in International Exchanges. Economic Journal, Vol. 28, 413-415
  • CERRATO, M., SARANTIS, N. (2004). Cross Sectional Dependence, Panel Unit Root Tests, and Purchasing Power Parity. WP, Centre for International Capital Markets London Metropolitan University
  • CHOI, I., (2001). Unit Root Tests for Panel Data. Journal of International Money and Finance, Vol. 20, 249-272
  • CHORTAREAS, G.E., KAPETANIOS, G. (2006). The Yen Real Exchange Rate may be Stationary after all: Evidence from Nonlinear Unit Root Tests. WP/311, Bank of England
  • CHORTAREAS, G. E., KAPETANIOS, G., SHIN, Y. (2002). Nonlinear Mean- Reversion in Real Exchange Rates. Economics Letter, Vol. 77, 411-417
  • CORBAE, D., OUTARIS, S. (1988). Cointegration and Tests of Purchasing Power Parity. The Review of Economics and Statistics, Vol. 70 (3), 508-511
  • CUDDINGTON, J. T., LIANG, H. (2000). Purchasing Power Parity Over Two Centuries” Journal of International Money and Finance, Vol. 19 (5), 753-757
  • DRINE, I., RAULT, C. (2003). A Re-Examination of the Purchasing Power Parity Using Non-Stationary Dynamic Panel Methods: A Comparative Approach for Developing and Developed Countries. WP/570, William Davidson Institute
  • FISHER, E., PARK, J. Y. (1991). Testing Purchasing Power Parity under the Null of Hypothesis of Co-integration. The Economic Journal, Vol. 101(409), 1476-1484
  • FROOT, K., ROGOFF, K. (1994). Perspectives on PPP and Long-Run Real Exchange Rates. WP/4952, National Bureau of Economic Research
  • HERNANDEZ, J.R., CARRACEDO, M.F. (2005). Testing for Long-run Purchasing Power Parity in the Post Bretton Woods Era: Evidence from Old and New Tests. Papeles de trabajo del Instituto de Estudios Fiscales Serie economía, No. 24, 1-56
  • HONG, S., PHILIPS, P. (2005). Testing Linearity in Cointegration Relations with an Application to Purchasing Power Parity. DP/154, Cowless Foundation
  • HUNTER, J., SIMPSON, M. (2001). A Panel Test of Purchasing Power Parity under the Null of Stationary. WP, Brunel University Department of Economics
  • IM, K., LEE, J., TIESLAU, M. (2005). Panel LM Unit-Root Test with Level Shifts. Oxford Bulletin of Economics and Statistics, Vol. 67, 393-419
  • IM, K. S., PESARAN, M. H., SHIN, Y. (2003). Testing for Unit Roots in Heterogeneous Panels” Journal of Econometrics, Vol. 115 (1), 53-74
  • JEWELL, T., LEE, J., TIESLAU, M., STRAZICICH, M. C. (2003). Stationary of Health Expenditures: A Re-Examination Using Panel Unit Root Tests with Heterogeneous Structural Breaks. Journal of Health Economics, Vol. 22(2), 313- 23
  • KAPETANIOS, G., SHIN, Y., SNELL, A. (2003). Testing For A Unit Root in the Nonlinear STAR Framework. Journal of Econometrics, Vol. 112, 359-379
  • KIM, Y. (1990). Purchasing Power Parity in the Long Run: A Cointegration Approach. Journal of Money, Credit and Banking, Vol. 22 (4), 491-503
  • KUO, B., MIKKOLA, A. (2001). How Sure Are We About Purchasing Power Parity? Panel Evidence with the Null of Stationary Real Exchange Rates. Journal of Money, Credit and Banking, Vol. 33 (3), 767-789
  • LEVIN, A., LIN, C., CHU, C. J. (2002). Unit Root Test with Panel Data: Asymptotic and Finite-Sample. Journal of Econometrics, Vol. 108 (1), 1-24
  • LOPEZ, C. (2003). Panel Unit Root Tests with GLS-Detrending with an Application to Purchasing Power Parity. WP, University of Amsterdam Econometrics and Empirical Economics
  • LOTHIAN, J., TAYLOR, M.P. (1996). Real Exchange Rate Behavior: The Recent Float from Perspective of the Past Two Centuries. Journal of Political Economy, Vol.104, 488-509
  • MACDONALD, R., (1996). Panel Unit Root Tests and Real Exchange Rates. Economics Letters, Vol. 50, 7-11
  • MADDALA, G. S., WU, S. (1999). A Comparative Study of Unit Root Tests with Panel Data A New Simple Test. Oxford Bulletin of Economics and Statistics, Special Issue, Vol. 6, 631-652
  • MARK, N. C. (1990). Real and Nominal Exchanges Rates in The Long Run: An Empirical Investigation. Journal of International Economics, Vol.28 (1/2), 115- 136
  • MONTANES, A. (2000). Unit Roots, Level Shifts and Purchasing Power Parity. WP, University of Zaragosa
  • NARAYAN, P. K. (2005). New Evidence on Purchasing Power Parity from 17 OECD Countries. Applied Economics, Vol. 37 (9), 1063-1071
  • NARAYAN, P.K. (2006). Are Bilateral Real Exchange Rates Stationary? Evidence from Lagrange Multiplier Unit Root Tests for India. Applied Economics, Vol.38, 63-70
  • O’CONNELL, P. G. (1998). The Overvaluation of Purchasing Power Parity. Journal of International Economics, Vol. 44, 1-19
  • OH, K. J. (1996). Purchasing Power Parity and Unit Root Tests Using Panel Data. Journal of International Money And Finance, Vol.15 (3), 405-418
  • PAUL, M. (2004). Empirical Evidence of Purchasing Power Parity in Six South East Asian Countries – A Panel Data Approach” DP/83, Institute of Economic Growth University of Delhi Enclaave
  • PEDRONI, P. (2001). Purchasing Power Parity Tests in Cointegrated Panels. The Review of Economics and Statistics, Vol. 83 (4), 727-731
  • PEDRONI, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis. Econometric Theory, Vol. 20, 597-625
  • PERRON, B. (1989). The Great Crash, the Oil Price Shock and the Unit Root Hypothesis. Econometrica, Vol. 57, 1361-1401
  • PERRON, B., MOON, H. R. (2003). Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-Sectional Dependence” Canada Research Chair in Econometrics Financial Econometrics Conference
  • RAMIREZ, M.D., KHAN, S. (1999). A Cointegration Analysis of Purchasing Power Parity 1973-1996. International Advances In Economic Research, Vol.75(3), 369- 385
  • SHIVELY, P. (2003). Threshold Stationary Real Exchange Rates: A Nonlinear, Multivariate Approach. Economics Bulletin, Vol. 6 (2), 1-11
  • SEYİDOĞLU, H. (2003). Uluslarası İktisat Teori Politika ve Uygulama, İstanbul, 15. Baskı
  • STRAZICICH, M., TIESLAU, M., LEE, J. (2001). Hysteresis in Unemployment? Evidence from Panel Unit Root Tests with Structural Change. WP, University of North Texas
  • TAYLOR, M.P., PEEL, D.A., SARNO L. (2001). Nonlinear Mean-Reversion in Real Exchange Rates: Towards A Solution to the Purchasing Power Parity Puzzles. International Economic Review, Vol. 42, 1015-1042
  • WU, Y. (1996). Are Real Exchange Rates Stationary? Evidence from a Panel-Data Test. Journal of Money, Credit, and Banking, Vol.28 (1), 54-63
  • YILDIRIM, O. (2003). Döviz Kurları Çerçevesinde Satın Alma Gücü Paritesinin Zaman Serisi Analizi ve Türkiye Ekonomisi Uygulaması. Bankacılar Dergisi, Sayı: 44, 3
There are 55 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Ferda Yerdelen Tatoğlu This is me

Publication Date July 1, 2009
Published in Issue Year 2009 Volume: 10 Issue: 2

Cite

APA Tatoğlu, F. Y. (2009). REEL EFEKTİF DÖVİZ KURUNUN DURAĞANLIĞININ YAPISAL KIRILMALI PANEL BİRİM KÖK TESTLERİ KULLANILARAK SINANMASI. Doğuş Üniversitesi Dergisi, 10(2), 310-323.