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Investigation of the Validity of Purchasing Power Parity Hypothesis with Fourier Unit Root Tests: The Case of Turkey

Yıl 2019, Sayı 30, 35 - 48, 28.08.2019

Öz

Purchasing power parity is one of the most frequently discussed economic theories in the literature. Furthermore, the validity of purchasing power parity is important in terms of being a common exchange rate used in international comparison. In this study, the validity of purchasing power parity was examined using Fourier unit root tests for Turkey for the period 1992:01-2018:12. In order to make a comparison, two different recently developed unit root tests were used in the study. The results show that the purchasing power parity hypothesis is valid for Turkey. Accordingly, the real exchange rate is stationary and the shocks on the real exchange rate is temporary in this period. According to overall results, it is expected that PPP play an active role in monetary policy decisions. 

Kaynakça

  • Acaravci, A., & Ozturk, I. (2010). Testing purchasing power parity in transition countries: evidence from structural breaks. Amfiteatru Economic Journal, 12(27), 190–198.
  • Alba, J. D., & Park, D. (2005). An empirical investigation of purchasing power parity (PPP) for Turkey. Journal of Policy Modeling, 27(8), 989–1000.
  • Arize, A. C., Malindretos, J., & Nam, K. (2010). Cointegration, dynamic structure, and the validity of purchasing power parity in African countries. International Review of Economics & Finance, 19(4), 755-768.
  • Aslan, N.ve Kanbur, N. (2007). Türkiye’de 1980 Sonrası satın alma gücü paritesi yaklaşımı. Marmara Üniversitesi İ.İ.B.F. Dergisi, 23(2), 9–43.
  • Aydın, M. (2017). Exaination of the validity of purchasing power parity (PPP) with fractured fourier unit root tests: The case of fragile fıve countries. Journal of Applied Research in Finance and Economics, 3(4), 18–28.
  • Bahmani‐Oskooee, M., & Hegerty, S. W. (2009). Purchasing power parıty in less‐developed and transition economies: A revıew paper. Journal of Economic Surveys, 23(4), 617–658.
  • Boršic, D., & Beko, J. (2006). Testing the Theory of purchasing power parity for Slovenia and Hungary. Eastern European Economies, 44(4), 82–96.
  • Carvalho, M., & Júlio, P. (2012). Digging out the PPP hypothesis: An integrated empirical coverage. Empirical Economics, 42(3), 713–744.
  • Chang, T., Liu, W. C., Tzeng, H. W., & Yu, C. P. (2010). Purchasing power parity for G-7 countries: Panel SURADF tests. Applied Economics Letters, 17(12), 1223–1228.
  • Chortareas, G., & Kapetanios, G. (2009). Getting PPP Right: Identifying mean- reverting real exchange rates in Panels. Journal of Banking & Finance, 33, 390–404.
  • Christev, A., & Noorbakhsh, A. (2000). Long-run purchasing power parity, prices and exchange rates in transition: The case of six Central and East European countries. Global Finance Journal, 11(1-2), 87–108.
  • Christidou, M., & Panagiotidis, T. (2010). Purchasing power parity and the European single currency: Some new evidence. Economic Modelling, 27(5), 1116–1123.
  • Collin C., Pippenger, J., and Steigerwald, D. (1996). Testing for absolute purchasing power parity. Journal of International Money and Finance, 15(5), 783–796.
  • Cuestas, J. C., & Regis, P. J. (2013). Purchasing power parity in OECD countries: Nonlinear unit root tests revisited. Economic Modelling, 32, 343-346.
  • Doğanlar, M., Bal, H., & Özmen, M. (2009). Testing long-run validity of purchasing power parity for selected emerging market economies. Applied Economics Letters, 16(14), 1443–1448.
  • Emirmahmutoglu, F., & Omay, T. (2014). Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test. Economic Modelling, 40, 184–190.
  • Erlat, H. (2003). The Nature of persistence in Turkish real exchange rates. Emerging Markets Finance& Trade, 39(2), 70–97.
  • Gürbüz, H. ve Hasgür, İ. (1997). Satın alma gücü paritesi örneğinin mevsimsel verilere (1970:01- 1994:04) analizi üzerine bir uygulama: eşbütünleşme. SDÜ İktisadi ve İdari Bilimler Fakültesi Dergisi, 2(2), 171–196.
  • Güriş, B., Tıraşoğlu, B. Y., & Tıraşoğlu, M. (2016). Türkiye’de satın alma gücü paritesi geçerli mi? Doğrusal olmayan Birim Kök Testleri. Sosyal Bilimler Araştırma Dergisi, 5(4), 30–42.
  • Güriş, B. (2018). A new nonlinear unit root test with Fourier function. Communications in StatisticsSimulation and Computation, 1–7.
  • Gyamfi, E. N., & Mohammed, A. A. (2017). Validity of purchasing power parity in BRICS under a DFA Approach. Acta Universitatis Danubius: Oeconomica, 13(1), 17–28.
  • Harvey, D.I., Leybourne, S.J., & Xiao, B. (2008). A Powerful Test for Linearity When the Order of Integration is Unknown. Studies in Nonlinear Dynamics & Econometrics, 12(3).
  • He, H., & Chang, T. (2013). Purchasing power parity in transition countries: Sequential panel selection method. Economic Modelling, 35, 604–609.
  • He, H., Chou, M. C., & Chang, T. (2014). Purchasing power parity for 15 Latin American countries: Panel SURKSS test with a Fourier function. Economic Modelling, 36, 37–43.
  • Huang, C. H., & Yang, C. Y. (2015). European exchange rate regimes and purchasing power parity: An empirical study on eleven eurozone countries. International Review of Economics & Finance, 35, 100–109.
  • Kalyoncu, H. (2009). New evidence of the validity of purchasing power parity from Turkey. Applied Economics Letters, 16(1), 63–67.
  • Kaya, H. ve 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.
  • Koedijk, K. G., Tims, B., & Van Dijk, M. A. (2004). Purchasing power parity and the Euro area. Journal of International Money and Finance, 23(7-8), 1081–1107.
  • Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71–85. DOI: 10.1007/s00362-009-0204-1
  • Lopez, C., & Papell, D. H. (2007). Convergence to purchasing power parity at the commencement of the euro. Review of International Economics, 15(1), 1–16.
  • Majumder, A., Ray, R., & Sinha, K. (2011). Estimating Intra Country ve Cross Country Purchasing Power Parities from Household Expenditure Data Using Single Equation ve Complete Demve Systems Approach: India ve Vietnam. Monash University Department of Economics. Discussion Paper No. 34/11.
  • Ozdemir, Z. A. (2008). The purchasing power parity hypothesis in Turkey: Evidence from nonlinear STAR error correction models. Applied Economics Letters, 15(4), 307–311.
  • Payne, J., Lee, J., & Hofler, R. (2005). Purchasing power parity: Evidence from a transition economy. Journal of Policy Modeling, 27(6), 665-672.
  • Peng, H., Liu, Z., & Chang, T. (2017). Revisiting purchasing power parity in BRICS countries using more powerful quantile unit-root tests with stationary covariates. Communications in Statistics-Theory and Methods, 46(20). DOI: 10051-10057.7–1591.
  • Ranjbar, O., Chang, T., Elmi, Z. M., & Lee, C. C. (2018). A new unit root test against asymmetric ESTAR nonlinearity with Smooth Breaks. Iranian Economic Review, 22(1), 51–62.
  • Sarno, L., & Taylor, M. P. (2002). Purchasing Power Parity and the Real Exchange Rate, IMF Staff Papers, 49(1), 65–105.
  • 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, 118–125.
  • Su, J., Cheung, A.W., & Roca, E. (2014). Does purchasing power parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in thepresence of heteroskedasticity. Econ. Model. 36, 161–171.
  • Şener, S., Yılancı, V. ve Canpolat, E. (2015). Satın alma gücü paritesi ve varyaslarının Türkiye için sınanması. Uluslararası Yönetim İktisat ve İşletme Dergisi, 11(25), 53–63.
  • Telatar, E., & Kazdagli, H. (1998). Re-examine the long-run purchasing power parity hypothesis for a high inflation country: the case of Turkey 1980–93. Applied Economics Letters, 5(1), 51-53.
  • Tiwari, A. K., & Shahbaz, M. (2014) Revisiting purchasing power parity for ındia using threshold cointegration and nonlinear unit root test. Econ Change Restruct, 47, 117–133.
  • TUİK (2008). Satın Alma Gücü Paritesi, Sorularla Resmi İstatistikler Dizisi-4. Ankara
  • Wu, Y. H., & Lin, E. S. (2011). Does purchasing power parity hold following the launch of the euro? Evidence from the panel unit root test. Applied Economics Letters, 18(2), 167–172.
  • Yazgan, M. E. (2003). The purchasing power parity hypothesis for a high inflation country: A reexamination of the case of Turkey. Applied Economics Letters, 10(3), 143–147.
  • Yıldırım, S. ve Yıldırım, Z. (2012). Reel efektif döviz kuru üzerine kırılmalı Birim Kök Testleri ile Türkiye’nin satın alma gücü paritesi hipotezinin geçerliliğinin sınanması. Marmara Üniversitesi İ.İ.B. Dergisi, 33(2), 221–238.

Satın Alma Gücü Paritesi Hipotezi Geçerliliğinin Fourier Birim Kök Testleri ile İncelenmesi: Türkiye Örneği

Yıl 2019, Sayı 30, 35 - 48, 28.08.2019

Öz

Satın alma gücü paritesi, literatürde en sık tartışılan ekonomik teorilerden biridir. Diğer taraftan, satın alma gücü paritesinin geçerliliği, uluslararası karşılaştırmada kullanılan ortak bir döviz kuru olması açısından önemlidir. Bu çalışmada Türkiye için satın alma gücü paritesinin geçerliliği 1992:01-2018:12 dönemi aylık verileri kullanılarak Fourier birim kök testleri yardımıyla incelenmiştir. Çalışmada karşılaştırma yapılabilmesi amacıyla literatüre son zamanlarda kazandırılan iki farklı birim kök testi kullanılmıştır. Çalışmanın sonuçları Türkiye için satın alma gücü paritesi hipotezinin geçerli olduğunu göstermektedir. Buna göre Türkiye’nin incelenen dönemde reel döviz kurları durağandır ve reel döviz kurlarına gelen şoklar geçicidir. Çalışmadan elde edilen genel sonuca göre Türkiye için SAGP’nin para politikası kararlarında etkin rol oynaması beklenmektedir. 

Kaynakça

  • Acaravci, A., & Ozturk, I. (2010). Testing purchasing power parity in transition countries: evidence from structural breaks. Amfiteatru Economic Journal, 12(27), 190–198.
  • Alba, J. D., & Park, D. (2005). An empirical investigation of purchasing power parity (PPP) for Turkey. Journal of Policy Modeling, 27(8), 989–1000.
  • Arize, A. C., Malindretos, J., & Nam, K. (2010). Cointegration, dynamic structure, and the validity of purchasing power parity in African countries. International Review of Economics & Finance, 19(4), 755-768.
  • Aslan, N.ve Kanbur, N. (2007). Türkiye’de 1980 Sonrası satın alma gücü paritesi yaklaşımı. Marmara Üniversitesi İ.İ.B.F. Dergisi, 23(2), 9–43.
  • Aydın, M. (2017). Exaination of the validity of purchasing power parity (PPP) with fractured fourier unit root tests: The case of fragile fıve countries. Journal of Applied Research in Finance and Economics, 3(4), 18–28.
  • Bahmani‐Oskooee, M., & Hegerty, S. W. (2009). Purchasing power parıty in less‐developed and transition economies: A revıew paper. Journal of Economic Surveys, 23(4), 617–658.
  • Boršic, D., & Beko, J. (2006). Testing the Theory of purchasing power parity for Slovenia and Hungary. Eastern European Economies, 44(4), 82–96.
  • Carvalho, M., & Júlio, P. (2012). Digging out the PPP hypothesis: An integrated empirical coverage. Empirical Economics, 42(3), 713–744.
  • Chang, T., Liu, W. C., Tzeng, H. W., & Yu, C. P. (2010). Purchasing power parity for G-7 countries: Panel SURADF tests. Applied Economics Letters, 17(12), 1223–1228.
  • Chortareas, G., & Kapetanios, G. (2009). Getting PPP Right: Identifying mean- reverting real exchange rates in Panels. Journal of Banking & Finance, 33, 390–404.
  • Christev, A., & Noorbakhsh, A. (2000). Long-run purchasing power parity, prices and exchange rates in transition: The case of six Central and East European countries. Global Finance Journal, 11(1-2), 87–108.
  • Christidou, M., & Panagiotidis, T. (2010). Purchasing power parity and the European single currency: Some new evidence. Economic Modelling, 27(5), 1116–1123.
  • Collin C., Pippenger, J., and Steigerwald, D. (1996). Testing for absolute purchasing power parity. Journal of International Money and Finance, 15(5), 783–796.
  • Cuestas, J. C., & Regis, P. J. (2013). Purchasing power parity in OECD countries: Nonlinear unit root tests revisited. Economic Modelling, 32, 343-346.
  • Doğanlar, M., Bal, H., & Özmen, M. (2009). Testing long-run validity of purchasing power parity for selected emerging market economies. Applied Economics Letters, 16(14), 1443–1448.
  • Emirmahmutoglu, F., & Omay, T. (2014). Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test. Economic Modelling, 40, 184–190.
  • Erlat, H. (2003). The Nature of persistence in Turkish real exchange rates. Emerging Markets Finance& Trade, 39(2), 70–97.
  • Gürbüz, H. ve Hasgür, İ. (1997). Satın alma gücü paritesi örneğinin mevsimsel verilere (1970:01- 1994:04) analizi üzerine bir uygulama: eşbütünleşme. SDÜ İktisadi ve İdari Bilimler Fakültesi Dergisi, 2(2), 171–196.
  • Güriş, B., Tıraşoğlu, B. Y., & Tıraşoğlu, M. (2016). Türkiye’de satın alma gücü paritesi geçerli mi? Doğrusal olmayan Birim Kök Testleri. Sosyal Bilimler Araştırma Dergisi, 5(4), 30–42.
  • Güriş, B. (2018). A new nonlinear unit root test with Fourier function. Communications in StatisticsSimulation and Computation, 1–7.
  • Gyamfi, E. N., & Mohammed, A. A. (2017). Validity of purchasing power parity in BRICS under a DFA Approach. Acta Universitatis Danubius: Oeconomica, 13(1), 17–28.
  • Harvey, D.I., Leybourne, S.J., & Xiao, B. (2008). A Powerful Test for Linearity When the Order of Integration is Unknown. Studies in Nonlinear Dynamics & Econometrics, 12(3).
  • He, H., & Chang, T. (2013). Purchasing power parity in transition countries: Sequential panel selection method. Economic Modelling, 35, 604–609.
  • He, H., Chou, M. C., & Chang, T. (2014). Purchasing power parity for 15 Latin American countries: Panel SURKSS test with a Fourier function. Economic Modelling, 36, 37–43.
  • Huang, C. H., & Yang, C. Y. (2015). European exchange rate regimes and purchasing power parity: An empirical study on eleven eurozone countries. International Review of Economics & Finance, 35, 100–109.
  • Kalyoncu, H. (2009). New evidence of the validity of purchasing power parity from Turkey. Applied Economics Letters, 16(1), 63–67.
  • Kaya, H. ve 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.
  • Koedijk, K. G., Tims, B., & Van Dijk, M. A. (2004). Purchasing power parity and the Euro area. Journal of International Money and Finance, 23(7-8), 1081–1107.
  • Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71–85. DOI: 10.1007/s00362-009-0204-1
  • Lopez, C., & Papell, D. H. (2007). Convergence to purchasing power parity at the commencement of the euro. Review of International Economics, 15(1), 1–16.
  • Majumder, A., Ray, R., & Sinha, K. (2011). Estimating Intra Country ve Cross Country Purchasing Power Parities from Household Expenditure Data Using Single Equation ve Complete Demve Systems Approach: India ve Vietnam. Monash University Department of Economics. Discussion Paper No. 34/11.
  • Ozdemir, Z. A. (2008). The purchasing power parity hypothesis in Turkey: Evidence from nonlinear STAR error correction models. Applied Economics Letters, 15(4), 307–311.
  • Payne, J., Lee, J., & Hofler, R. (2005). Purchasing power parity: Evidence from a transition economy. Journal of Policy Modeling, 27(6), 665-672.
  • Peng, H., Liu, Z., & Chang, T. (2017). Revisiting purchasing power parity in BRICS countries using more powerful quantile unit-root tests with stationary covariates. Communications in Statistics-Theory and Methods, 46(20). DOI: 10051-10057.7–1591.
  • Ranjbar, O., Chang, T., Elmi, Z. M., & Lee, C. C. (2018). A new unit root test against asymmetric ESTAR nonlinearity with Smooth Breaks. Iranian Economic Review, 22(1), 51–62.
  • Sarno, L., & Taylor, M. P. (2002). Purchasing Power Parity and the Real Exchange Rate, IMF Staff Papers, 49(1), 65–105.
  • 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, 118–125.
  • Su, J., Cheung, A.W., & Roca, E. (2014). Does purchasing power parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in thepresence of heteroskedasticity. Econ. Model. 36, 161–171.
  • Şener, S., Yılancı, V. ve Canpolat, E. (2015). Satın alma gücü paritesi ve varyaslarının Türkiye için sınanması. Uluslararası Yönetim İktisat ve İşletme Dergisi, 11(25), 53–63.
  • Telatar, E., & Kazdagli, H. (1998). Re-examine the long-run purchasing power parity hypothesis for a high inflation country: the case of Turkey 1980–93. Applied Economics Letters, 5(1), 51-53.
  • Tiwari, A. K., & Shahbaz, M. (2014) Revisiting purchasing power parity for ındia using threshold cointegration and nonlinear unit root test. Econ Change Restruct, 47, 117–133.
  • TUİK (2008). Satın Alma Gücü Paritesi, Sorularla Resmi İstatistikler Dizisi-4. Ankara
  • Wu, Y. H., & Lin, E. S. (2011). Does purchasing power parity hold following the launch of the euro? Evidence from the panel unit root test. Applied Economics Letters, 18(2), 167–172.
  • Yazgan, M. E. (2003). The purchasing power parity hypothesis for a high inflation country: A reexamination of the case of Turkey. Applied Economics Letters, 10(3), 143–147.
  • Yıldırım, S. ve Yıldırım, Z. (2012). Reel efektif döviz kuru üzerine kırılmalı Birim Kök Testleri ile Türkiye’nin satın alma gücü paritesi hipotezinin geçerliliğinin sınanması. Marmara Üniversitesi İ.İ.B. Dergisi, 33(2), 221–238.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Mücahit AYDIN Bu kişi benim (Sorumlu Yazar)
İSTANBUL ÜNİVERSİTESİ
0000-0002-4934-0191
Türkiye

Yayımlanma Tarihi 28 Ağustos 2019
Başvuru Tarihi 24 Haziran 2019
Kabul Tarihi 4 Temmuz 2019
Yayınlandığı Sayı Yıl 2019, Cilt , Sayı 30

Kaynak Göster

APA Aydın, M. (2019). Satın Alma Gücü Paritesi Hipotezi Geçerliliğinin Fourier Birim Kök Testleri ile İncelenmesi: Türkiye Örneği . Ekoist: Journal of Econometrics and Statistics , (30) , 35-48 . Retrieved from https://dergipark.org.tr/tr/pub/ekoist/issue/48369/611634