Is Purchasing Power Parity Valid in MIST Countries?

Abstract

Purchasing Power Parity (PPP) is one of the topics that has been studied with great interest in the economics and finance literature. PPP refers to the rate of change that equalizes the purchasing power of various currencies by eliminating the price level differences between countries. The validity of the PPP theory was tested by using various methods for various countries. In this study, it is aimed to examine whether the PPP hypothesis is valid in MIST (Mexico, Indonesia, South Korea, and Turkey) countries for the period 1994:01-2022:01. For this purpose, panel unit root tests are used to analyze whether real exchange rates are stationary or not. Due to the cross-sectional dependency between the units, the second-generation unit root tests PANKPSS developed by Carrion-i-Silvestre et al. (2005) and CADF developed by Pesaran (2007) tests are used in the study, which takes cross-sectional dependency into account. While the findings obtained with the CADF test revealed that the series was not stationary and the PPP theory was not valid, the results of the PANKPSS test, which considered the structural breaks, concluded that the series was stationary, and the PPP theory was valid.

Keywords

• PPP
• MIST
• Panel Unit Root
• Real Exchange Rate.

MIST Ülkelerinde Satın Alma Gücü Paritesi Geçerli mi?

Öz

Satın Alma Gücü Paritesi (SAGP) ekonomi ve finans literatüründe oldukça ilgiyle incelenen konularından biridir. SAGP ülkeler arasında bulunan fiyat seviyesi farklılıklarını ortadan kaldırarak çeşitli para birimlerinin satın alma güçlerini eşitleyen değişim oranını ifade etmektedir. Çeşitli ülke veya ülkelerde çeşitli yöntemler kullanılarak SAGP hipotezinin geçerliliği test edilmiştir. Bu çalışmada ise SAGP teorisinin 1994:01-2022:01 dönemi için MIST (Meksika, Endonezya, Güney Kore ve Türkiye) ülkelerinde geçerli olup olmadığının incelenmesi amaçlanmaktadır. Bu amaç çerçevesinde reel döviz kurlarının durağan olup olmadıklarını analiz etmek için panel birim kök testleri kullanılmaktadır. Birimler arasında yatay kesit bağlılığının bulunmasından dolayı çalışmada bu bağımlılığı göz önüne alan ikinci kuşak birim kök testlerinden Carrion-i-Silvestre vd. (2005) tarafından geliştirilen PANKPSS ve Pesaran (2007) tarafından geliştirilen CADF testleri kullanılmaktadır. CADF testi ile elde edilen bulgular serinin durağan olmadığı ve SAGP teorisinin geçerli olmadığını ortaya koyarken, yapısal kırılmaları dikkate alan PANKPSS testine ait bulgular neticesinde ise serinin durağan olduğu ve SAGP teorisinin desteklendiği sonucuna varılmıştır.

Anahtar Kelimeler

• SAGP
• MIST
• Panel Birim Kök
• Reel Döviz Kuru.

Kaynakça

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