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SATIN ALMA GÜCÜ PARİTESİ YAKLAŞIMI İLE TÜRKİYE’DE REEL DÖVİZ KURU YANLIŞ DENGELENMESİNİN BELİRLENMESİ: YAPISAL KIRILMALI VE DOĞRUSAL OLMAYAN BİRİM KÖK TESTLERİ İLE BİR ANALİZ

Yıl 2017, , 1 - 24, 30.01.2017
https://doi.org/10.15637/jlecon.183

Öz

Reel döviz kuru ekonominin geniş alanlarına nüfuz eden önemli bir değişkendir ve reel döviz
kurunun seviyesi politika yapıcılar açısından bir sinyal olarak algılanmaktadır. Bu nedenle reel döviz
kurunun denge seviyesinden kalıcı olarak uzaklaşması ekonomi açısından önemli bir problemdir ve bu
durum iktisat literatüründe “reel döviz kuru yanlış dengelenmesi” olarak adlandırılmaktadır. Reel
döviz kuru yanlış dengelenmesinin belirlenmesi amacıyla çok sayıda alternatif model mevcuttur.
Ancak yanlış dengelenmenin ölçülmesi için geliştirilen en eski model olmasına rağmen halen en
popüler model olan satın alma gücü paritesi teorisi yanlış dengelenmenin ölçülmesi açısından bir
çıkış noktası olarak görülmektedir.
Dolayısıyla bu çalışmada Türkiye için yanlış dengelenme, satın alma gücü paritesi
çerçevesinde, birinci nesil birim kök testleri, yapısal kırılmalı birim kök testleri ve doğrusal olmayan
birim kök testleri aracılığıyla analiz edilmiştir. Elde edilen bulgular Türkiye için hesaplanan reel
döviz kuru serilerinin seviyelerinde durağan olmadığını ve dolayısıyla reel döviz kurlarının yanlış
dengelendiğini göstermektedir.  

Kaynakça

  • ABUAF, N. and JORION, P, 1990, Purchasing Power Parity in the Long Run, Journal of Finance, 45, 157–174.
  • ADLER, M. and LEHMAN, B., 1983, Deviations From Purchasing Power Parity in The Long Run, Journal of Finance, 38, 147-87.
  • AKRAM, Q. F., BRUNVATNE, K. M. and LOKSHALL, R., 2003, Real Equilibrium Exchange Rates, Norges Bank Occasional papers no:32.
  • BAILLIE, R.T. ve SELOVER, D., 1987, Cointegration and Models of Exchange Rate Determination, International Journal of Forecasting, 3, 43–51.
  • BALASSA, B., 1964, The Purchasing-Power Parity Doctrine: A Reappraisal, Journal of Political Economy, 72 (6), 585–596.
  • BANERJEE, A., LUMSDAİNE, R. L. ve STOCK, J.H.,1992, Recursive and Sequential Tests of the Unit Root and Trend-Break Hypothesis: Theory and International Evidence, Journal of Business and Economic Statistics,10, pp. 271-287.
  • BAUM, C. F., BARKOULAS, J. ve ÇAĞLAYAN, M., 1999, Nonlinear Adjustment to Purchasing Power Parity in The Post - Bretton Woods Era. http://fmwww.bc.edu/ecp/wp404.pdf (Erişim Tarihi: 03.05.2014).
  • BOZOKLU, Ş. ve YILANCI, V., 2010, Reel Döviz Kurlarının Durağanlığı: E7 Ülkeleri İçin Ampirik Bir İnceleme, Maliye Dergisi, 158, 587–606.
  • CARLSSON M., LYHAGEN J. ve ÖSTERHOLM P., 2007, Testing For Purchasing Power Parity in Cointegrated Panels, IMF Working Paper No: 07/287.
  • CASSEL, G., 1918, Abnormal Deviations in International Exchanges, The Economic Journal, 28 (112), 413–415.
  • CASSEL, G.,1922, Money and Foreign Exchange after 1914, Constable, London.
  • CHEUNG, Y.W. ve LAI, K. S, 1993, A Fractional Cointegration Analysis Of Purchasing Power Parity, Journal of Business & Economic Statistics, 11 (1), 103–112.
  • CHEUNG, Y.W. ve LAI, K.S., 1998, Parity Reversion in Real Exchange Rates During the Post-Bretton Woods Period, Journal of International Money and Finance, 17, 597–614.
  • CHEUNG, Y.W., Lai, K. S. ve BERGMAN, M., 2004, Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjstments, Journal of International Economics, 64, 135–150.
  • CHINI, E.Z., 2010, Updating The PPP Puzzle: Should We Use Nonlinear Models?, MPRA Paper No. 37418.
  • CHINN, M., 1997, Sectoral Productivity, Government Spending And Real Exchange Rates: Empirical Evidence For OECD Countries, NBER Working Paper No: 6017.
  • CHORTAREAS, G.E., KAPETANIOS, G. ve SHIN, Y., 2002, Nonlinear Mean Reversion in Real Exchange Rates, Econ Lett, 77 (3), 411–441.
  • CHOUDHRY, T., MCNOWN, R. ve WALLACE, M., 1991, Purchasing Power Parity And The Canadian Float In The 1950s, Review of Economics and Statistics, 73, 558–563.
  • COOPER, J.C.B.,1994, Purchasing Power Parity: A Cointegration Analysis Of The Australian, New Zealand And Singaporean Currencies, Applied Economics Letters, 1, 167–171.
  • CORBAE, D. ve OULIARIS, S., 1988, Cointegration And Tests Of Purchasing Power Parity, The Review of Economics and Statistics, 70 (3), 508–511.
  • CORBAE, D. ve OULIARIS, S, 1991, A Test of Long-Run Purchasing Power Parity Allowing for Structural Breaks, Economic Record, 67, 26–33.
  • CULVER, S.E., and PAPELL, D.H., 1999, Long Run Purchasing Power Parity With Short Run Data: Evidence With A Null Hypothesis Of Stationarity, Journal of International Money and Finance, 18, 751–768.
  • DARBY, M.R., 1983, Movements in Purchasing Power Parity: The Short and Long Runs, The International Transmission of inflation (Ed: Darby, M.R., ve Lothian, J.R.), University of Chicago Press, Chicago, 462-477.
  • DAVUTYAN, N. ve PİPPENGER, J., 1985, Purchasing Power Parity Did Not Collapse During The 1970’s, American Economic Review, 75, 1151–1158.
  • DIEBOLD, F.X., HUSTED, S. ve RUSH, M, 1991, Real Exchange Rates Under the Gold Standard, Journal of Political Economy, 99, 1252–1271.
  • DORNBUSCH, R. (1976). Expectations And Exchange Rate Dynamics. The Journal of Political Economy, 84 (6),1161–1176.
  • DORNBUSCH, R. and Krugman, P., 1976, Flexible Exchange Rates In The Short Run, Brookings Papers on Economic Activity, No:1.
  • DORNBUSCH, R., 1985, Purchasing Power Parity, NBER Working Paper No: 1591, Cambridge.
  • DRIVER, R. L. ve WESTAWAY, P. F., 2013, Concepts Of Equilibrium Exchange Rates, Exchange Rates, Capital Flows And Policy (Ed: Driver, R., Sinclair, P. ve Thoenissen, C.), Routledge New York, 98-148.
  • EDISON, H. J., 1987, Purchasing Power Parity in The Long Run, a Test of the Dollar-PoundExchange Rate 1890-1978. Journal of Money, Credit and Banking, 19, 376-378.
  • EDISON, H.J., 1985, Purchasing Power Parity: A Quantitative Reassessment Of The 1920s Experience, Journal of International Money and Finance, 4, 361-72.
  • EL-GAMAL, M. A. ve RYU, D., 2003, Short-Memory and The PPP-Hypothesis, Journal of Economic Dynamics & Control, 30, 361–391.
  • ENDERS, W, 1988, ARIMA and Cointegration Test of PPP Under Fixed and Flexible Exchange Rate Regimes, The Review of Economics and Statistics, 70, 504-508.
  • ENGEL, C ve MORLEY, J.C., 2001, The Adjustment of Prices And The Adjustment of The Exchange Rate, NBER Working paper no. 8550.
  • ENGLE, R.F. ve Granger, C.W.J., 1987, Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55 (2).
  • FRANKEL, J. A., 1986, International Capital Mobility And Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or Goods Markets. In How Open is" the U.S. Economy?, (Ed R. Hafer), Lexington, MA, Lexington Books, 33-67.
  • FRANKEL, J. A., 1990, Zen and the Art of Modern Macroeconomics: A Commentary, Monetary Policy for a Volatile Global Economy (Ed:W. S. Haraf veT. D. Willett), Washington,DC: American Enterprise Institute for Public Policy Research pp. 117–12.
  • FRENKEL, J., 1981, The Collapse of Purchasing Power Parity During the 1970s, European Economic Review, 16, 145-165.
  • FRENKEL, J.A. ve ROSE, A.K., 1996b, A Panel Project on Purchasing Power Parity: Mean Reversion within and Between Countries, Journal of International Economics, 40, 209–224.
  • FRENKEL, Jacob A., 1978, Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920's, Journal of International Economics, 8 (2), 169-191.
  • FROOT, K. A. ve ROGOFF, K.,1994, Perspectives on PPP and long run real exchange rate,. NBER Working Paper no: 4952.
  • GAILLIOT, H., 1970, Purchasing Power Parity As An Explanation of Long-Term Changes In Exchange Rates, Journal of Money, Credit and Banking, 2(3), 348-357.
  • GANDOLFO, G., 2002, International Finance and Open – Economy Macroeconomics, Springer, Berlin.
  • GRANGER, C.W.J. ve NEWBOLD, P., 1974, Spurious Regressions in Econometrics, Journal of Econometrics, 2 (1974), 111–120.
  • HAUG, A. A. ve BASHER, S. A., 2007, Linear or Nonlinear Cointegration In The Purchasing Power Parity Relationship?, University of Otago Economics Discussion Papers No.0712.
  • HECKSCHER, E. F., 1916, Vaxelkursens Grundval vid Pappersmyntfot, Ekono-misk Tidskrift 18, 309-12.
  • HUIZINGA, J., 1987, An Empirical Investigation of the Long Run Behaviour of Real Exchange Rates, Carnegie-Rochester Conference Series of Public Policy, 27, 149-214.
  • ICKES, B. W., 2001, Lecture Note on Absolute and Relative PPP, http://econ.la.psu.edu/~ bickes/real.pdf [Erişim Tarihi: 14 Eylül 2014].
  • JACOBSON, T., LYHAGEN, J., LARSSON, R. ve Nessen, M., 2002, Infation, Exchange Rates and PPP in A Multivariate Panel Cointegration Model, Forthcoming in Econometrics Journal.
  • KAPETANIOS, G., SNELL A. ve SHIN, Y., 2003, Testing For A Unit Root In the Nonlinear
  • STAR Framework, Journal of Econometrics, 112, 359-379.
  • KAPETANIOS, G.,2005, Unit-Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks, Journal of Time Series Analysis, 26, 123–133.
  • KIM, Y, 1990, Purchasing Power Parity in The Long Run: A Cointegration Approach, Journal of Money, Credit, and Banking, 12, 491–503.
  • KUGLER, P. ve LENZ, C., 1993, Multivariate Cointegration Analysis and The Long-Run Validity of PPP, Review of Economics and Statistics, 75,180–184.
  • LAFRANCE, R. ve SCHEMBRİ, L., 2002, Purchasing-Power Parity: Definition, Measurement and Interpretation, Bank of Canada.
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  • LOTHIAN, J.R., 1997, Multi-Country Evidence on the Behaviour of Purchasing Power Parity Under the Current Float, Journal of International Money and Finance, 16, 19–36.
  • LUMSDAINE, R. L. ve PAPELL, D. H.,1997, Multiple Trend Breaks and the Unit Root Hypothesis, Review of Economics and Statistics, 79 (2), 212-218.
  • MACDONALD, R., 1993, Long-Run Purchasing Power Parity: Is It For Real?, Review of Economics and Statistics, 75 (4), 690–695.
  • MACDONALD, R., 2007, Exchange Rate Economics: Theories and Evidence, Routledge: NewYork.
  • MARK, N.C., 1990, Real and Nominal Exchange Rates in the Long Run: An Empirical Investigation, Journal of International Economics, 28, 115-136.
  • MARSH, I.W., Passari, E. ve Sarno, L., 2012, Purchasing Power Parity in Tradable Goods: Handbook of Exchange Rates (Ed: J. James.; I. W. Marsh ve L. Sarno), Wiley, New Jersey, 189-215.
  • MCNOWN, R. ve WALLACE, M.S., 1989, National Price Levels, Purchasing Power Parity, And Cointegration: A Test Of Four High İnflation Economies, Journal of International Money and Finance, 8 (4), 535–545.
  • MEESE, R.A. and ROGOFF, K., 1988, Was It Real? The Exchange Rate-Interest Differential Relation Over the Modem Floating-Rate Period, Journal of Finance, 43 (4), 933-948.
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  • NARAYAN, P. K., NARAYAN, S. ve PRASAD, A., 2009, Evidence on PPP from a Cointegration Test with Multiple Structural Breaks, Applied Economics Letters, 16 (1), 5–8.
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  • PAKKO, M. R. ve POLLARD, P. S., 2003, Burgernomics: A Big Mac™ Guide to Purchasing Power Parity, Federal Reserve Bank of St. Louis, United States.
  • PAPELL, D.H., 1997, Searching For Stationarity: Purchasing Power Parity Under The Current Float, Journal of International Economics, 43, 313–332.
  • PEDRONI, P., 1995, Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, with an Application to The PPP Hypothesis, Indiana University Working Papers in Economics, 15, 95-113.
  • PERRON, P.,1989, The Great Crash, The Oil Price Shock, And The Unit Root Hypothesis, Econometrica, 57, 1361-1401.
  • ROGOFF, K., 1996, Purchasing Power Parity Puzzle, Journal of Economic Literature, 34 (2), 647–668.
  • ROLL, R., 1979, Violations of Purchasing Power Parity and Their Implications for Efficient International Commodity Markets. International Finance And Trade, (Ed: M. Sarnat, and G.P. Szego), MA: Ballinger, Cambridge, 133-76.
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PURCHASING POWER PARITY APPROACH TO REAL EXCHANGE RATE MISALIGNMENT DETERMINATIONIN TURKEY: AN ANALYSIS WITH UNIT ROOT TEST WITH STRUCTURAL BREAK AND NONLINEAR UNIT ROOT TESTS

Yıl 2017, , 1 - 24, 30.01.2017
https://doi.org/10.15637/jlecon.183

Öz

The real exchange rate is an important indicator that permeates large areas of the economy.
Therefore, the level of the real exchange rate is perceived as a signal for policy makers. Temporary
deviation of real exchange rate from its equilibrium level is natural but permanent deviations are a
serious problem for the economy and it is known as “real exchange rate misalignment”. There are
several alternative models to determine the real exchange rate misalignment but “purchasing power
parity” is the first and the most popular theory to determine the real exchange rate misalignment and
it is seen as a starting point for measuring misalignment.
In this study real exchange rate misalignment in turkey is analyzed with first generation unit
root tests, unit root tests with structural break and nonlinear unit root test, in the frame of purchasing
power parity theory. The evidence from first generation unit root tests, unit root tests with structural
break and nonlinear unit root tests show that the real exchange rate is misaligned in Turkey.  

Kaynakça

  • ABUAF, N. and JORION, P, 1990, Purchasing Power Parity in the Long Run, Journal of Finance, 45, 157–174.
  • ADLER, M. and LEHMAN, B., 1983, Deviations From Purchasing Power Parity in The Long Run, Journal of Finance, 38, 147-87.
  • AKRAM, Q. F., BRUNVATNE, K. M. and LOKSHALL, R., 2003, Real Equilibrium Exchange Rates, Norges Bank Occasional papers no:32.
  • BAILLIE, R.T. ve SELOVER, D., 1987, Cointegration and Models of Exchange Rate Determination, International Journal of Forecasting, 3, 43–51.
  • BALASSA, B., 1964, The Purchasing-Power Parity Doctrine: A Reappraisal, Journal of Political Economy, 72 (6), 585–596.
  • BANERJEE, A., LUMSDAİNE, R. L. ve STOCK, J.H.,1992, Recursive and Sequential Tests of the Unit Root and Trend-Break Hypothesis: Theory and International Evidence, Journal of Business and Economic Statistics,10, pp. 271-287.
  • BAUM, C. F., BARKOULAS, J. ve ÇAĞLAYAN, M., 1999, Nonlinear Adjustment to Purchasing Power Parity in The Post - Bretton Woods Era. http://fmwww.bc.edu/ecp/wp404.pdf (Erişim Tarihi: 03.05.2014).
  • BOZOKLU, Ş. ve YILANCI, V., 2010, Reel Döviz Kurlarının Durağanlığı: E7 Ülkeleri İçin Ampirik Bir İnceleme, Maliye Dergisi, 158, 587–606.
  • CARLSSON M., LYHAGEN J. ve ÖSTERHOLM P., 2007, Testing For Purchasing Power Parity in Cointegrated Panels, IMF Working Paper No: 07/287.
  • CASSEL, G., 1918, Abnormal Deviations in International Exchanges, The Economic Journal, 28 (112), 413–415.
  • CASSEL, G.,1922, Money and Foreign Exchange after 1914, Constable, London.
  • CHEUNG, Y.W. ve LAI, K. S, 1993, A Fractional Cointegration Analysis Of Purchasing Power Parity, Journal of Business & Economic Statistics, 11 (1), 103–112.
  • CHEUNG, Y.W. ve LAI, K.S., 1998, Parity Reversion in Real Exchange Rates During the Post-Bretton Woods Period, Journal of International Money and Finance, 17, 597–614.
  • CHEUNG, Y.W., Lai, K. S. ve BERGMAN, M., 2004, Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjstments, Journal of International Economics, 64, 135–150.
  • CHINI, E.Z., 2010, Updating The PPP Puzzle: Should We Use Nonlinear Models?, MPRA Paper No. 37418.
  • CHINN, M., 1997, Sectoral Productivity, Government Spending And Real Exchange Rates: Empirical Evidence For OECD Countries, NBER Working Paper No: 6017.
  • CHORTAREAS, G.E., KAPETANIOS, G. ve SHIN, Y., 2002, Nonlinear Mean Reversion in Real Exchange Rates, Econ Lett, 77 (3), 411–441.
  • CHOUDHRY, T., MCNOWN, R. ve WALLACE, M., 1991, Purchasing Power Parity And The Canadian Float In The 1950s, Review of Economics and Statistics, 73, 558–563.
  • COOPER, J.C.B.,1994, Purchasing Power Parity: A Cointegration Analysis Of The Australian, New Zealand And Singaporean Currencies, Applied Economics Letters, 1, 167–171.
  • CORBAE, D. ve OULIARIS, S., 1988, Cointegration And Tests Of Purchasing Power Parity, The Review of Economics and Statistics, 70 (3), 508–511.
  • CORBAE, D. ve OULIARIS, S, 1991, A Test of Long-Run Purchasing Power Parity Allowing for Structural Breaks, Economic Record, 67, 26–33.
  • CULVER, S.E., and PAPELL, D.H., 1999, Long Run Purchasing Power Parity With Short Run Data: Evidence With A Null Hypothesis Of Stationarity, Journal of International Money and Finance, 18, 751–768.
  • DARBY, M.R., 1983, Movements in Purchasing Power Parity: The Short and Long Runs, The International Transmission of inflation (Ed: Darby, M.R., ve Lothian, J.R.), University of Chicago Press, Chicago, 462-477.
  • DAVUTYAN, N. ve PİPPENGER, J., 1985, Purchasing Power Parity Did Not Collapse During The 1970’s, American Economic Review, 75, 1151–1158.
  • DIEBOLD, F.X., HUSTED, S. ve RUSH, M, 1991, Real Exchange Rates Under the Gold Standard, Journal of Political Economy, 99, 1252–1271.
  • DORNBUSCH, R. (1976). Expectations And Exchange Rate Dynamics. The Journal of Political Economy, 84 (6),1161–1176.
  • DORNBUSCH, R. and Krugman, P., 1976, Flexible Exchange Rates In The Short Run, Brookings Papers on Economic Activity, No:1.
  • DORNBUSCH, R., 1985, Purchasing Power Parity, NBER Working Paper No: 1591, Cambridge.
  • DRIVER, R. L. ve WESTAWAY, P. F., 2013, Concepts Of Equilibrium Exchange Rates, Exchange Rates, Capital Flows And Policy (Ed: Driver, R., Sinclair, P. ve Thoenissen, C.), Routledge New York, 98-148.
  • EDISON, H. J., 1987, Purchasing Power Parity in The Long Run, a Test of the Dollar-PoundExchange Rate 1890-1978. Journal of Money, Credit and Banking, 19, 376-378.
  • EDISON, H.J., 1985, Purchasing Power Parity: A Quantitative Reassessment Of The 1920s Experience, Journal of International Money and Finance, 4, 361-72.
  • EL-GAMAL, M. A. ve RYU, D., 2003, Short-Memory and The PPP-Hypothesis, Journal of Economic Dynamics & Control, 30, 361–391.
  • ENDERS, W, 1988, ARIMA and Cointegration Test of PPP Under Fixed and Flexible Exchange Rate Regimes, The Review of Economics and Statistics, 70, 504-508.
  • ENGEL, C ve MORLEY, J.C., 2001, The Adjustment of Prices And The Adjustment of The Exchange Rate, NBER Working paper no. 8550.
  • ENGLE, R.F. ve Granger, C.W.J., 1987, Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55 (2).
  • FRANKEL, J. A., 1986, International Capital Mobility And Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or Goods Markets. In How Open is" the U.S. Economy?, (Ed R. Hafer), Lexington, MA, Lexington Books, 33-67.
  • FRANKEL, J. A., 1990, Zen and the Art of Modern Macroeconomics: A Commentary, Monetary Policy for a Volatile Global Economy (Ed:W. S. Haraf veT. D. Willett), Washington,DC: American Enterprise Institute for Public Policy Research pp. 117–12.
  • FRENKEL, J., 1981, The Collapse of Purchasing Power Parity During the 1970s, European Economic Review, 16, 145-165.
  • FRENKEL, J.A. ve ROSE, A.K., 1996b, A Panel Project on Purchasing Power Parity: Mean Reversion within and Between Countries, Journal of International Economics, 40, 209–224.
  • FRENKEL, Jacob A., 1978, Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920's, Journal of International Economics, 8 (2), 169-191.
  • FROOT, K. A. ve ROGOFF, K.,1994, Perspectives on PPP and long run real exchange rate,. NBER Working Paper no: 4952.
  • GAILLIOT, H., 1970, Purchasing Power Parity As An Explanation of Long-Term Changes In Exchange Rates, Journal of Money, Credit and Banking, 2(3), 348-357.
  • GANDOLFO, G., 2002, International Finance and Open – Economy Macroeconomics, Springer, Berlin.
  • GRANGER, C.W.J. ve NEWBOLD, P., 1974, Spurious Regressions in Econometrics, Journal of Econometrics, 2 (1974), 111–120.
  • HAUG, A. A. ve BASHER, S. A., 2007, Linear or Nonlinear Cointegration In The Purchasing Power Parity Relationship?, University of Otago Economics Discussion Papers No.0712.
  • HECKSCHER, E. F., 1916, Vaxelkursens Grundval vid Pappersmyntfot, Ekono-misk Tidskrift 18, 309-12.
  • HUIZINGA, J., 1987, An Empirical Investigation of the Long Run Behaviour of Real Exchange Rates, Carnegie-Rochester Conference Series of Public Policy, 27, 149-214.
  • ICKES, B. W., 2001, Lecture Note on Absolute and Relative PPP, http://econ.la.psu.edu/~ bickes/real.pdf [Erişim Tarihi: 14 Eylül 2014].
  • JACOBSON, T., LYHAGEN, J., LARSSON, R. ve Nessen, M., 2002, Infation, Exchange Rates and PPP in A Multivariate Panel Cointegration Model, Forthcoming in Econometrics Journal.
  • KAPETANIOS, G., SNELL A. ve SHIN, Y., 2003, Testing For A Unit Root In the Nonlinear
  • STAR Framework, Journal of Econometrics, 112, 359-379.
  • KAPETANIOS, G.,2005, Unit-Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks, Journal of Time Series Analysis, 26, 123–133.
  • KIM, Y, 1990, Purchasing Power Parity in The Long Run: A Cointegration Approach, Journal of Money, Credit, and Banking, 12, 491–503.
  • KUGLER, P. ve LENZ, C., 1993, Multivariate Cointegration Analysis and The Long-Run Validity of PPP, Review of Economics and Statistics, 75,180–184.
  • LAFRANCE, R. ve SCHEMBRİ, L., 2002, Purchasing-Power Parity: Definition, Measurement and Interpretation, Bank of Canada.
  • LO, M. C., 2006, Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life. http://ssrn.com/abstract=945750 (Erişim Tarihi: 20.05.2014).
  • LOTHIAN, J.R., 1997, Multi-Country Evidence on the Behaviour of Purchasing Power Parity Under the Current Float, Journal of International Money and Finance, 16, 19–36.
  • LUMSDAINE, R. L. ve PAPELL, D. H.,1997, Multiple Trend Breaks and the Unit Root Hypothesis, Review of Economics and Statistics, 79 (2), 212-218.
  • MACDONALD, R., 1993, Long-Run Purchasing Power Parity: Is It For Real?, Review of Economics and Statistics, 75 (4), 690–695.
  • MACDONALD, R., 2007, Exchange Rate Economics: Theories and Evidence, Routledge: NewYork.
  • MARK, N.C., 1990, Real and Nominal Exchange Rates in the Long Run: An Empirical Investigation, Journal of International Economics, 28, 115-136.
  • MARSH, I.W., Passari, E. ve Sarno, L., 2012, Purchasing Power Parity in Tradable Goods: Handbook of Exchange Rates (Ed: J. James.; I. W. Marsh ve L. Sarno), Wiley, New Jersey, 189-215.
  • MCNOWN, R. ve WALLACE, M.S., 1989, National Price Levels, Purchasing Power Parity, And Cointegration: A Test Of Four High İnflation Economies, Journal of International Money and Finance, 8 (4), 535–545.
  • MEESE, R.A. and ROGOFF, K., 1988, Was It Real? The Exchange Rate-Interest Differential Relation Over the Modem Floating-Rate Period, Journal of Finance, 43 (4), 933-948.
  • MICHAEL, P., NOBAY, A. R. ve PEEL, D. A., 1997, Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation, Journal of Political Economy,105 (4), 862-879.
  • MUSSA, M. L., 1982, A Model of Exchange Rate Dynamics, Journal of Political Economy, 90, 74- 104.
  • NARAYAN, P. K., NARAYAN, S. ve PRASAD, A., 2009, Evidence on PPP from a Cointegration Test with Multiple Structural Breaks, Applied Economics Letters, 16 (1), 5–8.
  • NGUYEN, N. M., 2005, Purchasing Power Parity, IFM Fall, https://tr.scribd.com/document/72159543/PPP-Nguyen [Erişim Tarihi: 21 Kasım 2014].
  • PAKKO, M. R. ve POLLARD, P. S., 2003, Burgernomics: A Big Mac™ Guide to Purchasing Power Parity, Federal Reserve Bank of St. Louis, United States.
  • PAPELL, D.H., 1997, Searching For Stationarity: Purchasing Power Parity Under The Current Float, Journal of International Economics, 43, 313–332.
  • PEDRONI, P., 1995, Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, with an Application to The PPP Hypothesis, Indiana University Working Papers in Economics, 15, 95-113.
  • PERRON, P.,1989, The Great Crash, The Oil Price Shock, And The Unit Root Hypothesis, Econometrica, 57, 1361-1401.
  • ROGOFF, K., 1996, Purchasing Power Parity Puzzle, Journal of Economic Literature, 34 (2), 647–668.
  • ROLL, R., 1979, Violations of Purchasing Power Parity and Their Implications for Efficient International Commodity Markets. International Finance And Trade, (Ed: M. Sarnat, and G.P. Szego), MA: Ballinger, Cambridge, 133-76.
  • SARNO, L. ve TAYLOR, M. P., 2003, The Economics of Exchange Rates, Cambridge University Press, New York.
  • SCHWEIGERT, T. E., 2002, Nominal and Real Exchange Rates and Purchasing Power Parity During the Guatemalan Float, Journal of Economic Development, 27 (2), 127–142.
  • SEN, A.,2003, On Unit-Root Tests When the Alternative Is a Trend-Break Stationary Process, Journal of Business and Economics Statistics, 21(1), 174–184.
  • SIMONOFF, J. S., 2013, Purchasing power parity: is it true http://www.stern.nyu.edu/~jsimonof/classes/2301/pdf/ppp.pdf, [Erişim Tarihi: 05 Mayıs 2014].
  • SOLLIS, R., LEYBOURNE, S. J. ve NEWBOLD, P.,2002, Tests For Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates. Journal of Money, Credit and Banking, 34 (3), 686–700.
  • SÖDERSTEN, B. ve REED, G., 1994, International Economics, Macmillan Pres, London.
  • STEIGERWALD, D.G., 1996, Purchasing Power Parity, Unit Roots, and Dynamic Structure, Journal of Empirical Finance, 2 (4), 343–357.
  • STOCKMAN, A. C., 1987, The Equilibrium Approach to Exchange Rates, Federal Reserve Bank of Richmond Economic Review, 73, 12–30.
  • TANG, C.F., 2011. Old Wine in New Bottles: Are Malaysia's Tourism Markets Converging?, Asia Pacific Journal of Tourism Research, 16 (3), 263-272.
  • TAYLOR, M. P., 2006, Real Exchange Rates and Purchasing Power Parity: Mean-Reversion in Economic Thought, Applied Financial Economics, 16, 1-17.
  • TAYLOR, M. ve MCMAHON, P., 1988, Long Run Purchasing Power Parity In The 1920s, European Economic Review, 32, 179–197.
  • TAYLOR, M.P. ve SARNO, L., 1998, The Behaviour Of Real Exchange Rates During The Post-Bretton Woods Period, Journal of International Economics, 46, 281-312.
  • TAYLOR, M.P., PEEL, D.A. ve SARNO, L., 2001, Non-Linear Mean Reversion in Real Exchange Rates: Towards A Solution To The Purchasing Power Parity Puzzles, Centre for Economic Policy Research Discussion Papers No: 2658.
  • TAYLOR, M.P., PEEL, D.A. ve SARNO, L., 2001, Non-linear mean reversion in real exchange rates: towards a solution to the purchasing power parity puzzles, Centre for Economic Policy Research Discussion Papers No: 2658.
  • VAN MARREVİJK, C., 2004, an Introduction to International Money and Foreign Exchange Markets, The University Adelaide School of Economics Working Paper No: 2004-02.
  • WU, Y, 1996, Are Real Exchange Rates Nonstationary? Evidence From A Panel Data Test, Journal of Money, Credit and Banking, 28, 54–63.
  • YALÇINER, K., 2012, Uluslararası Finansman, Detay Yayıncılık, Ankara.
  • ZHOU, S., 1993, Purchasing Power Parity In High-Inflation Countries: A Cointegration Analysis of Integrated Variables With Trend Breaks, Southern Economic Journal, 64 (2), 450-467.
  • ZIVOT, E. ve ANDREWS, K., 1992, Further Evidence On The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis, Journal of Business and Economic Statistics, 10 (10), 251–70.
Toplam 93 adet kaynakça vardır.

Ayrıntılar

Bölüm Makaleler
Yazarlar

Sevgi Gerek Bu kişi benim

Mustafa Karabacak

Yayımlanma Tarihi 30 Ocak 2017
Yayımlandığı Sayı Yıl 2017

Kaynak Göster

APA Gerek, S., & Karabacak, M. (2017). SATIN ALMA GÜCÜ PARİTESİ YAKLAŞIMI İLE TÜRKİYE’DE REEL DÖVİZ KURU YANLIŞ DENGELENMESİNİN BELİRLENMESİ: YAPISAL KIRILMALI VE DOĞRUSAL OLMAYAN BİRİM KÖK TESTLERİ İLE BİR ANALİZ. Journal of Life Economics, 4(1), 1-24. https://doi.org/10.15637/jlecon.183