Yükselen Piyasa Ekonomilerinde Uluslararası Satın Alma Gücü Paritesi: Panel Koentegrasyon Testlerinden Kanıtlar

Yıl 2014, Cilt: 8 Sayı: 1, 117 - 139, 01.06.2014

Önder Büberkökü

Öz

Bu çalışmada 21 tane yükselen piyasa ekonomisinde uluslararası satın alma gücü paritesinin PPP geçerliliği panel koentegrasyon testleri kullanılarak incelenmiştir. Çalışmanın ilk aşamasında Pedroni 1999, 2004 , Kao 1999 ve Johansen Fisher 1999 panel koentegrasyon testlerinden yararlanılmıştır. Bu kapsamdaki bulgular yükselen piyasa ekonomilerinde PPP’nin zayıf formunun geçerli olduğuna işaret etmektedir. Bu da ilgili ekonomilerde denge döviz kurunun belirlenmesinde PPP’nin kullanılabileceği anlamına gelmektedir. Fakat yatay kesit bağımlılığını dikkate alan Westerlund 2007 testi kullanıldığında değişkenler arasında uzun dönemli bir ilişkinin olmadığı belirlenmiştir. Bu da panel veri analizlerinde varlığı durumunda yatay kesit bağımlılığının dikkate alınmasının önemli olduğuna işaret etmektedir

Anahtar Kelimeler

Satın alma gücü paritesi, Panel koentegrasyon, Yükselen piyasa ekonomileri

Purchasing power parity for emerging markets: Evidence from panel cointegration tests

Öz

This study examines the purchasing power parity PPP of 21 emerging markets using different panel co-integration tests. First, Pedroni 1999, 2004 , Kao 1999 and Johansen Fisher 1999 tests are applied and Pedroni 2000 panel FMOLS is used to estimate the long-run parameters. The results provide strong evidence for the weak version of PPP. Then, Westerlund 2007 panel co-integration test considering cross section dependency CD is employed. In contrast, at this time, results clearly indicate that PPP is not hold. Additionally, when 21 emerging markets are subdivided into emerging Asia, emerging Europe, emerging Latin America and Africa, similar results are found. Therefore, results point out the importance of considering the CD in panel co-integration tests. Based on this analysis, it is concluded that policymakers in these emerging markets should not use purchasing power parity to determine the equilibrium exchange rate

Anahtar Kelimeler

Purchasing power parity, Panel cointegratin, Emerging markets

Kaynakça

• Abauf, N ve Jorion,P.(1990). Purchasing power parity in the long run. Journal of Finance, 4, 157-174.
• Alba,J.D. ve Papel,D.H.(2007). Purchasing power parity and country characteristics : Evidence from panel data tests .Journal of Development Economics,83,240-251.
• Alba,J.D. ve Park,D.(2003). Purchasing power parity in developing countries:Multi-period evidence under the current float. World Development,31,2049-2060.
• Al-mulali,U.(2011). Oil consumption,CO emission and economic growth in 2 MENA countries .Energy,36,6165-6171.
• Alves ,D.C.O ve Bueno,R.D.(2003). Short-run,long-run and cross elasticities of gasoline demand in Brazil .Energy Economics,25,191-199.
• Alves, D.C.O ve Bueno, R.D. (2003). Short-Run, Long-Run and Cross Elasticities of Gasoline Demand in Brazil. Energy Economics, 25 (2), 191-199.
• Banerjee,A. ve Carrion-i Silvestre,J.L.(2006). Cointegration in panel data with breaks and cross section dependency. Working paper,Europen Central Bank.
• 8. Basher,S.A. ve Mohsin.M.(2004). PPP tests in cointegrated panels:evidence from Asain developing countries .Applied Economic Letters,11,163-166.
• Bildirici,M.E ve Kayıkçı,F.(2012). Economic growth and electricity consumption in former Soviet Republics. Energy Economics,34,747-753.
• Breitung, J.(2000). The local power of some unit root tests for panel data .In B.H.Baltagi (Ed).Advances in econometrics : nonstationary panels,panel cointegration and dynamic panels .Amsterdam,the Netherlands:Elsevier.
• Breusch, T.S ve Pagan ,A.R. (1980). The lagrange multiplier test and its application to model spesifications in econometrics . The Review of Economic Studies,47,239-253.
• Cavalcanti,T.V., Mohaddes, K. ve Raissi,M. (2011). Growth,development and natural resources: New evidence using a heterogeneous analysis. The Quarterly Review of Economics and Finance, 51, 305-318.
• Cerrato,M. ve Sarantis,N.(2008). Symmetry,proportionality and the purchasing power parity:evidence from panel cointegration tests .International Review of Economics and Finance,17,56-65.
• Chang,T., Liu,W.C., Tzeng,H-W ve Yu, C-P. (2010). Purchasing power parity for G-7 countries:Panel SURADF tets .Applied Economic Letters,17,1223-1228.
• Chong,Y., Jorda, O. ve Taylor,A.(2010). The Harrod-Balassa-Samuelson Hypothesis: Reel Ecxhange rates and their long-run equilibrium. NBER çalışma Tebliği,No:15868
• Doğanlar, M., Bal, H. ve Özmen, M.(2009). Testing long-run validity of purchasing power parity for selected emerging market economies . Applied Economics Letters,16,1443-1448.
• Doğanlar,M.(1999). Testing long-run validity of purchasing power parity for Asian countries. Applied Economic Letters, 6,147-151.
• Eggoh,J.C ,Bangake,C. ve Rault,C.(2011). Energy consumption and economic growth revisited in African Countries . Energy Policy,39,7408-7421.
• Engle,R. ve Granger,C.(1987).Co-integration and error correction:representation ,estimation and testing .Econometrica,55,251-276.
• Güney, P.Ö.,Telatar, E. ve Hasanov,M.(2012). Re-examining purchasing power parity for selected emerging markets and African countries. Applied Economics Letters,19,139-144.
• Handri,K.(2000). Testing for stationarity in heterogeneous panel data .Econometric Journal,3,48-161.
• Herzer,D.(2011). The long-run effect of outward FDI on domestic output in developing countries .Applied Economics Letters, 18, 1355–1358.
• Herzer,D.(2012). Cross-Country heterogeneity and the trade-income relationship. World Development, 44,194-211.
• Hlouskova, J ve Wagner, M.(2006). The performance of panel unit root and stationary tests:results from a large scale simulation study .Econometrics Reviews,25,85-116.
• Im,K.S.,Pesaran M.H ve Shin,Y.(2003).Testing for unit roots in heterogeneous panels ,Journal of Econometrics,115,53-74.
• Jaunky,V.C.(2011). The CO emissions-income nexus:Evidence from rich 2 countries. Energy Policy, 39,1228-1240.
• Jenkins, M.A. ve Snaith, S.M.(2005). Tests of purchasing power parity via cointegration analysis of heterogeneous panel with consumer price indices. Journal of Macroeconomics,27, 345-362.
• Jenkins,M. ve Snaith,S.(2005).Test of purchasing power parity via cointegration analysis of heterogeneous panels with consumer price indices. Journal of Macroeconomics, 27,345-362.
• Johansen ,S.(1988). Statistical analysis of cointegration vectors .Journal of Economic Dynamics and Control,12, 231-254
• Kao,C.(1999).Spurious regression and residual-based tests for cointegration in panel data .Journal of Econometrics,90,1-44.
• Ketenci,N.(2013). The Feldstein-Horioka puzzle in grouping of OECD members:A panel approach .Research in Economics,67,76-87.
• Lean ,H.H. ve Smyth,R.(2010). CO emissions,electricity consumption and 2 output in ASEAN . Applied Energy,87,1858-1864.
• Lee, J.W ve Brahmasrene,T.(2013). Investigating the influence of tourism on economic growth and carbon emission :evidence from panel analysis of the European Union .Tourism Managment,38,69-76.
• Levin,A.,Lin,C-F ve Chu,C-S,J.(2002). Unit root tests in panel data:asymptotic and finite-sample properties. Journal of Econometrics,108,1-24.
• MacKinnon J.G, Haung A.A.ve Michelis L.(1999). Numerical distribution function of likelihood ratio tests fot cointegration. Journal of Applied Econometrics,14,563-577.
• Maddala,G.S ve Wu,S.(1999). A comparative study of unit root tests with panel data and a new simle test. Oxford Bulletion of Economics and Statictics ,61,631-652.
• Mishra,V., Smyth,R. ve Sharma S.(2009). The energy-GDP nexus:evidence from a panel of Pacific Island Countries . Resource and Energy Economics,31,210-220.
• Narayan,P.K.(2010). Evidence on PPP for selected Asian countries from a panel cointegration test with structural breaks. Applied Economics,42,325-332
• Narayan,P.K.,Smyth,R.ve Prasad,A.(2007). Electricity consumption in G7 countries :A panel cointegration analysis of residential demand elasticities . Energy Policy,35,4485-4494.
• O’Connell, P.G.J. (1998). The overvaluation of purchasing power parity . Journal of International Economics, 44,1-9.
• Pan,G.,Chang,T.,Lee,C-H. ve Liu,W-C.(2012). Revisiting purchasing power parity for 18 African countries:sequential panel selection method .Applied Economic Letters,19,877-881.
• Pao,H-T. ve Tsai,C-M.(2010). CO emission,energy consumption and 2 economic growth in BRIC countries .Energy Policy,38,7850-7860.
• Pedroni, P. (2000). Fully Modified OLS for Heterogeneous Cointegrated Panel. Advances in Econometrics, 15, 93-130.
• Pedroni, P. (2001). Purchasing Power Parity Tests in Cointegrated Panels.The Review of Economics and Statistics, 83(4), 727-731.
• Pedroni,P.(1999). “Critical values for cointegration tests in heterogeneous panels with multiple regressors”.Oxford Bulletion of Economics and Statictics ,61,653-670.
• Pedroni,P.(2001). Purchasing Power Parity Tests in Cointegrated Panels .The Review of Economics and Statistics,83(4),727-731.
• Pedroni,P.(2004). Panel cointegration :asymptotic and finite sample properties of pooled time series tests with an application to PPP hypotjesis . Econometric Theory,20,597-625.
• Pesaran,M.(2004). General diagnostic tests for cross section dependency in panels. Cambridge Working Papers in Economics no.435,University of Cambridge.
• Peseran, M.H.(2007). A simple panel unit root tests in the presence of cross section dependency . Journal of Applied Econometrics ,22,265-312.
• Polemis,M.L. ve Fotis P.N.(2013). Do gasoline prices respond asymmetrically in the euro zone area? Evidence from cointegrated panel data analysis .Energy Policy,56,425-433.
• Rao,B.B. ve Kumar , S.(2009). A panel data approach to the demand for money and the effects of financial reformsin the Asian countries .Economic Modelling, 26, 1012–1017
• Sadorsky, P. (2012). Energy Consumption, Output and Trade in South America. Energy Economics, 34, 476-488.
• Sadorsky,P.(2011). Trade and Energy consumption in the Middle East .Energy Economics ,33,739-749.
• Sadorsky,P.(2012). Energy consumption, output and trade in South America . Energy Economics, 34,476-488.
• Sarno ,L. ve Valante,G.(2003). Deviations from purchasing power parity under different monetary regimes:Do they revert and,if so,how? . Journal of Banking & Finance, 30,3147-3169.
• Singh,T.(2013). International mobility of capital in the OECD countries :a robust evidence from panel data estimators .Applied Economic Letters,20,692-696.
• Stock, J. H.(1987). Asymptotic Properties of a Least Squares Estimator of Cointegration Vectors ., Econometrica, 55, 1035-1056.
• Su,C-H., Chang,T. ve Liu,Y-S.(2012). Revisiting purchasing power parity for African countries:with nonlinear panel unit-root tests .Applied Economics,44,3263-3273.
• Uslu, E.(2012). Reel kurun denge değerinden sapmasında Balassa-Samuelson etkisi : Türkiye örneği. Türkiye Cumhuriyet Merkez Bankası Para Politikası Uzmanlık Tezi . http://www.tcmb.gov.tr/yayınlar/uzmanlık tezleri.
• Westerlund,J. ve Persyn,D.(2008). Error-correction–based cointegration tests for panel data . The Stata Journal, 8,236-241.
• Westerlund,J.(2007). Testing for error correction in panel data. Oxford Bulletion of Economics and Statistics, 69,709-748.
• Wu, J.L. ve Lee, H.Y.(2009). A revisit to the non-linear mean reversion of real exchange rates: evidence from a series-specific non-linear panel unit root tests . Journal of Macroeconomics ,31,591-601.
• Zhang,D., Chang,T. ve Lee,C-H. ve Hung,K.(2013). Revisiting purcasing power parity for eight Asian Countries :sequential panel selection method. Applied Economic Letters, 20,62-66.
• Zhang,S. ve Lowinger,T.(2006). An empirical test of purchasing power parity in selected developing countries: a panel data approach. International Economic Journal, 20,79-86.
• Zhang,S. ve Lowinger,T.C.(2006). An empirical tests of purchasing power parity in selected developing countries: a panel data approach .International Economic Journal,20,79-86.