Satın Alma Gücü Paritesi Hipotezi Geçerliliğinin Fourier Birim Kök Testleri ile İncelenmesi: OECD Ülkeleri Örneği

Year 2016, Volume: 15 Issue: 1, 73 - 87, 01.06.2016

Mehmet Akif Destek İlyas Okumuş

https://doi.org/10.21547/jss.256741

Cited By: 5

Abstract

Satın alma gücü paritesi (SAGP) hipotezi, ülkelerin finansal istikrar, yapısal uyum ve ekonomik reform programları açısından önemli bir gösterge olarak kabul edilmektedir. SAGP hipotezinin geçerliliği ise genellikle reel döviz kurlarının durağanlığı üzerinden test edilmektedir. Bu çalışmada 27 OECD ülkesi için SAGP’nin geçerliliği geleneksel ADF birim kök testi, KSS birim kök testi, Fourier ADF ve Fourier KSS birim kök testleri ile incelenmiş ve reel döviz kuru durağanlığının, yapısal değişim ve doğrusal olmama formu da gözetilerek araştırılması amaçlanmıştır. Çalışma sonuçlarına göre 14 OECD ülkesi için reel döviz kurunun yapısal değişimler altında doğrusal olmayan formda durağan olduğu dolayısıyla bu ülkelerde SAGP hipotezinin geçerli olduğu desteklenmiştir

Keywords

Satın Alma Gücü Paritesi, Fourier KSS, OECD Ülkeleri

Investigation of the Validity of Purchasing Power Parity Hypothesis with Fourier Unit Root Tests: The Case of OECD Countries

Abstract

It is assumed that purchasing power parity (PPP) hypothesis is an important indicator with regard to financial stability, structural adjustment and economic reform programs of countries. The validity of PPP hypothesis is generally tested with the stationarity of real exchange rates. In this study, the validity of PPP hypothesis is examined with traditional ADF unit root test, KSS unit root test, Fourier ADF and Fourier KSS unit root tests for 27 OECD countries and it is aimed to investigate the stationary of real exchange rate considering with structural changes and nonlinearity form. According to the results of study, real exchange rate is stationary in nonlinear form under structural changes for 14 OECD countries therefore it is supported that PPP hypothesis is exist in these countries

Keywords

Purchasing Power Parity, Fourier KSS, OECD Countries

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