Testing for Purchasing Power Parity in the Long Run Using Panel Unit Root Tests With Structural Breaks

Abstract

In the last years, a lot of studies have been made on the validity of long-run purchasing power parity (PPP). The panel unit root tests prefer to include both the pooled unit root tests and the individual unit root test. In this study, real exchange rate series are used for 25 OECD countries and the validity of PPP tests for pooled and individual cases. According to the results, only Belgium and Holland exchange rate series are stationary, in other words the theory of PPP valid in the long-run in these countries. In the most OECD countries are refused the validity of PPP.

Keywords

• Panel Unit Root Test
• Real Exchange Rate
• Purchasing Power Parity

Satın Alma Gücü Paritesinin Uzun Dönemde Geçerliliğinin Panel Birim Kök Testleri ile Sınanması

Abstract

Son yıllarda Satın Alma Gücü Paritesi (SGP) teorisinin uzun dönemde geçerliliğini sınamak için pek çok çalışma yapılmaktadır. Panel birim kök testleri, hem genel durağanlık testlerini hem de bireysel durağanlık testlerini kapsaması nedeniyle tercih edilmektedir. Bu çalışmada 25 OECD ülkesi için reel efektif döviz kuru serisi kullanılarak, hem genel hem de bireysel olarak SGP teorisinin geçerliliği sınanmıştır. Sonuçlara göre, sadece Belçika ve Hollanda’da reel döviz kuru serisi durağandır, bir başka ifade ile bu ülkelerde uzun dönemde SGP teorisi geçerlidir. Çoğu OECD ülkesinde ise, SGP’nin geçerliliği reddedilmektedir.

Keywords

• Panel Birim Kök Testi
• Reel Döviz Kuru
• Satın Alma Gücü Paritesi

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