THE VALIDITY OF THE PURCHASING POWER PARITY HYPOTHESIS IN OECD COUNTRIES: EVIDENCE FROM THE FOURIER TEST / OECD Ülkelerinde Satın Alma Gücü Paritesi Hipotezinin Geçerliliği: Fourier Testinden Kanıtlar

Abstract

According to purchasing power parity (PPP), the nominal exchange rate between the two currencies should be equal to the ratio of the total price levels between the two countries. In other words, it is a simple theory that argues that countries' currencies will have the same purchasing value. In this study, 25 OECD countries is aimed to test the validity of the purchasing power parity hypothesis. The validity of the hypothesis was tested with the monthly data of 1980-Q1 2018-Q12 and Fourier KPSS unit root tests. As a result of the analysis, the validity of the purchasing power parity hypothesis was provided in Brazil, France, Italy, Sweden, Iceland, Ireland, Spain; It has been determined that the purchasing power parity hypothesis is not valid in the countries of Australia, Austria, Belgium, Canada, Germany, Japan, Malaysia, Mexico, Switzerland, USA, Chile, Colombia, Finland, Luxembourg, Netherlands, New Zealand, Norway, Portugal.

Keywords

• OECD Countries
• Purchasing Power Parity
• Real Exchange Rate
• Fourier KPSS Unit Root Tests

THE VALIDITY OF THE PURCHASING POWER PARITY HYPOTHESIS IN OECD COUNTRIES: EVIDENCE FROM THE FOURIER TEST / OECD Ülkelerinde Satın Alma Gücü Paritesi Hipotezinin Geçerliliği: Fourier Testinden Kanıtlar

Abstract

Satın alma gücü paritesi (PPP)’ne göre iki para birimi arasındaki nominal döviz kurunun iki ülke arasındaki toplam fiyat seviyelerinin oranına eşit olması gerekir. Diğer bir deyişle ülkelerin para biriminin aynı satın alma değerine sahip olacağını savunan basit bir teoridir. Bu çalışmada da 25 OECD ülkesinde satın alma gücü paritesi hipotezinin geçerliliğini sınamak amaçlanmıştır. 1980-Q1 2018-Q12 dönemine ait aylık veriler ile Fourier KPSS birim kök testleri ile hipotezin geçerliliği sınanmıştır. Analiz sonucunda Brezilya, Fransa, İtalya, İsveç, İzlanda, İrlanda, İspanya ülkelerinde satın alma gücü paritesi hipotezinin geçerliliğinin sağlandığı; Avustralya, Avusturya, Belçika, Kanada, Almanya, Japonya, Malezya, Meksika, İsviçre, ABD, Şili, Kolombiya, Finlandiya, Luxemburg, Hollanda, Yeni Zelanda, Norveç ve Portekiz ülkelerinde ise satın alma gücü paritesi hipotezinin geçerli olmadığı tespit edilmiştir.

Keywords

• OECD Ülkeleri
• Satın Alma Gücü Paritesi
• Reel Döviz Kuru
• Fourier KPSS Birim Kök Testleri

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