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PURCHASING POWER PARITY IN THE 1920S: A REASSESSMENT USING EFFICIENT UNIT ROOT TESTS

Year 2002, , 127 - 132, 28.06.2002

Sadullah Çelik

https://doi.org/10.14783/maruoneri.683279

Abstract

References

  • [1] FROOT, K.A.; ROGOFF, K., "Perspectives on PPP and Long-Run Real Exchange Rates", In Grossman. G., and Rogoff, K., (eds.), Handbook of International Economics, Vol.3, North Holland, New York, 1995.
  • [2] GRANGER, C.W.J., "Two Papers: Generalized Integrated Processes and Generalized Cointegration", Working Paper 87-20. University of California at San Diego, Dept. of Economics, 1987.
  • [3] DIEBOLD, F.X.; HUSTED, S.; RUSH, M., "Real Exchange Rates Under the Gold Standard", Journal of Political Economy, 99, 1991, s.1252-1271.
  • [4] CHEUNG, Y.W.; LAI, K.S., "Party Reversion in Real Exchange Rates During the post-Bretton Woods Period", Journal of International Money and Finance, 17, 1998, s.597-614.
  • [5] ZIVOT, E.; ANDREWS, D., "Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis", Journal of Business and Economic Statistics, 10, 1992, s.251-270.
  • [6] PERRON, P., "Trend Unit Root and Structural Change in Macroeconomic Time Series", In Rao B. B. (ed.), Cointegration for the Applied Economists, Macmillan Press, Basingstoke, 1994, s.113-46.
  • [7] PERRON, P.; VOGELSANG, T.J., "Nonstationarity and Level Shifts with an Application to Purchaisng Power Parity", Journal of Business and Economic Statistics, 10, 1992, s.301-320.
  • [8] CULVER, S.E.; PAPELL, D.H., "Real Exchange Rates Under the Gold Standard: Can they be explained by the trend break model?", Journal of International Money and Finance, 19, 1995, s.376-87.
  • [9] FRANKEL, J.A.; ROSE, A.K., "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries", Journal of International Economics, 40, 209-24, York, 1996, s.1647-1688.
  • [10] JORION, P.; SWEENEY, R.J., "Mean Reversion in Real Exchange Rates: Evidence and implications for Forecasting", Journal of International Money and Finance, 15, 1996, s.535-550.
  • [11] MacDONALD, R., "Panel Unit Root Tests and Real Exchange Rates", Economics Letters, 50, 1996, s.7-11.
  • [12] OH, K-Y., "Purchasing Power Parity and Unit Root Testing Using Panel Data", Journal of International Money and Finance, 15, 1996, s.405-418.
  • [13] PAPELL, D.H., "Searching for Stationarity: Purchasing Power Parity Under the Current Float", Journal of International Economics, 43, 1997, s.313-332.
  • [14] O’CONNELL, P.G.J., "The Overvaluation of Purchasing Power Parity", Journal of International Economics, 44, 1998, s.1-19.
  • [15] ELLIOTT, G.; ROTHENBERG, T.J.; STOCK, J.H., "Efficient Tests for an Autoregressive Unit Root", Econometrica, 64, 1996, s.813-836.
  • [16] PERRON. P., "Further Evidence on Breaking Trend Functions in Macroeconomic Variables", Journal of Econometrics, 80, 1997, s.355-385.
  • [17] EICHENGREEN, B. J., Golden Fetters: The Gold Standard and the Great Depression, 1919-1939, Oxford, Oxford University Press. 1992.
  • [18] FRENKEL, J. A., (1978), Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s. Journal of International Economics, 8, 1978, s.169-191.
  • [19] CLEMENTS, K.W.; FRENKEL, J.A.,(1980), Exchange Rates, Money and Relative Prices: The Dollar Pound in the 1920s. Journal of International Economics, 10, 1980, s.249-262.
  • [20] EDISON, H.J ., "Purchasing Power Parity: A Quantitative Reassessment of the 1920s Experience”, Journal of International Money and Finance, 4, 1985, s.361-372.
  • [21] MacDONALD, R.; "Are Deviations from. Purchasing Power Parity Efficient? Some Further Answers", Weltwirtschaftliches Archiv, 12, 1985, s.638-645.
  • [22] TAYLOR, M.P.; MCMAHON, F.C., "Long-Run Purchasing Power Parity in the 1920s", European Economic Review, 32, 1988, s.179-197.
  • [23] AHKING, F.W., "Further Results on Long-Run Purchasing Power Parity in the 1920s", European Economic Review, 34, 913-19, 1990.
  • [24] STOCK, J.H., "Unit Roots, Structural Breaks and Trends", In. Engle R. F., McFadden D. L. (eds.), Handbook of Econometrics, Vol.4, North-Holland, New York, 1994.
  • [25] FULLER, W.A., Introduction to Statistical Time Series, Wiley, New York, 1976.
  • [26] DICKEY, D.A., FULLER, W.A., "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of American Statistical Association, 74, 1979, s.427-431.
  • [27] BHARGAVA, A., "On the Theory of Testing for Unit Roots in Observed Time Series", Review of Economic Studies, 53, 1986, s.369-384.
  • [28] PHILLIPS, P.C.B., PERRON, P., "Testingfor a Unit Root in Time Series Regression", Biometrika, 75, 1988, s.335- 346.
  • [29] CHEUNG, Y.W.; LAI, K.S., "A Fractional Cointegration Analysis of Purchasing Power Parity", Journal of Business and Economic Statistics, 1 1, 1993, s.103-112.
  • [30] PERRON, P., "The Great Crash. the Oil Price Shock and the Unit Root Hypothesis", Econometrica, 57, 1989, s.1361-1401.
  • [31] EINZIG, P., The Theory of Forward Exchange, Macmillan, London, 1937.
  • [32] DULLES, E.L., The French Franc, Macmillan, New York, 1929.
  • [33] TINBERGEN, J., "International Abstract of Economic Statistics 1919-1930", International Conference of Economic Time Series, London, 1934.
  • [34] Ng, S.; PERRON, P., "Unit Root Tests in ARMA Models with Data Dependent Methods for the Selection ofthe Truncation Lag”, Journal of the American Statistical Association, 90, 1995, s.268-281.
  • [35] HAMILTON, J.D., Time Series Analysis, Princeton, Princeton University Press, 1994.

PURCHASING POWER PARITY IN THE 1920S: A REASSESSMENT USING EFFICIENT UNIT ROOT TESTS

Year 2002, , 127 - 132, 28.06.2002

Sadullah Çelik

https://doi.org/10.14783/maruoneri.683279

Abstract

1990’larda ekonomistlerin taşıdığı inanış “satınalma gücü paritesi sadece uzun dönemde geçerli olan bir teoridir” şeklindeydi. Bu görüş uluslararası iktisat literatürün önemli bir teorisi olan satınalma gücü paritesine olan ilgiyi belirli ölçüde azalttı. Ancak son bir kaç yılda yapılan araştırmalar ve yayınlar satınalma gücü paritesinin kısa dönemde de geçerli olabileceğini (en azından gelişmiş ülkelerde) 1973 ’ten beri uygulamada olan dalgalı kur rejimi için göstermektedir. Bu sonuca değişik bir döneme uygulayarak genelleştirmek mümkün olabilir mi? Bu çalışma yeni geliştirilmiş tekdeğişimli verimli birim kök testleri kullanarak satınalma gücü paritesinin gerçek bir dalgalı kar rejimi olan 1920’lerde ve daha kısa bir dönem için doğruluğunu göstermektedir.

Keywords

Satınalma gücü Satınalma Birim kök testi

References

  • [1] FROOT, K.A.; ROGOFF, K., "Perspectives on PPP and Long-Run Real Exchange Rates", In Grossman. G., and Rogoff, K., (eds.), Handbook of International Economics, Vol.3, North Holland, New York, 1995.
  • [2] GRANGER, C.W.J., "Two Papers: Generalized Integrated Processes and Generalized Cointegration", Working Paper 87-20. University of California at San Diego, Dept. of Economics, 1987.
  • [3] DIEBOLD, F.X.; HUSTED, S.; RUSH, M., "Real Exchange Rates Under the Gold Standard", Journal of Political Economy, 99, 1991, s.1252-1271.
  • [4] CHEUNG, Y.W.; LAI, K.S., "Party Reversion in Real Exchange Rates During the post-Bretton Woods Period", Journal of International Money and Finance, 17, 1998, s.597-614.
  • [5] ZIVOT, E.; ANDREWS, D., "Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis", Journal of Business and Economic Statistics, 10, 1992, s.251-270.
  • [6] PERRON, P., "Trend Unit Root and Structural Change in Macroeconomic Time Series", In Rao B. B. (ed.), Cointegration for the Applied Economists, Macmillan Press, Basingstoke, 1994, s.113-46.
  • [7] PERRON, P.; VOGELSANG, T.J., "Nonstationarity and Level Shifts with an Application to Purchaisng Power Parity", Journal of Business and Economic Statistics, 10, 1992, s.301-320.
  • [8] CULVER, S.E.; PAPELL, D.H., "Real Exchange Rates Under the Gold Standard: Can they be explained by the trend break model?", Journal of International Money and Finance, 19, 1995, s.376-87.
  • [9] FRANKEL, J.A.; ROSE, A.K., "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries", Journal of International Economics, 40, 209-24, York, 1996, s.1647-1688.
  • [10] JORION, P.; SWEENEY, R.J., "Mean Reversion in Real Exchange Rates: Evidence and implications for Forecasting", Journal of International Money and Finance, 15, 1996, s.535-550.
  • [11] MacDONALD, R., "Panel Unit Root Tests and Real Exchange Rates", Economics Letters, 50, 1996, s.7-11.
  • [12] OH, K-Y., "Purchasing Power Parity and Unit Root Testing Using Panel Data", Journal of International Money and Finance, 15, 1996, s.405-418.
  • [13] PAPELL, D.H., "Searching for Stationarity: Purchasing Power Parity Under the Current Float", Journal of International Economics, 43, 1997, s.313-332.
  • [14] O’CONNELL, P.G.J., "The Overvaluation of Purchasing Power Parity", Journal of International Economics, 44, 1998, s.1-19.
  • [15] ELLIOTT, G.; ROTHENBERG, T.J.; STOCK, J.H., "Efficient Tests for an Autoregressive Unit Root", Econometrica, 64, 1996, s.813-836.
  • [16] PERRON. P., "Further Evidence on Breaking Trend Functions in Macroeconomic Variables", Journal of Econometrics, 80, 1997, s.355-385.
  • [17] EICHENGREEN, B. J., Golden Fetters: The Gold Standard and the Great Depression, 1919-1939, Oxford, Oxford University Press. 1992.
  • [18] FRENKEL, J. A., (1978), Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s. Journal of International Economics, 8, 1978, s.169-191.
  • [19] CLEMENTS, K.W.; FRENKEL, J.A.,(1980), Exchange Rates, Money and Relative Prices: The Dollar Pound in the 1920s. Journal of International Economics, 10, 1980, s.249-262.
  • [20] EDISON, H.J ., "Purchasing Power Parity: A Quantitative Reassessment of the 1920s Experience”, Journal of International Money and Finance, 4, 1985, s.361-372.
  • [21] MacDONALD, R.; "Are Deviations from. Purchasing Power Parity Efficient? Some Further Answers", Weltwirtschaftliches Archiv, 12, 1985, s.638-645.
  • [22] TAYLOR, M.P.; MCMAHON, F.C., "Long-Run Purchasing Power Parity in the 1920s", European Economic Review, 32, 1988, s.179-197.
  • [23] AHKING, F.W., "Further Results on Long-Run Purchasing Power Parity in the 1920s", European Economic Review, 34, 913-19, 1990.
  • [24] STOCK, J.H., "Unit Roots, Structural Breaks and Trends", In. Engle R. F., McFadden D. L. (eds.), Handbook of Econometrics, Vol.4, North-Holland, New York, 1994.
  • [25] FULLER, W.A., Introduction to Statistical Time Series, Wiley, New York, 1976.
  • [26] DICKEY, D.A., FULLER, W.A., "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of American Statistical Association, 74, 1979, s.427-431.
  • [27] BHARGAVA, A., "On the Theory of Testing for Unit Roots in Observed Time Series", Review of Economic Studies, 53, 1986, s.369-384.
  • [28] PHILLIPS, P.C.B., PERRON, P., "Testingfor a Unit Root in Time Series Regression", Biometrika, 75, 1988, s.335- 346.
  • [29] CHEUNG, Y.W.; LAI, K.S., "A Fractional Cointegration Analysis of Purchasing Power Parity", Journal of Business and Economic Statistics, 1 1, 1993, s.103-112.
  • [30] PERRON, P., "The Great Crash. the Oil Price Shock and the Unit Root Hypothesis", Econometrica, 57, 1989, s.1361-1401.
  • [31] EINZIG, P., The Theory of Forward Exchange, Macmillan, London, 1937.
  • [32] DULLES, E.L., The French Franc, Macmillan, New York, 1929.
  • [33] TINBERGEN, J., "International Abstract of Economic Statistics 1919-1930", International Conference of Economic Time Series, London, 1934.
  • [34] Ng, S.; PERRON, P., "Unit Root Tests in ARMA Models with Data Dependent Methods for the Selection ofthe Truncation Lag”, Journal of the American Statistical Association, 90, 1995, s.268-281.
  • [35] HAMILTON, J.D., Time Series Analysis, Princeton, Princeton University Press, 1994.
There are 35 citations in total.

Details

Primary Language English
Journal Section Eski Sayılar
Authors

Sadullah Çelik This is me

Publication Date June 28, 2002
Published in Issue Year 2002

Cite

APA Çelik, S. (2002). PURCHASING POWER PARITY IN THE 1920S: A REASSESSMENT USING EFFICIENT UNIT ROOT TESTS. Öneri Dergisi, 5(18), 127-132. https://doi.org/10.14783/maruoneri.683279

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