Satınalma Gücü Paritesi Yaklaşımı: Teori, Literatür ve Türkiye Örneği İçin ADF-Temelli ve KPSS-Temelli Testlerden Kanıtlar

Year 2024, , 115 - 157, 13.08.2024

Fatih Çiftci

https://doi.org/10.26650/JEPR1288813

Abstract

Bu çalışmanın temel amacı, satınalma gücü paritesi (PPP) hipotezinin mutlak versiyonunun geçerliliğini, Türkiye ekonomisi bağlamında, Şubat 2001 sonrası dalgalı döviz kuru rejimi dönemi için ve alternatif araçlar kullanarak test etmektir. Bu çalışmayla ulaşılmak istenen tali amaçlar ise, PPP yaklaşımını kısaca tanıtmak ve konuya dair ekonometrik literatürü gözden geçirmektir. Çalışmanın ekonometrik uygulama kısmında, esas olarak, reel TL/USD kuru değişkeninin düzey-değerinde durağan olup olmadığı, ADF- ve KPSS-temelli birtakım geleneksel ve modern test teknikleri kullanılarak incelenmiştir. Bunun için, dönem-ortalaması ve dönem-sonu değerleri itibariyle ölçümlenmiş 2 alternatif nominal TL/USD kuru serisi ile tüketici ve üretici fiyat endeksleri cinsinden tanımlanmış 2 alternatif ortalama fiyat serisinin kullanıldığı 4 farklı türde reel döviz kuru değişkeni oluşturulmuştur. Tüketici (üretici) fiyat endeksinin kullanıldığı 2 alternatif reel döviz kuru, 2001Q2-2022Q2 (2001Q2-2020Q1) dönemini kapsayan çeyreklik verilerle hesaplanmıştır. Birim-kök ve durağanlık testleri sonucunda, mutlak PPP hipotezinin, sadece yapısal kırılma olasılığının belirli bazı yöntemlerle dikkate alınması halinde geçerli olduğu, aksi halde geçerli olmadığı anlaşılmıştır. Bu çalışmada, ikincil olarak, nominal TL/USD kuru ve nispi fiyat değişkenleri arasında bir eşbütünleşme ilişkisi olup olmadığı, yine bu 2 değişkenin alternatif versiyonları ve ADF- ve KPSS-temelli birkaç teknik kullanılarak, aynı veri-seti yardımıyla sorgulanmıştır. Buna göre, mutlak PPP hipotezi, modelde yapısal kırılma potansiyelinin dikkate alınması halinde güçlü, dikkate alınmaması halinde ise zayıf bir destek bulmuştur. Çalışmada kullanılan KPSS-temelli testler, ADF-temelli testlere nispetle, PPP ilişkisinin hem kısıtlı hem de kısıtsız formdaki geçerliliği lehine daha fazla kanıt sunmuştur. Ekonometrik analiz bulgularının ima ettiği sonuçlardan birisi, Türkiye’de nominal TL/USD kurunun denge değerinin, standart-PPP yaklaşımından ziyade, sınırlı-PPP yaklaşımı kullanılarak daha doğru bir biçimde belirlenebileceğidir.

Keywords

Döviz kurları, Döviz kuru rejimi, Mutlak PPP hipotezi, Yapısal kırılmalı testler, Fourier-fonksiyonlu modeller

The Purchasing Power Parity Approach: Theory, Literature, and Evidence from the ADF-Based and KPSS-Based Tests for the Case of Turkiye

Abstract

The main aim of this study is to test, by using alternative tools, the validity of the absolute version of the purchasing power parity (PPP) hypothesis within the context of the Turkish economy for the post-February-2001-period of floating exchange rate regime. Additional aims pursued by the present study are to introduce briefly the PPP approach and review the relevant econometric literature. Using an array of ADF- and KPSS-based traditional and modern test techniques, the econometric implementation part of this paper has primarily been devoted to investigate whether the real TL/USD exchange rate variable is stationary at its level. To that end, four different types of the real exchange rate variable have been constructed, in which two alternate nominal TL/USD exchange rate series measured by the period-average and end-of-period values and two alternate average price series defined in terms of the consumer and producer price indexes were used. The two alternate real exchange rates that use the consumer (producer) price index were calculated by means of the quarterly data that comprise the period of 2001Q2-2022Q2 (2001Q2-2020Q1). Based on the unit-root and stationarity tests, it has been found that the absolute PPP hypothesis is valid only when the possibility of structural breaks is taken into account by using some particular methods. Otherwise, it has been found to be invalid. The secondary empirical analyses of this paper have questioned if there is a cointegration relationship between the variables of nominal TL/USD exchange rate and relative price, again, by using the alternate versions of the two variables and a number of ADF- and KPSS-based techniques. In doing so, the same data-set as above was utilized. Accordingly, the absolute PPP hypothesis has been supported strongly when the potential of a structural break in the model is taken into account, while the support has been found to be weak when the other way is the case. The KPSS-based tests used in the current study have provided more evidence in favor of the validity of the PPP relationship, both in its restricted and unrestricted forms, relative to the ADF-based tests. One of the conclusions implied by the findings of the econometric analyses is that the equilibrium value of the nominal TL/USD exchange rate in Turkiye can be determined more accurately by utilizing the qualified-PPP approach, rather than its standard version.

Keywords

Foreign exchange rates, Exchange rate regime, Absolute PPP hypothesis, Tests with structural breaks, Models with a Fourier-function

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