ASEAN Ülkelerinde Satın Alma Gücü Paritesi Hipotezinin Geçerliliğine İlişkin Bir Analiz

Öz

Bu çalışmanın amacı, satın alma gücü paritesi hipotezinin geçerliliğini ASEAN (Endonezya, Malezya, Tayland, Filipinler, Singapur, Brunei, Vietnam, Laos, Kamboçya) ülkeleri için yatay kesit bağımlılığı yanı sıra yapısal kırılmaları göz önüne alan panel birim kök testleri yardımı ile test etmektir. Bu amaçla 1995:01-2017:05 arası döneme ait aylık verilerden yararlanılmıştır. Yapısal kırılmaları göz önüne alan Panel LM test sonuçlarına göre ASEAN ülkeleri için satın alma gücü paritesi hipotezinin geçerli olduğuna ilişkin bulgulara ulaşılmıştır.   

Anahtar Kelimeler

• Satın Alma Gücü Paritesi,Reel Döviz Kuru,Birinci Nesil Panel Birim Kök Testi

An Analysis on the Validity of Purchasing Power Parity Hypothesis in ASEAN Countries

Öz

The aim of this study is to test the validity of the purchasing power parity hypothesis with the help of panel unit root tests taking into account the cross-sectional dependence as well as structural breaks for ASEAN (Indonesia, Malaysia, Thailand, Philippines, Singapore, Brunei, Vietnam, Laos, Cambodia). For this purpose, monthly data for the period 1995: 01-2017: 05 was used. According to the results of the Panel LM test which takes into account the structural breaks, it was found that the hypothesis of purchasing power parity is valid for ASEAN countries.

Anahtar Kelimeler

• Purchasing Power Parity,Real Exchange Rate,First Generation Panel Unit Root Test

Kaynakça

1. Al-Gasaymeh, A., & Kasem, J. (2015). Strong and Weak Form of Purchasing Power Parity: The Case of Jordan and its Major Trading Partners. Journal of International Business and Economics, 3(1), 93-108.
2. Alper, E A. (2015). Testing The Validity of Purchasing Power Parity For BRICS Countries Using Non-Linear Unit Root Test. Journal of Academic Researches and Studies, 7(12), 90-99.
3. Baharumshah, A. Z., Tze-Haw, C., & Fountas, S. (2008). Re-examining purchasing power parity for East-Asian currencies: 1976–2002. Applied Financial Economics, 18(1), 75-85.
4. Bozoklu, Ş., & Yılancı, V. (2010). Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. Maliye Dergisi, 158, 587-606.
5. Çağlayan, E., & Şak, N. (2009). OECD Ülkelerinde Satınalma Gücü Paritesi: Panel Eşbütünleme Yaklaşımı. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 26(1), 483-500.
6. Chang, T., Lee, C. H., & Liu, W. C. (2012). Nonlinear adjustment to purchasing power parity for ASEAN countries. Japan and the World Economy, 24(4), 325-331.
7. Choi, I. (2001). Unit root tests for panel data. Journal of international money and Finance, 20(2), 249-272.
8. Choji, N. M., & Manga, E. (2017). Purchasing Power Parity Theory using Panel Data Approach. International Journal of Recent Research in Mathematics Computer Science and Information Technology, 4(1), 63-66.

9. Drine, I., & Rault, C. (2008). Purchasing Power Parity for Developing and Developed Countries. What Can We Learn From Non‐Stationary Panel Data Models?. Journal of Economic Surveys, 22(4), 752-773.
10. Elmi, Z. M., & Ranjbar, O. (2010). Purchasing Power Parity Hypothesis in OIC Countries: Evidence from Panel Unit Root Tests with Heterogeneous Structural Breaks. Iranian Economic Review, 15(27), 1-12.
11. Erlat, H. (2003). The nature of persistence in Turkish real exchange rates. Emerging Markets Finance and Trade, 39(2), 70-97.
12. Güloğlu, B., Ispira, S., & Okat, D. (2011). Testing the validity of quasi PPP hypothesis: evidence from a recent panel unit root test with structural breaks. Applied Economics Letters, 18(18), 1817-1822.
13. Im, K. S., Lee, J., & Tieslau, M. (2005). Panel LM unit‐root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3), 393-419.
14. Im, K., Pesaran, M. H., & Shin, Y. (1997). Testing for Unit Roots in Heterogeneous Panels. University of Cambridge.
15. Jayaraman, T. K., & Choong, C. K. (2013). Purchasing power parity theory and its validity in Pacific Island countries. Fiji National University, College of Business, Hospitality & Tourism Studies, Working Paper Series, 1, 13.
16. Karagöz, K., & Saraç, B. (2016). Testing the Validity of PPP Theory for Turkey: Nonlinear Unit Root Testing. In: Istanbul Conference of Economics and Finance, ICEF 2015, 22-23 October 2015.
17. Kaya, H., & Çelik, İ. (2018). Türkiye’de Satın Alma Gücü Paritesi Hipotezinin Geçerliliği: Uzun Hafıza Testlerinden Kanıtlar. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(2), 351-365.
18. Khan, N. F., & Ahmad, E. (2005). Test of purchasing power parity based on cointegration technique: The Asian evidence. Pakistan Economic and Social Review, 43(2), 167-183.
19. Korkmaz, T., Çevik, E. İ., & Çevik, N. K. (2013). Satın Alma Gücü Paritesinin Azerbaycan, Kazakistan ve Kırgızistan İçin Geçerliliği: Birim Kök ve Eşbütünleşme Analizi. Bilig, (64), 259-284.
20. Lee, J., & Strazicich, M. C. (2001). Break point estimation and spurious rejections with endogenous unit root tests. Oxford Bulletin of Economics and statistics, 63(5), 535-558.
21. Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of economics and statistics, 85(4), 1082-1089.
22. Lee, J., & Strazicich, M. C. (2013). Minimum LM unit root test with one structural break. Economics Bulletin, 33(4), 2483-2492.
23. Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of econometrics, 108(1), 1-24.
24. Maddala, G. S., & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and statistics, 61(S1), 631-652.
25. Nunes, L. C., Newbold, P., & Kuan, C. M. (1997). Testing for unit roots with breaks: evidence on the great crash and the unit root hypothesis reconsidered. Oxford Bulletin of Economics and Statistics, 59(4), 435-448.
26. O'Connell, P. G. (1998). The overvaluation of purchasing power parity. Journal of international economics, 44(1), 1-19.
27. Özmen, M., & Sanli, S. (2015). Testing Long-Run Validity of Purchasing Power Parity in Developing Countries by Using Seasonal Unit Root Test. Social Sciences Research Journal, 4(2), 195-215.
28. Pesaran, M. H. (2006). A simple panel unit root test in the presence of cross‐section dependence. Cambridge Working Papers in Economics, 0346.
29. Rıdzuan, R., & Ahmed, E. M. (2011). Testing the evidence of purchasing power parity for Asean-5 countries using panel estimation. International Journal of Economics and Business Modeling, 2(1), 42-56.
30. Sağlam, Y., & Sönmez, F. E. (2017). Satın Alma Gücü Paritesi Hipotezi’nin Panel Çoklu Yapısal Kırılma Testleri ile Analizi: BRICT Örneği. LAÜ Sosyal Bilimler Dergisi, 8(1), 19-34.
31. Sen, A. (2003). On unit-root tests when the alternative is a trend-break stationary process. Journal of Business & Economic Statistics, 21(1), 174-184.
32. Sollis, R. (2009). A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling, 26(1), 118-125.
33. Soon, S. V., Baharumshah, A. Z., Shariff, N. S. M., & Ibrahim, S. (2017). Currency crises and purchasing power parity in the Asian countries: evidence based on second-generation panel unit-root tests. Malaysian Journal of Economic Studies, 54(1), 41-59.
34. Taş, T., Duramaz, S., & Yılmaz, K. Ç. (2017). Yapısal Kırılmalar Altında Satın Alma Gücü Paritesinin Geçerliliği: Türkiye Örneği. İçinde: 3. International Congress on Economics and Business, 19-23 Mayıs, Novi Sad, Sırbistan 2017.
35. Tatoğlu Yerdelen, F. (2009). Reel Efektif Döviz Kurunun Durağanlığının Yapısal Kırılmalı Panel Birim Kök Testleri Kullanılarak Sınanması. Doğuş Üniversitesi Dergisi, 10 (2), 310-323.
36. Tıraşoğlu Yıldırım, B. (2014). Yapısal Kırılmalı Birim Kök Testleri İle OECD Ülkelerinde Satın Alma Gücü Paritesi Geçerliliğinin Testi. İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi, (20), 68-87.
37. Yılancı, V., Zeren, F., & Ari, A. (2013). Tüketim-Gelir Oranı Güneydoğu Asya Ülkelerinde Durağan Mı?: Panel Birim Kök Testi. Yönetim ve Ekonomi Araştırmaları Dergisi, 21, 130-139.
38. Zivot, E., & Andrews, D. W. K. (2002). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 20(1), 25-44.