Türkiye’de Satın Alma Gücü Paritesi Teorisinin Güçlü ve Zayıf Formda Geçerliliği: ARDL ve Birim Kök Testlerinden Kanıtlar

Yıl 2024, , 486 - 502, 31.10.2024

Ali Rauf Karataş

https://doi.org/10.25204/iktisad.1438373

Öz

İktisat ve uluslararası finans yazınında, iki veya daha fazla para biriminin değerlerini karşılaştırmak için çokça atıf alan yaklaşımlardan biri satın alma gücü paritesi (SAGP) teorisidir. Bu çalışma, Türkiye’de SAGP teorisinin uzun dönemde geçerliliğini, güçlü ve zayıf formda olmak üzere iki açıdan sınamak amacıyla yapılmıştır. 1994:1-2023:10 dönemi aylık verilerinin kullanıldığı bu çalışmada, SAGP teorisinin güçlü formda sınanması için Genişletilmiş Dickey-Fuller (ADF) ve Kesirli Frekanslı Fourier ADF birim kök testleri kullanılmıştır. SAGP teorisinin geçerliliği zayıf formda sınanırken ise ARDL Sınır Testi analiz aracı olarak kullanılmıştır. Çalışmada elde edilen sonuçlara göre Türkiye’de söz konusu dönemde, SAGP teorisinin hem güçlü hem de zayıf formda geçerli olduğu tespit edilmiştir. Elde edilen ampirik bulgular Türkiye ekonomisinde nominal döviz kurları ile ulusal ve uluslararası göreli fiyat seviyeleri arasında uzun dönemli bir ilişkinin varlığını göstermiştir. Buna göre 1980 sonrası dönemde dışa açılma ve ekonomik entegrasyon sürecine giren Türkiye ekonomisi, parasal iktisat bağlamında uluslararasılaşma sürecini tamamlamış ve küresel ekonomik sisteme entegre olmuştur.

Anahtar Kelimeler

Satın Alma Gücü Paritesi, Birim Kök Testleri, ARDL Sınır Testi

Strong and Weak Form of Validity of the Purchasing Power Parity Theory in Türkiye: Evidence from ARDL and Unit Root Tests

Öz

In the field of economics and international finance, the theory of purchasing power parity (PPP) remains one of the most frequently cited frameworks for comparing the values of currencies. This study aims to examine the long-term validity of the PPP theory in Türkiye from two perspectives: the strong form and the weak form. Utilizing monthly data from the period 1994:1 to 2023:10, the Augmented Dickey-Fuller (ADF) and Fractional Frequency Fourier ADF unit root tests are employed to test the strong form of the PPP theory. To assess the validity of the weak form of PPP, the ARDL Bounds Test is utilized as the methodological approach. The findings of this study indicate that the PPP theory holds in both its strong and weak forms for Türkiye during the specified period. Empirical evidence demonstrates a long-term relationship between nominal exchange rates and relative price levels, both domestically and internationally, within the Turkish economy. These results suggest that Türkiye, which embarked on a path of economic liberalization and integration after 1980, has successfully completed the process of internationalization in the context of monetary economics and has effectively integrated into the global economic system.

Anahtar Kelimeler

Purchasing Power Parity, Unit Root Tests, ARDL Bounds Test

Kaynakça

• Alba, J. D. ve Park, D. (2005). Non-linear mean reversion of real exchange rates and purchasing power parity: Some evidence from Turkey. Applied Economics Letters, 12(11), 701-704. https://doi.org/10.1080/13504850500188133
• Ayala, A., Blazsek, S., Cuñado, J. ve Gil-Alana, L. A. (2016). Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score. Applied Economics, 48(29), 2675-2696. https://doi.org/10.1080/00036846.2015.1128076
• Barro, R. J. (1987). Macroeconomics. Library of Congress Cataloging-in-Publication.
• Boundi-Chraki, F. ve Mateo Tomé, J. P. (2022). The purchasing power parity hypothesis tested -once again-. new empirical evidence for 28 OECD countries. Investigación Económica, 81(322), 3-26. https://doi.org/10.22201/fe.01851667p.2022.322.82892
• Bozoklu, S. ve Kutlu, S. (2012). Linear and nonlinear cointegration of purchasing power parity: Further evidence from developing countries. Global Economic Review, 41(2), 147-162. https://doi.org/10.1080/1226508X.2012.684470
• Bozoklu, S., Yilanci, V. ve Gorus, M. S. (2020). Persistence in per capita energy consumption: A fractional integration approach with a Fourier function. Energy Economics, 91, 104926. https://doi.org/10.1016/j.eneco.2020.104926
• Cassel, G. (1916). The present situation of the foreign exchanges. The Economic Journal, 26(103), 319-323.
• Cassel, G. (1918). Abnormal deviations in international exchanges. The Economic Journal, 28(112), 413-415.
• Chan, K. S., Lai, J. T. ve Liang, X. (2023). Testing the validity of purchasing power parity for China: Evidence from the Fourier quantile unit root test. Review of International Economics, 31(2), 464-492. https://doi.org/10.1111/roie.12634
• Chang, T., Lu, Y.-C., Liu, W.-C. ve Kang, S.-C. (2010). Revisiting purchasing power parity for major oil-exporting countries using panel SURADF tests. Applied Economics Letters, 18(1), 63-67. https://doi.org/10.1080/13504850903425041
• Chen, W. W. ve Hurvich, C. M. (2006). Semiparametric estimation of fractional cointegrating subspaces. The Annals of Statistics, 34(6). https://doi.org/10.1214/009053606000000894
• Conejo, C. ve Shields, M. P. (1993). Relative PPP and the long-run terms of trade for five Latin American countries: A cointegration approach. Applied Economics, 25(12), 1511-1515. https://doi.org/10.1080/00036849300000155
• Çağlayan, E. ve Saçaklı, İ. (2006). Satın alma gücü paritesinin geçerliliğinin sıfır frekansta spektrum tahmincisine dayanan birim kök testleri ile incelenmesi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 20(1), 121-137.
• Doğanlar, M., Mike, F. ve Kızılkaya, O. (2021). Testing the validity of purchasing power parity in alternative markets: Evidence from the Fourier quantile unit root test. Borsa Istanbul Review, 21(4), 375-383. https://doi.org/10.1016/j.bir.2020.12.004
• Dornbusch, R. (1985). Purchasing power parity (w1591; s. w1591). National Bureau of Economic Research. https://doi.org/10.3386/w1591
• Enders, W. ve Lee, J. (2012). The flexible Fourier form and Dickey–Fuller type unit root tests. Economics Letters, 117(1), 196-199. https://doi.org/10.1016/j.econlet.2012.04.081
• Erdoğmuş, M. (2021). An analysis of the validity of absolute purchasing power parity: The case of Turkish Lira and British Pound. Sosyoekonomi, 29(50), 51-71. https://doi.org/10.17233/sosyoekonomi.2021.04.03
• Glynn, J., Perera, N. ve Verma, R. (2007). Unit root tests and structural breaks: A survey with applications. https://ro.uow.edu.au/commpapers/455/
• Goswami, G. G. ve Saha, T. K. (2024). Fourier nonlinear quantile unit root test of purchasing power parity in cryptocurrencies. Applied Economics Letters, 31(4), 312-322. https://doi.org/10.1080/13504851.2022.2132205
• Gövdeli̇, T. ve Sumer, S. (2021). Testing the purchasing power parity hypothesis for BRICS: Evidence from the Fourier unit root and cointegration test. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(3), 1394-1406. https://doi.org/10.30798/makuiibf.822369
• Gözgör, G. (2011). Purchasing power parity hypothesis among the main trading partners of Turkey. https://openaccess.dogus.edu.tr/xmlui/handle/11376/2359 IMF. (2023). International Financial Statistics. https://data.imf.org/?sk=4c514d48-b6ba-49ed-8ab9-52b0c1a0179bvesId=-1
• Jiang, C., Bahmani-Oskooee, M., ve Chang, T. (2015). Revisiting purchasing power parity in OECD. Applied Economics, 47(40), 4323-4334. https://doi.org/10.1080/00036846.2015.1026592
• Jie, H. ve Liu, X. (2023). Price regulation, exchange rate regulation and the purchasing power parity: Empirical evidence from China. Emerging Markets Finance and Trade, 1-12. https://doi.org/10.1080/1540496X.2023.2281414
• Kalyoncu, H. (2009). New evidence of the validity of purchasing power parity from Turkey. Applied Economics Letters, 16(1), 63-67. https://doi.org/10.1080/13504850701351902
• Katseli-Papaefstratiou, L. (1979). The reemergence of the purchasing power parity doctrine in the 1970’s.
• Kim, H.-G. ve Jei, S. Y. (2013). Empirical test for purchasing power parity using a time-varying parameter model: Japan and Korea cases. Applied Economics Letters, 20(6), 525-529. https://doi.org/10.1080/13504851.2012.689109
• Levent Korap, H. ve Aslan, Ö. (2010). Re-examination of the long-run purchasing power parity: Further evidence from Turkey. Applied Economics, 42(27), 3559-3564. https://doi.org/10.1080/00036840802129798
• Lin, S.-Y., Chang, H.-J. ve Chang, T. (2011). Revisiting purchasing power parity for nine transition countries: A Fourier stationary test. Post-Communist Economies, 23(02), 191-201. https://doi.org/10.1080/14631377.2011.570049
• Ma, W., Li, H. ve Park, S. Y. (2017). Empirical conditional quantile test for purchasing power parity: Evidence from East Asian countries. International Review of Economics & Finance, 49, 211-222. https://doi.org/10.1016/j.iref.2017.01.029
• Nazlioglu, S., Altuntas, M., Kilic, E. ve Kucukkkaplan, I. (2022). Purchasing power parity in GIIPS countries: Evidence from unit root tests with breaks and non-linearity. Applied Economic Analysis, 30(90), 176-195. https://doi.org/10.1108/AEA-10-2020-0146
• Olaniran, S. F. ve Ismail, M. T. (2023). Testing absolute purchasing power parity in West Africa using fractional cointegration panel approach. Scientific African, 20, e01615. https://doi.org/10.1016/j.sciaf.2023.e01615
• 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. https://doi.org/10.1080/13504850500447315
• Özkan, F. (2013). Comparing the forecasting performance of neural network and purchasing power parity: The case of Turkey. Economic Modelling, 31, 752-758. https://doi.org/10.1016/j.econmod.2013.01.010
• Pata, U. K. ve Caglar, A. E. (2021). Investigating the EKC hypothesis with renewable energy consumption, human capital, globalization and trade openness for China: Evidence from augmented ARDL approach with a structural break. Energy, 216, 119220. https://doi.org/10.1016/j.energy.2020.119220
• Pesaran, M. H., Shin, Y. ve Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326. https://doi.org/10.1002/jae.616
• Rabe, C. ve Waddle, A. (2020). The evolution of purchasing power parity. Journal of International Money and Finance, 109, 102237. https://doi.org/10.1016/j.jimonfin.2020.102237
• Saygili, H. ve Saygili, M. (2011). Testing purchasing power parity for the new EU members and Turkey: A panel cointegration analysis with disaggregated CPI. Available at SSRN 1330383. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1330383
• TCMB. (2023). Elektronik veri dağıtım sistemi. https://evds2.tcmb.gov.tr/
• Telatar, E. ve 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. https://doi.org/10.1080/758540127
• Tiwari, A. K. ve Shahbaz, M. (2014). Revisiting purchasing power parity for India using threshold cointegration and nonlinear unit root test. Economic Change and Restructuring, 47(2), 117-133. https://doi.org/10.1007/s10644-013-9144-9
• TÜİK. (2023). Dış ticaret. https://www.tuik.gov.tr/indir/metodolojikDokumanlar/hia_metod_tr.pdf
• Uğur, M. S. ve Alper, A. E. (2023). Revisiting purchasing power parity in OECD countries: New evidence from nonlinear unit root test with structural breaks. Sosyoekonomi, 31(57), 25-45. https://doi.org/10.17233/sosyoekonomi.2023.03.02
• Vo, H. L. ve Vo, D. H. (2023). The purchasing power parity and exchange‐rate economics half a century on. Journal of Economic Surveys, 37(2), 446-479. https://doi.org/10.1111/joes.12504
• Yazgan, M. E. (2003). The purchasing power parity hypothesis for a high inflation country: A re-examination of the case of Turkey. Applied Economics Letters, 10(3), 143-147. https://doi.org/10.1080/1350485022000041078
• Yıldırım, D. (2017). Empirical investigation of purchasing power parity for Turkey: Evidence from recent nonlinear unit root tests. Central Bank Review, 17(2), 39-45. https://doi.org/10.1016/j.cbrev.2017.03.001