Satın Alma Gücü Paritesinin Azerbaycan, Kazakistan ve Kırgızistan İçin Geçerliliği: Birim Kök ve Eşbütünleşme Analizi

Yıl 2013, Sayı: 64, 259 - 284, 01.06.2013

Turhan Korkmaz Emrah İsmail Çevik Nüket Kırcı Çevik

Öz

Bu çalışmada Azerbaycan, Kazakistan ve Kırgızistan’da satın alma gücü paritesi hipotezinin geçerliliği geleneksel birim kök ve eşbütünleşme testleri yanında yapısal kırılmaları dikkate alan birim kök ve eşbütünleşme testleri ile de araştırılmıştır. Geleneksel birim kök ve eşbütünleşme testleri bu ülkelerde satın alma gücü paritesi hipotezinin geçerli olmadığını; buna karşın yapısal kırılmaları dikkate alan testler hipotezin geçerli olduğu sonucunu vermiştir. Ayrıca, 1998 yılında Rusya’da yaşanan ekonomik krizin söz konusu ülkelere ait döviz kurları serilerinde yapısal kırılmalara neden olacak derecede etkili olduğu sonucuna varılmıştır

Anahtar Kelimeler

Satın Alma Gücü Paritesi, Birim Kök, Eşbütünleşme, Yapısal Kırılma

The Validity of Purchasing Power Parity for Azerbaijan, Kazakhstan, and Kyrgyzstan: Evidence from Unit Root and Co-integration Tests

Öz

In this study, we examine the validity of purchasing power parity by applying unit root and co-integration tests which allow structural breaks in Azerbaijan, Kazakhstan, and Kyrgyzstan. Although conventional unit root and co-integration tests results indicate that purchasing power parity does not hold in these countries, we determine the validity of purchasing power parity according to unit root and co-integration tests which allow structural breaks. Also, we conclude that the exchange rate of these countries has been affected by the Russian financial crises of 1998 and that the crisis in question has led to structural breaks in the exchange rates of these countries.

Anahtar Kelimeler

Purchasing Power Parity, Unit Root, Co-integration, Structural Break

Kaynakça

• Assaf, Ata (2008). “Nonstationarity in Real Exchange Rates Using Unit Root Tests with a Level Shift at Unknown Time”. International Review of Eco nomics and Finance (17): 269-278.
• Barlow, David (2003). “Purchasing Power Parity in Three Transition Econo mies”. Economics of Planning (36): 201-223.
• Beko, Jani and Darja Borsic (2007). “Purchasing Power Parity in Transition Economies: Does It Hold in the Czech Republic, Hungary and Slovenia?”. Post-Communist Economies (19): 417-432.
• Bergman, U. Michael and Jesper Hanson (2005). “Real Exchange Rates and Switching Regimes”. Journal of International Money and Finance (24): 121-138.
• Brada, Josef C. (1998). “Introduction: Exchange Rates, Capital Flows, and Commercial Policies in Transition Economies”. Journal of Comparative Economics (26): 613-620.
• Cheung, Yin-Wong and Kon S. Lai (2001). “Long Memory and Nonlinear Mean Reversion in Japanese Yen-Based Real Exchange Rates”. Journal of International Money and Finance (20): 115-132.
• Cuestas, Juan C. and Luis A. Gil-Alana (2009). “Further Evidence on the PPP Analysis of the Australian Dollar: Non-linearities, Fractional Integration and Structural Changes”. Economic Modelling (26): 1184-1192.
• Dibooglu, Selahattin and Ali M. Kutan (2001). “Sources of Real Exchange Rate Fluctuations in Transition Economies: The Case of Poland and Hungary”. Journal of Comparative Economics (29): 257-275.
• Dickey, David A. and Wayne A. Fuller (1979). “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”. Journal of the American Statistical Association (74): 427-431.
• Doğanlar, Murat (1999). “Testing Long-run Validity of Purchasing Power Parity for Asian Countries”. Applied Economics Letters (6): 147-151.
• _____, (2006). “Long-run Validity of Purchasing Power Parity and Cointegration Analysis for Central Asian Countries”. Applied Economics Letters (13): 457 461.
• Doğanlar, Murat, Harun Bal and Mehmet Özmen (2009). “Testing Long-run Validity of Purchasing Power Parity for Selected Emerging Market Econ omies”. Applied Economics Letters (16): 1443-1448.
• Elliott, Graham, Thomas J. Rothenberg and James H. Stock (1996). “Efficient Tests for an Autoregressive Unit Root”. Econometrica (64): 813-836.
• Enders, Walter (2004). Applied Econometric Time Series. USA: John Wiley&Sons Inc.
• Engle, Robert F. and Clive W. J. Granger (1987). “Co-integration and Error Correction: Representation, Estimation and Testing”. Econometrica (55): 251-276.
• Gregory, Allan W. and Bruce E. Hansen (1996). “Residual-Based Tests for Cointegration in Models with Regime Shifts”. Journal of Economics (70): 99-126.
• Halpern, Lionel and Charles Wyplosz (1997). “Equilibrium Exchange Rates in Transition Economies”. IMF Staff Papers (44): 430-461.
• Hamilton, James D. (1994). Time Series Analysis. Princeton University Press: Princeton, New Jersey.
• Hatemi-J, Abdulnasser (2008). “Test for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”. Em pirical Economics (35): 497-505.
• Hegwood, Natelie D. and David H. Papeli, (1998). “Quasi Purchasing Power Parity”. International Journal of Finance and Economics (3): 279-89.
• Holmes, Mark J. and Ping Wang (2006). “Asymmetric Adjustment Towards Long-Run PPP: Some New Evidence for Asian Economies”. International Economic Journal (20): 161-177. http://www.worldbank.org (Erişim Tarihi: 21.11.2009).
• Kanas, Angelos (2006). “Purchasing Power Parity and Markov Regime Switch ing”. Journal of Money, Credit, and Banking (38): 1669-1687.
• Kanas, Angelos and Margarita Genius (2005). “Regime (non)stationarity in the US/UK Real Exchange Rate”. Economics Letters (87): 407-413.
• Kanas, Angelos (2009). “Real Exchange Rate, Stationarity, and Economic Fun damentals”. Journal of Economics and Finance (33): 393-409.
• Kapetanios, George, Yongcheol Shin and Andy Snell (2003). “Testing for a Unit Root in the Nonlinear STAR Framework”. Journal of Econometrics (112): 359-379.
• Koukouritakis, Minoas (2009). “Testing the Purchasing Power Parity: Evidence from the New EU Countries”. Applied Economics Letters (16): 39-44.
• Kwiatkowski, Denis vd. (1992). “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root”. Journal of Econometrics (54): 159-178.
• Lee, Junsoo and Mark C. Strazicich (2003). “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”. The Review of Economics and Sta tistics (85): 1082-1089.
• Liew, Venus Khim-Sen, Ricky Chee-Jiun Chia and Tai-Hu Ling (2009a). “Long run Validity of Purchasing Power Parity and Rank Tests for Cointegration for Central Asian Countries”. Applied Economics Letters: 1-5.
• Liew, Venus Khim-Sen, Hock-Ann Lee and Kian-Ping Lim (2009b). “Purchasing Power Parity in Asian Economies: Further Evidence from Rank Tests for Cointegration”. Applied Economics Letters (16): 51-54.
• MacKinnon, James G. (1996). “Numerical Distribution Functions for Unit Root and Cointegration Tests”. Journal of Applied Econometrics (11): 601-618.
• Nagayasu, Jun and Noriko Inakura (2009). “PPP: Further Evidence from Japa nese Regional Data”. International Review of Economics & Finance (18): 419-427.
• Narayan, Paresh Kumar and Russel Smyth (2007). “Mean Reversion versus Ran dom Walk in G7 Stock Prices Evidence from Multiple Trend Break Unit Root Tests”. International Financial Markets, Institutions and Money (17): 152-166.
• Orlowski, Lucjan (1998). “The Role of Exchange Rates in the Central European Transformation”. Institute fur Wirtschaftsforschung Halle Discussion Paper.
• Payne, James, Junsoo Lee and Richard Hofler (2005). “Purchasing Power Parity: Evidence from a Transition Economy”. Journal of Policy Modeling (7): 665-672.
• Perron, Pierre (1989). “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”. Econometrica (57): 1361-1401.
• Pesaran, Hashem, Yongcheol Shin, and Richard J. Smith (2001). “Bounds Test ing Approaches to the Analysis of Level Relationship”. Journal of Applied Econometrics (16): 289-326.
• Phillips, Peter C. B. and Pierre Perron (1988). “Testing for a Unit Root in Time Series Regression”. Biometrika (75): 335-346.
• Robertson, Raymond, Anil Kumar and Donald H. Dutkowsky (2009). “Purchas ing Power Parity and Aggregation Bias for a Developing Country: The Case of Mexico”. Journal of Development Economics (90): 237-243.
• Rogoff, Kenneth (1996). “The Purchasing Power Parity Puzzle”. Journal of Eco nomic Literature (34): 647-668.
• Sarno, Lucio and Mark Taylor (2002). “Purchasing Power Parity and the Real Exchange Rate”. IMF Staff Papers (49): 65—105.
• Solakoğlu, Ebru Guven (2006). “Testing Purchasing Power Parity Hypothesis for Transition Economies”. Applied Financial Economics (16): 561-568.
• Sollis, Robert (2005). “Evidence on Purchasing Power Parity from Univariate Models: The Case of Smooth Transition Trend-Stationarity”. Journal of Applied Econometrics (20): 79-98.
• Taylor, Mark and Lucio Sarno (1998). “The Behavior of Real Exchange Rates during the Post-Bretton Woods Period”. Journal of International Economics (46): 281-312.
• Taylor, Mark (2006). “Real Exchange Rates and Purchasing Power Parity: Mean Reversion in Economic Thought”. Applied Financial Economics (16): 1-17.
• Telatar, Erdin^ and Mubariz Hasanov (2009). “Purchasing Power Parity in Tran sition Economies: Evidence from the Commonwealth of Independent States”. Post-Communist Economies (21): 157-173.
• Yoon, Gawon (2009). “Purchasing Power Parity and Long Memory”. Applied Economics Letters (16): 55-61.
• Zivot, E. and D. W. K. Andrews (1992). “Further Evidence on the Great Crash, the Oil-Price Shock and the Unit Root Hypothesis”. Journal of Business and Economic Statistics (10): 251-270.