Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi

Öz

Bu çalışma, satınalma gücü paritesinin uzun dönemli geçerliliğini, reel döviz kurlarına yönelik Fourier durağanlık analizi ile test etmeyi amaçlamaktadır. Fourier yaklaşımı ile yapısal kırılmalar, kademeli (gradual) ve yumuşak (smooth) bir süreç olarak modellenmiştir. Dünya Bankası ülke sınıflandırılmasından hareket edilerek, yüksek gelir grubu 23, üst-orta gelir grubu 30, düşük-orta gelir grubu 30 ve düşük gelir grubu 9 ülke olmak üzere, toplam 92 ülke için 1995:1-2017:2 dönemi çeyreklik veriler kullanılarak analizler gerçekleştirilmiştir. Elde edilen bulgular 8 yüksek gelirli ülke, 5 üst-orta gelirli ülke, 8 düşük-orta gelirli ülke ve 3 düşük gelirli ülke için satınalma gücü paritesinin geçerli olduğunu göstermektedir.

Anahtar Kelimeler

• Satınalma Gücü Paritesi,Reel Döviz Kuru,Fourier Yaklaşımı,Durağanlık Testi

Kaynakça

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