BibTex RIS Kaynak Göster

TESTING THE VALIDITY OF PURCHASING POWER PARITY: EVIDENCE FOR THE ‘’FRAGILE FIVE’’ COUNTRIES

Yıl 2016, ICAFR 16 Özel Sayısı, 237 - 246, 01.10.2016

Öz

Purchasıng Power Parıty PPP provide theoretical explanations for determining the exchange rates of the countries by means of inflation rates. This study examines the validity of the theoretical Purchasıng Power Parıty for the ‘’Fragile Five’’ countries during the period of May 1996 – December 2013. In detail, the Purchasing Power Parity have been statistically tested by conducting Augmented Dickey –Fuller ADF Stationary Tests. The results provide different empirical findings, while being parallel to the results of the related literature. PPP is invalid according to the results obtained Brazil, India, South Africa and Turkey. PPP does hold in Indonesian. Thus, it is concluded that longterm relationship between inflation and exchange rates only for Indonesian

Kaynakça

  • Abuaf, Niso., Jorion, Philippe., ‘‘Purchasing power parity in the Long Run’’, The Journal of Finance, Vol:45. No.1 Mart 1990, s. 157-174
  • Alba, Joseph D., Papell David H., ‘‘Purchasing power parity and country characteristics: Evidence from panel data tests’’ The Journal of Developments Economics, 83, 2007, s. 240-251
  • Alba, Joseph D., Park Donghyun., ‘‘ Purchasing Power Parity in Developing Countries: Multi-Period Evidence Under the Current Float ‘‘ World Development Cilt. 31 No:12, 2003, s. 2049-2060
  • Bacchiocchi, Emanuele., Fanell, Luca., ‘‘ Testing The Purchasing Power Parity Through I(2) Cointegration Techniques ‘‘ Journal Of Applied Econometrics J. Appl. Econ.20, 2005 s.749– 770
  • Barışık, S., Demircioğlu E., “Türkiye’de Döviz Kuru Rejimi, Konvertibilite, İhracat- İthalat İlişkisi (1980-2001)”, ZKÜ Sosyal Bilimler Dergisi, 2006, Cilt: 2, Sayı:3.
  • Cheng S., Benjamin. ‘‘Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates ‘‘ Journal of International Money and Finance, 18, 1999, s. 911-924
  • Cheng, Jen-Chi., Taylor,Larry W., Weng, Wenlong., ‘‘ The links between international parity conditions and Granger causality: a study of exchange rates and prices ‘‘ Applied Economics 42, 2010, s. 3491-3501.
  • IMF, Annual Report on Exchange Arrangements and Exchange Restrictions. Washington D.C., 2013.
  • İnandım, Ş., ‘’Kısa vadeli sermaye hareketleri ile reel döviz kuru etkileşimi: Türkiye örneği’’ Türkiye Cumhuriyeti Merkez Bankası Piyasalar Genel Müdürlüğü, 2005, Ankara.
  • Kilian, Lutz., Taylor, Mark P.,’‘ Why is it so difficult to beat the random walk forecast of exchange rates? ‘‘, Journal of International Economics, No. 60, 2003, s. 85-107
  • Morgan Stanley Research Outlook, Global Currency Research Team, 01 Ağustos 2013, s.1-38
  • Narayan, Paresh Kumar., ‘‘ New evidence on purchasing power parity from 17 OECD countries’’, Applied Economics, 37, 2005, s. 1063-1071
  • Stlouis Federal Reserve Bank’tan /ABD) temin edilmiştir. (Çevrimiçi) .http://research.stlouisfed.org/fred2/ Erişim Tarihi: 30 Ağustos 2014
  • Salehizadeh, Mehdi., Taylor, Robert., ‘‘A test of purchasing power parity for emerging economies’’, Journal of International Financial Markets, Institutions and Money, 9, 1999, s. 183-193
  • Sarno, Lucio., Valente, Giorgio., ‘‘ Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?, Journal of Banking & Finance, 30, 2006, s. 3147-3169
  • Serletis, Apostolos., Gogas, Periklis.,’‘ Long-horizon regression tests of the theory of purchasing power parity’’, Journal of Banking & Finance, 28, 2004, s. 1961-1985
  • Shapiro, Alan C., Multinational Financial Management, 10. Baskı, 11 Kasım 2013 s.143, Wiley
  • Taylor, Mark P., Sarno, Lucio.,’‘ The behavior of real exchange rates during the postBretton Woods period’’, Journal of International Economics, 46, 1998, s. 281- 312
  • Taylor, Alan M., ‘‘ Purchasing-Power Parity’’, The Review of International Economics, Volume 11, 3, 2003, s. 436-452
  • Wu, Jyh-Lin., Cheng, Su-Ying., Hou, Han.,’‘ Further evidence on purchasing power parity and country characteristics’’, International Review of Economics and Finance, 20, 2011, s. 257-266
  • Xu, Zhenhui., ‘‘ Purchasing power parity, price indices, and exchange rate forcasts’’, Journal of International Money and Finance, Volume 22, 2003, s. 105-130

SATINALMA GÜCÜ PARİTESİ, KIRILGAN BEŞLİ ÜLKELERİ’NDE GEÇERLİ MİDİR?

Yıl 2016, ICAFR 16 Özel Sayısı, 237 - 246, 01.10.2016

Öz

Satınalma Gücü Paritesi SGP , enflasyon oranları vasıtasıyla, ülkelerin döviz kurlarının belirlenmesinde teorik açıklamalar sağlar. Bu çalışmada, ‘’Kırılgan Beşli’’ ülkeleri için Mayıs 1996 - Aralık 2013 dönemindeki aylık veriler kullanılarak SGP’nin geçerliliği araştırılmıştır. Her ülke için, ülkelerin ABD Doları’na karşı fiyatlanmış reel döviz kurlarında durağanlık testi olan Augmented Dickey –Fuller Testi ADF yapılmıştır. Elde edilen sonuçlara göre SGP, Brezilya, Hindistan, Güney Afrika ve Türkiye’de geçerli değildir. Sonuçlar sadece Endonezya’da SGP’ nin geçerli olduğunu göstermektedir; dolayısıyla Endonezya için döviz kurları ile enflasyon oranları arasında uzun vadeli bir ilişki olduğu sonucuna varılmıştır.

Kaynakça

  • Abuaf, Niso., Jorion, Philippe., ‘‘Purchasing power parity in the Long Run’’, The Journal of Finance, Vol:45. No.1 Mart 1990, s. 157-174
  • Alba, Joseph D., Papell David H., ‘‘Purchasing power parity and country characteristics: Evidence from panel data tests’’ The Journal of Developments Economics, 83, 2007, s. 240-251
  • Alba, Joseph D., Park Donghyun., ‘‘ Purchasing Power Parity in Developing Countries: Multi-Period Evidence Under the Current Float ‘‘ World Development Cilt. 31 No:12, 2003, s. 2049-2060
  • Bacchiocchi, Emanuele., Fanell, Luca., ‘‘ Testing The Purchasing Power Parity Through I(2) Cointegration Techniques ‘‘ Journal Of Applied Econometrics J. Appl. Econ.20, 2005 s.749– 770
  • Barışık, S., Demircioğlu E., “Türkiye’de Döviz Kuru Rejimi, Konvertibilite, İhracat- İthalat İlişkisi (1980-2001)”, ZKÜ Sosyal Bilimler Dergisi, 2006, Cilt: 2, Sayı:3.
  • Cheng S., Benjamin. ‘‘Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates ‘‘ Journal of International Money and Finance, 18, 1999, s. 911-924
  • Cheng, Jen-Chi., Taylor,Larry W., Weng, Wenlong., ‘‘ The links between international parity conditions and Granger causality: a study of exchange rates and prices ‘‘ Applied Economics 42, 2010, s. 3491-3501.
  • IMF, Annual Report on Exchange Arrangements and Exchange Restrictions. Washington D.C., 2013.
  • İnandım, Ş., ‘’Kısa vadeli sermaye hareketleri ile reel döviz kuru etkileşimi: Türkiye örneği’’ Türkiye Cumhuriyeti Merkez Bankası Piyasalar Genel Müdürlüğü, 2005, Ankara.
  • Kilian, Lutz., Taylor, Mark P.,’‘ Why is it so difficult to beat the random walk forecast of exchange rates? ‘‘, Journal of International Economics, No. 60, 2003, s. 85-107
  • Morgan Stanley Research Outlook, Global Currency Research Team, 01 Ağustos 2013, s.1-38
  • Narayan, Paresh Kumar., ‘‘ New evidence on purchasing power parity from 17 OECD countries’’, Applied Economics, 37, 2005, s. 1063-1071
  • Stlouis Federal Reserve Bank’tan /ABD) temin edilmiştir. (Çevrimiçi) .http://research.stlouisfed.org/fred2/ Erişim Tarihi: 30 Ağustos 2014
  • Salehizadeh, Mehdi., Taylor, Robert., ‘‘A test of purchasing power parity for emerging economies’’, Journal of International Financial Markets, Institutions and Money, 9, 1999, s. 183-193
  • Sarno, Lucio., Valente, Giorgio., ‘‘ Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?, Journal of Banking & Finance, 30, 2006, s. 3147-3169
  • Serletis, Apostolos., Gogas, Periklis.,’‘ Long-horizon regression tests of the theory of purchasing power parity’’, Journal of Banking & Finance, 28, 2004, s. 1961-1985
  • Shapiro, Alan C., Multinational Financial Management, 10. Baskı, 11 Kasım 2013 s.143, Wiley
  • Taylor, Mark P., Sarno, Lucio.,’‘ The behavior of real exchange rates during the postBretton Woods period’’, Journal of International Economics, 46, 1998, s. 281- 312
  • Taylor, Alan M., ‘‘ Purchasing-Power Parity’’, The Review of International Economics, Volume 11, 3, 2003, s. 436-452
  • Wu, Jyh-Lin., Cheng, Su-Ying., Hou, Han.,’‘ Further evidence on purchasing power parity and country characteristics’’, International Review of Economics and Finance, 20, 2011, s. 257-266
  • Xu, Zhenhui., ‘‘ Purchasing power parity, price indices, and exchange rate forcasts’’, Journal of International Money and Finance, Volume 22, 2003, s. 105-130
Toplam 21 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Ahmet Bülent Atasoy Bu kişi benim

Yayımlanma Tarihi 1 Ekim 2016
Yayımlandığı Sayı Yıl 2016 ICAFR 16 Özel Sayısı

Kaynak Göster

APA Atasoy, A. B. (2016). SATINALMA GÜCÜ PARİTESİ, KIRILGAN BEŞLİ ÜLKELERİ’NDE GEÇERLİ MİDİR?. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 12(12), 237-246.