YAPISAL KIRILMALAR ALTINDA SATIN ALMA GÜCÜ PARİTESİ HİPOTEZİNİN GEÇERLİLİĞİ: AVRASYA ÜLKELERİ ÖRNEĞİ

Öz

Çalışmanın amacı, Satın Alma Gücü Paritesi hipotezinin Avrasya Ülkeleri için panel veri analiz teknikleri kapsamında test edilmesidir. Çalışmada Satın Alma Gücü Paritesi hipotezinin geçerliliği hem mutlak hem de nispi Satın Alma Gücü Paritesi teorisi çerçevesinde araştırılmıştır. Mutlak satın alma gücü paritesi hipotezi, reel döviz kurunun sabit bir ortalama etrafında dağılmasını ifade etmektedir. Bununla birlikte, nispi satın alma gücü paritesi ise nominal döviz kuru ile nispi fiyatlar arasında uzun dönemli bir ilişki olduğunda geçerli olmaktadır. Bu çerçevede, çalışmada 10 Avrasya ülkesi (Ermenistan, Azerbaycan, Belarus, Gürcistan, Kazakistan, Kırgızistan, Moldova, Rusya, Ukrayna ve Türkiye) için 2002-2017 dönemini kapsayan aylık veriler kullanılmıştır.  Bu bağlamda, çalışmada yatay kesit bağımlılığını ve yapısal kırılmaları dikkate alan panel birim kök ve panel eş bütünleşme testlerinden yararlanılmıştır. Bulgular ele alınan ülkelerde hem mutlak hem de nispi Satın Alma Gücü Paritesi hipotezinin geçerli olduğunu göstermektedir. 

Anahtar Kelimeler

• Satın Alma Gücü Paritesi,Avrasya Ülkeleri,Panel Veri Analizi

THE VALIDITY OF THE PURCHASING POWER PARITY HYPOTHESIS UNDER STRUCTURAL BREAKS: THE CASE OF EURASIAN COUNTRIES

Öz

The aim of this study to examine the validity of the Purchasing Power Parity hypothesis for Eurasian Countries using panel data analysis methods. In this Study, the validity of the Purchasing Power Parity hypothesis has been investigated both within the absolute and relative Purchasing Power Parity theory. The absolute purchasing power parity hypothesis refers to the distribution of the real exchange rate around a fixed average. However, the relative purchasing power parity is valid when there is a long-term relationship between the nominal exchange rate and the relative prices. In this framework, the study used monthly data covering the period 2002-2017 for the 10 Eurasian countries (Armenia, Azerbaijan, Belarus, Georgia, Kazakhstan, Kyrgyz Republic, Moldova, Russian Federation, Ukraine and Turkey). In this context, panel unit root and panel cointegration tests taking into account cross-section dependency and structural breaks were used in the study. Findings show that both absolute and relative Purchasing Power Parity hypotheses are valid in the countries studied.

Anahtar Kelimeler

• Purchasing Power Parity,Eurasian Countries,Panel Data Analysis

Kaynakça

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