Testing the Validity of The Purchasing Power Parity Theory in Selected Integration Organizations by Using the Fourier Function with Fractional Unit Roots

Year 2021, Volume: 29 Issue: 49, 373 - 388, 30.07.2021

Havanur Ergün Tatar

https://doi.org/10.17233/sosyoekonomi.2021.03.19

Abstract

The specific terminology of purchasing power parity has been at the centre of international policy debates among the major industrialized countries in the years after World War I. In this study, fractional unit root analysis has been conducted by using Fourier functions. The purchasing power parity theory has been assessed among different integration organizations such as NAFTA, MERCOSUR, EU15, and selected OECD countries for the 1960-2019 period. Fractional Frequency Fourier ADF and conventional ADF tests were performed in the study. Traditional ADF results have been calculated for countries where trigonometric terms are meaningless. According to the analysis results, it has been determined that the purchasing power parity theory is valid for integration organizations except for MERCOSUR.

Keywords

Purchasing Power Parity, Real Exchange Rate, Unit Root Test

Seçilmiş Entegrasyon Örgütlerinde Satın Alma Gücü Paritesi Teorisinin Geçerliliğinin Fourier Fonksiyonu Kullanarak Fraksiyonel Birim Kökleriyle Test Edilmesi

Abstract

Satın alma gücü paritesinin özel terminolojisi, I. Dünya Savaşı’ndan sonraki yıllarda, başlıca sanayileşmiş ülkeler arasında, uluslararası politika tartışmalarının merkezine oturmuştur. Bu çalışmada, Fourier fonksiyonları kullanılarak, fraksiyonel birim kök incelemesi yapılmıştır. Teorem 1960-2019 dönemi için NAFTA, MERCOSUR, AB15 ve seçilmiş OECD ülkeleri gibi farklı entegrasyon örgütleri kapsamında ele alınmıştır. Çalışmada, Kesirli Frekanslı Fourier ADF ve geleneksel ADF testleri yapılmıştır. Trigonometrik terimleri anlamsız olan ülkelerde geleneksel ADF sonuçları hesaplanmıştır. Analiz sonuçlarına göre, MERCOSUR hariç diğer entegrasyon şekillerinde satın alma gücü paritesi hipotezinin geçerli olduğu tespit edilmiştir.

Keywords

Satın Alma Gücü Paritesi, Reel Döviz Kuru, Birim Kök Testi

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