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Kırılgan Beşli Ülkelerinde Faiz Oranı Paritesi: Kırılmalı Birim Kök Testlerinden Kanıtlar

Year 2021, Volume: 8 Issue: 2, 327 - 349, 04.08.2021

Abstract

Bu çalışmada literatürde Kırılgan Beşli ülkeleri olarak gruplandırılan Brezilya, Hindistan, Endonezya, Güney Afrika ve Türkiye için kapsanmamış faiz oranı paritesinin geçerliliği araştırılmıştır. Çalışmanın ekonometrik analiz bölümünde son dönemlerde araştırmacılar tarafından yaygın olarak kullanılan birim kök testlerinden yararlanılmıştır. Bu noktada Dickey ve Fuller (1979), Genişletilmiş Dickey ve Fuller (1981), Philips ve Perron (1988), Kwiatkowski, Phillips, Schmidt ve Shin (1992), Perron (1989) tek kırılmalı birim kök, Zivot ve Andrews (1992) tek kırılmalı birim kök ve Enders ve Lee (2012) Fourier-ADF birim kök testleri kullanılmıştır. Analiz sonuçları doğrultusunda Brezilya, Endonezya ve Türkiye için kapsanmamış faiz oranı paritesinin geçerliliğine dair güçlü kanıtlar elde edilmiştir. Hindistan ilişkin sonuçlar yapısal kırılmanın dikkate alındığı durum ve dikkate alınan yapısal kırılmanın yapısına göre değişiklik göstermektedir. Bu durumda yapısal kırılmaların dikkate alınması ve veri setine ilişkin dönemin konjonktürel yapısının iyi bilinmesi konusunu gündeme getirmektedir. Güney Afrika’da ise sonuçlar çoğunlukla faiz oranı paritesinin geçerli olduğu yönünde olmasına rağmen, yumuşak kırılmalara izin veren Fourier-ADF testine ilişkin sonuçlar bu ülkelerde faiz oranı paritesinin geçersiz olduğuna dair kanıtlar sunmuştur.

References

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The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks

Year 2021, Volume: 8 Issue: 2, 327 - 349, 04.08.2021

Abstract

This study analyzes the validity of the uncovered interest rate parity for Brazil, India, Indonesia, South Africa, and Turkey, which are grouped as The Fragile Five countries within the literature. The econometric analysis section of the study benefits from unit root tests, a common method that researchers have started to utilize recently. For this reason, we used Dickey and Fuller (1979), Augmented Dickey and Fuller (1981), Philips and Perron (1988), Kwiatkowski et al. (1992), Perron (1989) unit root test with one break, Zivot and Andrews (1992) unit root test with one break, and Enders and Lee (2012) Fourier-ADF unit root tests. In line with the results of the analysis, we obtained strong evidence regarding the validity of the uncovered interest rate parity for Brazil, Indonesia, and Turkey. Results for India vary according to the structure of the break and where the structural break is taken into consideration. This shows that structural breaks and the economic circumstances of the period that the data set is from should be considered. Although results for South Africa show that interest rate parity is generally valid, results for the Fourier-ADF test, which allows for smooth breaks, offered evidence that the interest rate parity was not valid in these countries.

References

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  • Chang, H. L., & Su, C. W. (2015). Uncovered interest parity and monetary integration in East Asian countries based on China. The Journal of International Trade & Economic Development, 24(4), 451-464. https://doi.org/10.10 80/09638199.2014.920402. google scholar
  • Chin, C. C., & Liang, H. M. (2009). The long-run uncovered interest rate parity in view of a trading strategy. Applied Economics, 41(21), 2727-2739. https://doi.org/10.1080/00036840701320225. google scholar
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  • Ferreira, A. L., & Leon-Ledesma, M. A. (2007). Does the real interest parity hypothesis hold? Evidence for developed and emerging markets. Journal of International Money and Finance, 26(3), 364-382. https://doi. org/10.1016/j.jimonfin.2006.11.003. google scholar
  • Fong, W. M., Valente, G., & Fung, J. K. (2010). Covered interest arbitrage profits: The role of liquidity and credit risk. Journal of banking & finance, 34(5), 1098-1107. https://doi.org/10.1016/j.jbankfin.2009.11.008. google scholar
  • Francis, B. B., Hasan, I., & Hunter, D. M. (2002). Emerging market liberalization and the impact on uncovered interest rate parity. Journal of International Money and Finance, 21(6), 931-956. https://doi.org/10.1016/ S0261-5606(02)00029-3. google scholar
  • Fukuda, S. I. (2016). Regional liquidity risk and covered interest parity during the global financial crisis: evidence from Tokyo, London, and New York. International Economic Journal, 30(3), 339-359. https://doi.org/10.1080/ 10168737.2016.1211842. google scholar
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  • Goh, S. K., Lim, G. C., & Olekalns, N. (2006). Deviations from uncovered interest parity in Malaysia. Applied Financial Economics, 16(10), 745-759. https://doi.org/10.1080/09603100500404231. google scholar
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There are 79 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Makaleler
Authors

Mehmet Altuntaş 0000-0003-2040-3168

Publication Date August 4, 2021
Submission Date May 15, 2021
Published in Issue Year 2021 Volume: 8 Issue: 2

Cite

APA Altuntaş, M. (2021). The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks. İktisat Politikası Araştırmaları Dergisi, 8(2), 327-349.
AMA Altuntaş M. The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks. JEPR. August 2021;8(2):327-349.
Chicago Altuntaş, Mehmet. “The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests With Breaks”. İktisat Politikası Araştırmaları Dergisi 8, no. 2 (August 2021): 327-49.
EndNote Altuntaş M (August 1, 2021) The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks. İktisat Politikası Araştırmaları Dergisi 8 2 327–349.
IEEE M. Altuntaş, “The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks”, JEPR, vol. 8, no. 2, pp. 327–349, 2021.
ISNAD Altuntaş, Mehmet. “The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests With Breaks”. İktisat Politikası Araştırmaları Dergisi 8/2 (August 2021), 327-349.
JAMA Altuntaş M. The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks. JEPR. 2021;8:327–349.
MLA Altuntaş, Mehmet. “The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests With Breaks”. İktisat Politikası Araştırmaları Dergisi, vol. 8, no. 2, 2021, pp. 327-49.
Vancouver Altuntaş M. The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks. JEPR. 2021;8(2):327-49.