THE VALIDITY OF DIFFERENT VERSIONS OF PURCHASING POWER PARITY VERSIONS: EVIDENCE FROM TURKEY

Yıl 2015, , 53 - 63, 01.05.2015

Sefer Şener Veli Yılancı Esra Canpolat

https://doi.org/10.17130/ijmeb.2015.11.25.526

Cited By: 8

Öz

In this study, we investigated different versions of purchasing power parity PPP for Turkey over the period January 1980 – December 2012. The test results we obtained show that purchasing power parity is not valid for Turkey. However, by employing unit root tests which allow structural breaks in intercept and intercept and also trend, we conclude that Qualified PPP and Qualified-Trend PPP with structural breaks is valid.

Anahtar Kelimeler

Purchasing Power Parity, Structural Breaks, Real Exchange Rate

SATIN ALMA GÜCÜ PARİTESİ ve VARYASYONLARININ TÜRKİYE İÇİN SINANMASI

Öz

Bu çalışmada Türkiye’de satın alma gücü paritesinin ve çeşitli varyasyonlarının geçerliliği Ocak 1980 – Aralık 2012 dönemi için, reel döviz kurunu çeşitli veri yaratma süreçleriyle modelleyerek sınanmıştır. Yapılan testler sonrasında, Türkiye’de satın alma gücü paritesinin geçerli olmadığı görülmektedir. Bununla birlikte, çoklu yapısal kırılmaya izin veren birim kök testleriyle yapılan analizde, sadece sabit terimde ve sabit terim ile trend terimlerinde kırılmaya izin veren birim kök testlerinde, reel döviz kuru durağan bulunmuştur. Elde edilen bu sonuçlar, Türkiye’de sınırlı SAGP ile Kırılmalı-Trendli-Sınırlı SAGP’nin geçerli olduğunu göstermektedir.

Anahtar Kelimeler

Satın Alma Gücü Paritesi, Yapısal Kırılma, Reel Döviz Kuru

Kaynakça

• Abumustafa, N.I., & Feridun, M. (2010). Explaining the long-term real equilibrium exchange rates through purchasing power parity (PPP): An empirical investigation on Egypt, Jordan and Turkey. African Journal of Business Management, 4(7), 1260-1265.
• Alba, J. D., & Park, D. (2005). An empirical investigation of purchasing power parity (PPP) for Turkey, Journal of Policy Modeling 27, 989–1000.
• Aslan, A., Kula, F., & Kalyoncu, H. (2010). Additional evidence of long-run purchasing power parity with black and official exchange rates. Applied Economics Letters, 17(14), 1379- 1382.
• Bahmani-Oskooee, M., Chang, T., & Lee, K-C. (2014). Purchasing power parity in the BRICS and the MIST countries: Sequential Panel Selection Method. Review of Economics & Finance, 4(1), 1-12.
• Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66, 47–78.
• Balassa, B. (1964). The purchasing-power parity doctrine: A reappraisal. Journal of Political Economy, 76(6), 584-596.
• Basher, S.A., & Carrion-i-Silvestre, J.L. (2011). Measuring persistence of U.S. city prices: New evidence from robust tests. Empirical Economics, 41(3), 739-745.
• Bozoklu, Ş., & Yılancı, V. (2010), Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. Maliye Dergisi, 158, 587-606.
• Christopoulos, D.K., & León-Ledesma, M.A. (2010). Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates. Journal of International Money and Finance, 29(6), 1076-1093.
• Cuestas, J.C., & Regis, P.J. (2013). Purchasing power parity in OECD countries: Nonlinear unit root tests revisited. Economic Modelling, 32, 343–346.
• Dornbusch, R., & Vogelsang, T. (1991). Real Exchange rates and purchasing power parity. İçinde de Melo, J., & Sapir, A. (ed) Trade Theory and Economic Reform: North, South, and East, Essays in Honor of Bela Balassa, (ss. 3–24). Cambridge: Basil Blackwell.
• Gómez-Zaldívar, M., Ventosa-Santaulària, D., & Wallace, F. (2012). The PPP hypothesis and structural breaks: the case of Mexico. Empirical Economics, doi: 10.1007/s00181-012- 0653-6, 1-9.
• Güney, P.Ö., Telatar, E., & Hasanov, M. (2012). Re-examining purchasing power parity for selected emerging markets and African countries. Applied Economics Letters, 19(2), 139-144.
• Hegwood, N. D., & Papell, D. H. (1998). Quasi purchasing power parity. International Journal of Finance and Economics, 3, 279–89.
• Kalyoncu, H. (2009). New evidence of the validity of purchasing power parity from Turkey. Applied Economics Letters, 16(1), 63-67.
• Kalyoncu, H., Kula F., & Alper, A. (2010). The validity of purchasing power parity hypothesis in Middle East and Northern Africa countries. Romanian Journal of Economic Forecasting, 2010(4), 125-131.
• Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359–379.
• Kapetanios, G. (2005). Unit-root testing against the alternative hypothesis of up to m structural breaks. Journal of Time Series Analysis, 26(1), 123-133.
• Kula F., Alper, A., & Feridun, M. (2011). Purchasing power parity in Mena revisited: empirical evidence in the presence of endogenously determined break points. Ekonomska Istraživanja, 24(1), 1-12.
• Kum, H. (2012). The impact of structural break(s) on the validity of purchasing power parity in Turkey: Evidence from Zivot-Andrews and lagrange multiplier unit root tests. International Journal of Economics and Financial Issues, 2(3), 241-245.
• Kravis, I., Heston, A., & Summers, R. (1978). International comparisons of real product and purchasing power. Johns Hopkins University Press, Baltimore.
• Krugman,P.R., & Obstfeld, M.(2006), International economics: Theory and policy. USA: Pearson Publishing, 372.
• Lumsdaine, R.L., & Papell, D.H. (1997). Multiple trend breaks and the unit root hypothesis. The Review of Economics and Statistics, 79(2), 212-218.
• Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69, 1519-1554.
• Papell, D. H., & Prodan, R. (2006). Additional evidence of long-run purchasing power parity with restricted structural change, Journal of Money, Credit, and Banking, 38, 1329– 1349.
• Perron, P. (1989). The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57(6), 1361–1401
• Perron, P., & Voselgang, T.J. (1992). Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics, 10, 301-320.
• Sarno, L., & Taylor, M. (2002). The economics of exchange rates, Cambridge University Press, 163-164.
• Sarno, L., & Taylor, M. (2003). Purchasing power parity and the real exchange rate. IMF Staff Papers, 49, 65–105.
• Su, J-J., Cheung, A., & Rocaa, E. (2014). Does purchasing power parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity. Economic Modelling, 36, 161–171.
• TÜİK, (2008). Satın alma gücü paritesi, Türkiye İstatistik Kurumu, Ankara.
• Ventosa-Santaulària, D., & Gómez-Zaldívar, M. (2013). A comment on ‘Testing the validity of quasi-PPP hypothesis: Evidence from a recent panel unit-root test with structural breaks. Applied Economics Letters, 20(2), 111-113.
• Yıldırım, O. (2003). Döviz kurları çerçevesinde satınalma gücü paritesinin zaman serisi analizi ve Türkiye ekonomisi uygulaması. Bankacılar Dergisi, 44, 3-14.
• Zivot, E., & Andrews, D. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251-270.