TESTING THE VALIDITY OF PURCHASING POWER PARITY FOR BRICS COUNTRIES USING NON-LINEAR UNIT ROOT TEST

Year 2015, Volume: 7 Issue: 12, 90 - 99, 18.05.2015

Ali Alper

https://doi.org/10.20990/aacd.20953

Cited By: 1

Abstract

The main aim of this paper is to investigate the validity of the purchasing power parity (PPP) hypothesis for BRICS countries, by using both Kapetanios et al. (KSS) and rolling KSS unit root tests. By adopting the rolling unit root test, the study aims to determine episodic characteristics of the real exchange rates. The results of the KSS unit root test show that the PPP hypothesis is not valid for the entire countires. On the other hand, the study has found evidence of the validity of PPP for only short time of periods by using rolling KSS. 

Keywords

Purchasing power parity, non-linear time series, KSS unit root test

SATIN ALMA GÜCÜ PARİTESİNİN BRICS ÜLKELERİ İÇİN DOĞRUSAL OLMAYAN BİRİM KÖK TESTİ İLE SINANMASI

Abstract

Bu çalışmanın amacı satın alma gücü paritesini (SGP) BRICS ülkeleri için hem KSS hem de yuvarlanan KSS yöntemlerini kullanarak test etmektir. Çalışmada yuvarlanan KSS birim kök testini kullanarak, reel döviz kurunun dönemsel karakteristiklerini tespit etmeyi amaçlıyoruz. KSS birim kök testinin sonucunda SGP hipotezinin bütün BRICS ülkeleri için geçersiz olduğu tespit edilmiştir. Diğer taraftan, yuvarlanan KSS birim kök testi ile kısa zaman aralıklarında ülkelerde SGP’nin geçerli olduğu tespit edilmiştir

Keywords

Satın alma gücü paritesi, doğrusal olmayan zaman serileri, KSS birim kök testi

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