SATINALMA GÜCÜ PARİTESİ TEORİSİNİN DÖVİZ KURU BELİRLEME MODELİ OLABİLİRLİĞİ ÜZERİNE AMPİRİK BİR İNCELEME: TÜRKİYE ÖRNEĞİ

Yıl 2015, Cilt: 15 Sayı: 4, 1 - 34, 30.12.2015

Ahmet Güney Hail Tunalı

Öz

Bu çalışmada,
1990:01-2014:12 dönemi USD/TL döviz kuru için satınalma gücü paritesi
teorisinin geçerliliği test edilmiştir. Çalışmanın iki temel amacı
bulunmaktadır. İlk olarak, Türkiye'de PPP'nin geçerli bir döviz kuru belirleme
modeli olup olmadığını tespit etmek. İkinci olarak ise, fiyat endeks
tercihlerinin ve kullanılan ekonometrik yöntemlerin PPP'nin geçerliliğini etkileyip
etkilemediğini ortaya koymaktır. Bu kapsamda, Tüketici ve Üretici Fiyat
Endeksine dayalı reel döviz kuru için; ADF, DF-GLS ve PP birim kök testleri ve
nominal döviz kuru ve ülkeler arası fiyat farkı değişkenleri için Engle-Granger
(1987) ve Johansen (1988) koentegrasyon testleri uygulanmıştır. Birim kök test sonuçları (sabitli+trendli),
Türkiye'de PPP'nin hem üretici fiyat endeksine göre geçersiz bir yaklaşım
olduğunu göstermiştir. Diğer taraftan koentegrasyon ve birim kök testleri
(sabitli) ise, sadece PPI'a dayalı analizlerin PPP lehine sonuçlar verdiğini
göstermiştir. Bu sonuçlar altında PPP'nin, her nekadar kısa dönemli sapmalar
gösterse de uzun dönemde USD/TL döviz kuru için geçerli bir teori olduğu diğer
bir ifadeyle kur hareketleri için genel bir eğilim sunduğu düşünülmektedir.

Anahtar Kelimeler

Birim Kök Testleri, Satınalma Gücü Paritesi, Döviz Kuru, Koentegrasyon

Kaynakça

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