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Satın Alma Gücü Paritesinin Geçerliliğinin Test Edilmesi: Zaman Serisi ve Panel Veri Analizi

Year 2013, Volume 8, Issue 3, 75 - 96, 01.09.2013

Abstract

Satın alma gücü paritesi ülkeler arasındaki döviz kuru ve fiyat düzeyi arasındaki ilişkiyi ele alan önemli bir yaklaşımdır. Bu bağlamda, eğer satın alma gücü paritesi geçerli ise ülkeler arasındaki fiyat düzeyinde meydana gelen değişimler, nominal döviz kurunda meydana gelecek değişimler tarafından dengelenecektir. Dolaysıyla reel döviz kuru sabit bir ortalama etrafında dalgalanacaktır. Bunun için, satın alma gücü paritesinin test edilmesi reel döviz kurunun birim kök özelliklerinin incelenmesi ile yapılabilir. Bu çalışmada, zaman serisi olarak Türkiye için reel döviz kuru serisi standart ve çoklu kırılmalı birim kök testleri ile sınanmış; panel veri olarak AB-27, AB-15, OECD ve G-8 ülkeleri için yatay kesit bağımlılığını dikkate alan CADF panel birim kök testleri ile sınama yapılmıştır. Elde edilen bulgular, satın alma gücü paritesinin Türkiye ekonomisi için geçerli olmadığını yönünde iken AB-27, AB-15, OECD ve G-8 ülkeleri için geçerli olduğu yönündedir.

References

  • Alba, J. D. ve Park, D. (2005), “Non-Linear Mean Reversion of Real Exchange Rates and Purchasing Power Parity: Some Evidence from Turkey”. Applied Economics Letters, 12(11), 701-704.
  • Bai, J., Perron, P. (2003), “Computation and Analysis of Multiple Structural Change Models”. Journal of Applied Econometrics. 18: 1-22.
  • Bai, J. and Ng, S. (2004), “A Panic Attack on Unit Roots and Cointegration”, Econometrica, 72(4): 1127-1178.
  • Beyaert, A. and Camacho, M. (2008), “TAR Panel Unit Root Tests and Real Convergence: An Application to the EU Enlargement Process”, Review of Development Economics, 12(3): 668-681.
  • Breitung, J. (2005), “A Parametric Approach to the Estimation of Cointegrating Vectors in Panel Data”, Econometric Reviews, 24(2): 151-173.
  • Breitung, J. ve Candelon, B. (2005), “Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks”, Review of World Economics, 141(1), 124-140.
  • Breuer, B., Mcnown, R. and Wallace, M. (2002), “Series-Specific Unit Root Test with Panel Data”, Oxford Bulletin of Economics and Statistics, 64(5): 527-546.
  • Breusch, T. S ve Pagan, A. R. (1980), “The Lagrange Multiplier Test and Its Applications to Model Specification Tests in Econometrics”, Review of Economic Studies, 47, 239-53.
  • Carrion-i-Silvestre, J. Ll. and Sansó, A. (2006), “Testing the null of Cointegration with Structural Breaks”, Oxford Bulletin of Economics and Statistics, 68, 623-646. GAUSS codes.

Test for Validity of Purchasing Power Parity: Time Series and Panel Data Analysis

Year 2013, Volume 8, Issue 3, 75 - 96, 01.09.2013

Abstract

Purchasing Power Parity is an important approach to explain relationship between exchange rate and price level. In this case, if purchasing power parity is valid, change in price level between countries offsets equal change in nominal exchange rate. Hence, real exchange rate is mean reversion. For this, test for purchasing power parity, unit root properties of real exchange rate is examined. In this study, real exchange rate series investigates with standard and multiple break unit root tests for Turkey as a time series; with panel unit root test under crosssectionally dependence assumption for AB-27, AB-15, OECD and G-8 countries. Our findings show that purchasing power parity is not valid for Turkey but is valid for AB-27, AB-15, OECD and G-8 countries.

References

  • Alba, J. D. ve Park, D. (2005), “Non-Linear Mean Reversion of Real Exchange Rates and Purchasing Power Parity: Some Evidence from Turkey”. Applied Economics Letters, 12(11), 701-704.
  • Bai, J., Perron, P. (2003), “Computation and Analysis of Multiple Structural Change Models”. Journal of Applied Econometrics. 18: 1-22.
  • Bai, J. and Ng, S. (2004), “A Panic Attack on Unit Roots and Cointegration”, Econometrica, 72(4): 1127-1178.
  • Beyaert, A. and Camacho, M. (2008), “TAR Panel Unit Root Tests and Real Convergence: An Application to the EU Enlargement Process”, Review of Development Economics, 12(3): 668-681.
  • Breitung, J. (2005), “A Parametric Approach to the Estimation of Cointegrating Vectors in Panel Data”, Econometric Reviews, 24(2): 151-173.
  • Breitung, J. ve Candelon, B. (2005), “Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks”, Review of World Economics, 141(1), 124-140.
  • Breuer, B., Mcnown, R. and Wallace, M. (2002), “Series-Specific Unit Root Test with Panel Data”, Oxford Bulletin of Economics and Statistics, 64(5): 527-546.
  • Breusch, T. S ve Pagan, A. R. (1980), “The Lagrange Multiplier Test and Its Applications to Model Specification Tests in Econometrics”, Review of Economic Studies, 47, 239-53.
  • Carrion-i-Silvestre, J. Ll. and Sansó, A. (2006), “Testing the null of Cointegration with Structural Breaks”, Oxford Bulletin of Economics and Statistics, 68, 623-646. GAUSS codes.

Details

Primary Language Turkish
Subjects Social
Journal Section Articles
Authors

Kemal YILDIRIM This is me


Mehmet MERCAN This is me


S. Fatih KOSTAKOĞLU This is me

Publication Date September 1, 2013
Application Date November 2, 2014
Acceptance Date
Published in Issue Year 2013, Volume 8, Issue 3

Cite

APA Yıldırım, K. , Mercan, M. & Kostakoğlu, S. F. (2013). Satın Alma Gücü Paritesinin Geçerliliğinin Test Edilmesi: Zaman Serisi ve Panel Veri Analizi . Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 8 (3) , 75-96 . Retrieved from https://dergipark.org.tr/en/pub/oguiibf/issue/5713/76478