SATIN ALMA GÜCÜ PARİTESİ YAKLAŞIMI İLE TÜRKİYE’DE REEL DÖVİZ KURU YANLIŞ DENGELENMESİNİN BELİRLENMESİ: YAPISAL KIRILMALI VE DOĞRUSAL OLMAYAN BİRİM KÖK TESTLERİ İLE BİR ANALİZ

Year 2017, , 1 - 24, 30.01.2017

Sevgi Gerek Mustafa Karabacak

https://doi.org/10.15637/jlecon.183

Abstract

Reel döviz kuru ekonominin geniş alanlarına nüfuz eden önemli bir değişkendir ve reel döviz
kurunun seviyesi politika yapıcılar açısından bir sinyal olarak algılanmaktadır. Bu nedenle reel döviz
kurunun denge seviyesinden kalıcı olarak uzaklaşması ekonomi açısından önemli bir problemdir ve bu
durum iktisat literatüründe “reel döviz kuru yanlış dengelenmesi” olarak adlandırılmaktadır. Reel
döviz kuru yanlış dengelenmesinin belirlenmesi amacıyla çok sayıda alternatif model mevcuttur.
Ancak yanlış dengelenmenin ölçülmesi için geliştirilen en eski model olmasına rağmen halen en
popüler model olan satın alma gücü paritesi teorisi yanlış dengelenmenin ölçülmesi açısından bir
çıkış noktası olarak görülmektedir.
Dolayısıyla bu çalışmada Türkiye için yanlış dengelenme, satın alma gücü paritesi
çerçevesinde, birinci nesil birim kök testleri, yapısal kırılmalı birim kök testleri ve doğrusal olmayan
birim kök testleri aracılığıyla analiz edilmiştir. Elde edilen bulgular Türkiye için hesaplanan reel
döviz kuru serilerinin seviyelerinde durağan olmadığını ve dolayısıyla reel döviz kurlarının yanlış
dengelendiğini göstermektedir.  

Keywords

Reel döviz kuru, reel döviz kuru yanlış dengelenmesi, satın alma gücü paritesi teorisi, yapısal kırılmalı birim kök testleri, doğrusal olmayan birim kök testleri

PURCHASING POWER PARITY APPROACH TO REAL EXCHANGE RATE MISALIGNMENT DETERMINATIONIN TURKEY: AN ANALYSIS WITH UNIT ROOT TEST WITH STRUCTURAL BREAK AND NONLINEAR UNIT ROOT TESTS

Abstract

The real exchange rate is an important indicator that permeates large areas of the economy.
Therefore, the level of the real exchange rate is perceived as a signal for policy makers. Temporary
deviation of real exchange rate from its equilibrium level is natural but permanent deviations are a
serious problem for the economy and it is known as “real exchange rate misalignment”. There are
several alternative models to determine the real exchange rate misalignment but “purchasing power
parity” is the first and the most popular theory to determine the real exchange rate misalignment and
it is seen as a starting point for measuring misalignment.
In this study real exchange rate misalignment in turkey is analyzed with first generation unit
root tests, unit root tests with structural break and nonlinear unit root test, in the frame of purchasing
power parity theory. The evidence from first generation unit root tests, unit root tests with structural
break and nonlinear unit root tests show that the real exchange rate is misaligned in Turkey.  

Keywords

Real exchange rate, real exchange rate misalignment, purchasing power parity theory, unit root test with structural break, nonlinear unit root test

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