Satın Alma Gücü Paritesi Hipotezi Geçerliliğinin Fourier Birim Kök Testleri ile İncelenmesi: OECD Ülkeleri Örneği

Öz

Satın alma gücü paritesi (SAGP) hipotezi, ülkelerin finansal istikrar, yapısal uyum ve ekonomik reform programları açısından önemli bir gösterge olarak kabul edilmektedir. SAGP hipotezinin geçerliliği ise genellikle reel döviz kurlarının durağanlığı üzerinden test edilmektedir. Bu çalışmada 27 OECD ülkesi için SAGP’nin geçerliliği geleneksel ADF birim kök testi, KSS birim kök testi, Fourier ADF ve Fourier KSS birim kök testleri ile incelenmiş ve reel döviz kuru durağanlığının, yapısal değişim ve doğrusal olmama formu da gözetilerek araştırılması amaçlanmıştır. Çalışma sonuçlarına göre 14 OECD ülkesi için reel döviz kurunun yapısal değişimler altında doğrusal olmayan formda durağan olduğu dolayısıyla bu ülkelerde SAGP hipotezinin geçerli olduğu desteklenmiştir

Anahtar Kelimeler

• Satın Alma Gücü Paritesi, Fourier KSS, OECD Ülkeleri

Investigation of the Validity of Purchasing Power Parity Hypothesis with Fourier Unit Root Tests: The Case of OECD Countries

Öz

It is assumed that purchasing power parity (PPP) hypothesis is an important indicator with regard to financial stability, structural adjustment and economic reform programs of countries. The validity of PPP hypothesis is generally tested with the stationarity of real exchange rates. In this study, the validity of PPP hypothesis is examined with traditional ADF unit root test, KSS unit root test, Fourier ADF and Fourier KSS unit root tests for 27 OECD countries and it is aimed to investigate the stationary of real exchange rate considering with structural changes and nonlinearity form. According to the results of study, real exchange rate is stationary in nonlinear form under structural changes for 14 OECD countries therefore it is supported that PPP hypothesis is exist in these countries

Anahtar Kelimeler

• Purchasing Power Parity, Fourier KSS, OECD Countries

Kaynakça

1. Akgül,I. (1995). Satınalma Gücü Paritesi: Uzun Dönem Yaklaşımı.Marmara Üniversitesi Ekonometri Dergisi , s. 61-100.
2. Akinboade, O. A. ve Makina D. (2006).Mean Reversion and Structural Breaks in Real Exchange Rates: South African Evidence. Applied Financial Economics, 16(4): 347-358.
3. Baharumshah, A. Z., Lau, E. ve Nziramasangat. (2010). Purchasing Power Parity in African countries: Evidence from Panel SURADF Test. South African Journal of Economics, 78(1): 40-56.
4. Bahmani-Oskooee, M., Chang, T. ve Wu, T.-P. (2014a). Revisiting Purchasing Ppower Parity in African Countries: Panel Stationary Test with Sharp and Smooth Breaks, Applied Financial Economics, 24, 1429–38.
5. Bahmani-Oskooee, M., Kones, A. ve Chang T. (2014b), Purchasing Power Parity in African Countries: Evidence from the Sequential Panel Selection Method. Economic Papers, Vol. 33, No. 3, 295–304.
6. Bahmani-Oskooee, M., Chang, T. ve Lee, K.-C. (2014c). Purchasing Power Parity in the BRICS and the MIST Countries: Sequential Panel Selection Method. Review of Economics & Finance.1-12.
7. Bahmani-Oskooee, M., Kutan, A. M., ve Zhou, Z. (2008). Do Real Exchange Rates Follow A Nonlinear Mean Reverting Process in Developing Countries. Southern Economic Journal, 74(5): 1049-1062.
8. Becker, R., Endes, W. ve Lee, J. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 3(5): 381-409.

9. Bierens, H. J. (1997). Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationarity, with an Application to the US Price Level and Interest Rate. Journal of Econometrics, 81(1), 29-64.
10. Bozoklu, Ş. ve Yılancı V. (2010). Reel Döviz Kurlarının Durağanlığı: E7 Ülkeleri İçin Ampirik Bir İnceleme. Maliye Dergisi, Sayı 158, Ocak-Haziran 2010:587-606.
11. Carrion-i-Silvestre, J. L., Kim, D. ve Perron, P. (2009). GLS-Based Unit Root Tests with Multiple Structural Breaks under Both the Null and the Alternative Hypotheses. Econometric Theory. 25: 1754-1792.
12. Cassel, G. (1918). Abnormal Deviations in International Exchanges. The Economic Journal, 28(112): 413-415.
13. Choi, I. ve Chue, T.K. (2007). Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices. J. Appl. Econ. 22, 233–264.
14. Christopoulos, D. K., ve Leon-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.
15. Cuestas, J. C. (2009). Purchasing Power Parity in Central and Eastern European Pountries: An Analysis of Unit Roots and Nonlinearities. Applied Economics Letters, 16, 87-94.
16. Guloglu, B., Ispir, S., ve Okat, D. (2011). Testing the validity of quasi PPP hypothesis: evidence from a recent panel unit root test with structural breaks.Applied economics letters, 18(18), 1817-1822.
17. Gümüş, F. B., ve Zeren, F., (2015). Analyzing the Efficient Market Hypothesis with the Fourier Unit Root Tests: Evidence from G-20 Countries. Ekonomski Horizonti 16(3): 225-237.
18. Hadri, K. ve Rao, Y. (2008). Panel Stationarity Test with Structural Breaks. Oxf Bull Econ Stat, 70:245–269.
19. He, H., Chou, M. ve Chang, T. (2014) Purchasing Power Parity for 15 Latin American countries: Panel SURKSS Test with a Fourier Function, Economic Modelling, 36, 37–43.
20. Holmes, M.J., Otero, J. ve Panagiotidis, T. (2012). PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks. Open Economies Review, 23(5), 767-783.
21. Im, K.S., Pesaran, M.H. ve Shin, Y. (2003). Testing for Unit Roots in Heterogeneous Panels. J. Econom. 115, 53–74.
22. Jiang, C., Bahmani-Oskooee, M. ve Chang, T. (2015). Revisiting Purchasing Power Parity in OECD. Applied Economics, 2015 Vol. 47, No. 40, 4323–4334.
23. Kapetanios, G., Shin, Y. ve Snell, A. (2003). Testing for a Unit Root in the Nonlinear STAR Framework. Journal of Econometrics, 112, 359-379.
24. Kilian, L. ve Taylor, M. (2003). Why is it So Difficult to Beat the Random Walk Forecast of Exchange Rates? Journal of International Economics, 60(1): 85- 107.
25. Lau, C. (2009). A More Powerful Panel Unit Root Test with an Application to PPP. Applied Economics Letters,16(1), 75-80.
26. Lee, J. ve Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. The Review of Economics and Statistics, 85(4): 1082- 1089.
27. Levin, A., Lin, C.F. ve Chu, C.S. (2002). Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties. J. Econom. 108, 1–24.
28. Liew, V. K-S., Lee, H.-A. ve Lim, K.-P. (2009). Purchasing Power Parity in Asian economies: Further Evidence from Rank Tests for Cointegration. Applied Economics Letters, 16(1): 51-54.
29. Lothian, J.R. ve Taylor, M.P. (2000). Purchasing Power Parity over Two Centuries: Strengthening The Case for Real Exchange Rate Stability: A Reply To Cuddington And Liang. J. Int. Money Financ. 19, 759–764.
30. Lothian, J.R. ve Taylor, M.P. (2008). Real Exchange Rates over The Past Two Centuries: How Important is The Harrod–Balassa–Samuelson Effect? Econ. J. 118, 1742–1763.
31. MacDonald, R. ve Taylor, M.P., (1992). Exchange-rate economics: a survey. Int. Monet. Fund Staff. Pap. 39, 1–57.
32. Maddala, G.S. ve Wu, S. (1999). A Comparative Study Of Unit Root Tests With Panel Data And A New Simple Test. Oxf. Bull. Econ. Stat. 61, 631–665.
33. Narayan, P. K. (2005). New Evidence on Purchasing Power Parity from 17 OECD Countries. Applied Economics, Vol. 37 (9), 1063-1071.
34. Özcan, B. (2012). Satın Alma Gücü Paritesi G7 Ülkeleri için Geçerli mi?. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt-30, Sayı-2:137-162.
35. Pesaran, M.H. (2007). A Simple Panel Unit Root Test in The Presence of Cross Section Dependence. J. Appl. Econ. 22, 265–312.
36. Rogoff, K. (1996). The Purchasing Power Parity Puzzle. J. Econ. Lit. 34, 647–668. Sarno ve Taylor, M. P. (2003). The Economics of Exchange Rates. New York: Cambridge University Press.
37. Sarno, L. ve Taylor, M.P. (2002). Purchasing Power Parity and The Real Exchange Rate. IMF Staff. Pap. 49, 65–105.
38. Schwert, G. W. (1989). Tests for Unit-Roots: A Monte Carlo investigation. Journal of Business and Economic Statistics, 7: 147-159.
39. Snaith, S. (2012). The PPP Debate: Multiple Breaks And Cross-Sectional Dependence. Economics Letters, 115, 342- 344.
40. Tatoglu, F.Y. (2009). Reel Efektif Döviz Kurunun Duraganlıgının Yapısal Kırılmalı Panel Birim Kök Testleri Kullanılarak Sınanması. Dogus Üniversitesi Dergisi, 10(2), 310-323.
41. Taylor, A.M. ve Taylor, M. P. (2004). The Purchasing Power Parity Debate. J. Econ. Perspect. 18, 135–158.
42. Taylor, M. P. (1995). The economics of exchange rates. J. Econ. Lit. 33, 13–47.
43. Taylor, M. P. (2003). Purchasing Power Parity. Review of International Economics, 11: 436-452.
44. Taylor, M. P. (2004), Is Official Exchange Rate Intervention Effective? Economica, 71(281): 1-11.
45. Taylor, M. P. (2005), Official Foreign Exchange Intervention as a Coordinating Signal in the Dollar-Yen Market. Pacific Economic Review, 10(1): 73-82.
46. Taylor, M.P. ve Sarno, L. (1998). The Behavior of Real Exchanges During The PostBretton Woods Period. J. Int. Econ. 46, 281–312.
47. Tiwari, A. K. ve Shahbaz M. (2013). Revisiting Purchasing Power Parity for India Using Threshold Cointegration and Nonlinear Unit Root Test. Econ Change Restruct, DOI 10.1007/s10644-013-9144-9.
48. Yılancı, V. ve Eriş Z. A., (2013). Purchasing Power Parity in African Countries: Further Evidence From Forier Unit Root Tests Based on Linear And Nonlinear Models. South African Journal of Economics Vol. 81:1, 20-34.
49. Yıldırım, K., Mercan, M., ve Kostakoğlu, F. S. (2013). Satın Alma Gücü Paritesinin Test Edilmesi: Zaman Serisi ve Panel Veri Analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 8(3), 75-95.