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Faiz Oranı Paritesi ve Etkin Piyasa Hipotezinin Gelişen Piyasa Ekonomileri İçin Test Edilmesi

Yıl 2018, Cilt: 13 Sayı: 1, 65 - 86, 15.04.2018
https://doi.org/10.17153/oguiibf.332141

Öz

Bu
çalışmada faiz oranı paritesi ve etkin piyasa hipotezinin uzun dönemli
geçerlilikleri 14 gelişen piyasa ekonomisi için 2003Q1-2015Q4 çeyreklik
dönemler itibariyle test edilmektedir. Güvencesiz versiyonunun ele alındığı
faiz oranı paritesi modeli için zaman serisi ve panel veri analizlerine yer
verilmektedir. Yarı-güçlü versiyonun ele alındığı etkin piyasa hipotezi için
ise zaman serisi analizine yer verilmektedir. Çalışmadan elde edilen bulgular,
faiz oranı ve döviz kuru ilişkisini gösteren ve varlık piyasası koşullarını
yansıtan faiz paritesi ile piyasa etkinliğinin genel olarak sağlanamadığına
yöneliktir. Buna göre küresel finansal piyasalarda yaşanan olumsuzluklar,
gelişen piyasa ekonomilerinin makroekonomik politikalarında meydana getirdiği
değişiklikler nedeniyle, döviz kurlarının öngörülebilirliğinin azalmasına yol
açmaktadır.

Kaynakça

  • Adrangi, Bahram; Raffiee, Kambiz; Shank, T. M. (2007), “An Ex-Post Investigation of Interest Rate Parity in Asian Emerging Markets”, International Business & Economics Research Journal, Vol. 6 No. 2: 29-48.
  • Ahmad, Rubi; Rhee, S. G.; Wong, Y. M. (2012), “Foreign Exchange Market Efficiency Under Recent Crises: Asia-Pacific Focus”, Journal of International Money and Finance, Vol. 31 No. 6: 1574–1592.
  • Arghyrou, Michael G.; Gregoriou, Andros; Kontonikas, Alexandros (2009), “Do Real İnterest Rates Converge? Evidence from the European Union” Int. Fin. Markets, Inst. and Money, Vol. 19: 447–460.
  • Asteriou, Dimitrios; Hall, S. G. (2011), Applied Econometrics, 2th Ed., London: Palgrave MacMillan.
  • Balke, Nathan S.; Wohar, Mark E. (1998), “Nonlinear Dynamics and Covered Interest Rate Parity”, Empirical Economics, Vol. 23: 535-559.
  • Bansal, Ravi; Dahlquist, Magnus (2000), “The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies” Journal of International Economics, Vol. 51: 115–144.
  • Barkoulas, John; Baum, Christopher; Chakraborty, Atreya (2000), “Forward Premiums and Market Efficiency: Panel Unit-Root Evidence from the Term Structure of Forward Premiums”, Boston College Working Papers: 1-20.
  • Batten, J. A.; Szilagyi, P. G. (2010), “Is Covered Interest Parity Arbitrage Extinct? Evidence from the Spot USD/Yen”, Applied Economics Letters, Vol. 17 No. 3: 283–287.
  • Bhatti, Razzaque H. (2014), “The Existence of Uncovered İnterest Parity in the CIS Countries”, Economic Modelling, Vol. 40: 227–241.
  • Carvalho, Jaimilton V.; Sachsida, Adolfo; Loureiro, P. R. A.; Moreira, T. B. S. (2004), “Uncovered Interest Parity in Argentina, Brazil, Chile, and Mexico: A Unit Root Test Application with Panel Data” Review of Urban and Regional Development Studies, Vol. 16 No. 3: 263-269.
  • Chang, Hsu-Ling; Su, Chi W. (2015), “Uncovered Interest Parity and Monetary Integration in East Asian Countries Based on China”, The Journal of International Trade & Economic Development, Vol. 24 No. 4: 451-464.
  • Chin, Chang C.; Liang, H. M. (2009), “The Long-Run Uncovered Interest Rate Parity in View of A Trading Strategy”, Applied Economics, Vol. 41, No.21: 2727–2739.
  • Choudhry, Taufiq (1999), “Re-Examining Forward Market Efficiency: Evidence from Fractional and Harris-Inder Cointegration Tests”, International Review of Economics and Finance, Vol. 8: 433–453.
  • Committeri, Marco; Salvatore, Rossi; Santorelli, Andrea (1993), “Tests of Covered Interest Parity on the Euromarket with High-Quality Data”, Applied Financial Economics, Vol. 3, No. 1: 89-93.
  • Copeland, Laurence (2005), Exchange Rates and International Finace, 4th Ed., England: Bell & Bain Limited.
  • Çiçek, Macide (2014). “A Cointegration Test for Turkish Foreign Exchange Market Efficiency”, Asian Economic and Financial Review, 2014, Vol. 4 No. 4: 451-471.
  • Dickey, David. A.; Fuller, W. A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root”, Econometrica, Vol. 49 No. 4: 1057-1072.
  • Dunn, Jr. Robert M.; Mutti, J. H. (2000), International Economics, 5th Ed., London: Routledge. Dutt, Swarna D.; Ghosh, Dipak (1999), “An Empirical Examination of Exchange Market Efficiency”, Applied Economics Letters, Vol. 6 No. 2: 89–91.
  • Erdemlioglu, Deniz M. (2007), “A New Test of Uncovered Interest Rate Parity: Evidence from Turkey”, MPRA, Paper No.10787: 1-20.
  • Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance, Vol. 25 No. 2: 383-417.
  • Francis, Bill; Hasan, Iftekhar; Hunter, Delroy (2002), “Emerging Market Liberalization and the Impact On Uncovered Interest Rate Parity”, Federal Reserve Bank of Atlanta, Working Paper No. 16: 1-54.
  • Fukuda, Shin-ichi (2016), “Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York”, International Economic Journal, Vol. 30 No. 3: 339-359.
  • Gandolfo, Giancarlo (2002), International Finance and Open Economy Macro-Economics, New York: Springer-Verlag.
  • Gerber, James (2014), International Economics, 6th Ed., New Jersey: Pearson Education. Goh, Soo K.; Lim, G. C.; Nilss, Olekalns (2006), “Deviations from uncovered Interest Parity in Malaysia” Applied Financial Economics, Vol. 16 No. 10: 745–759.
  • Guender, Alfred; Cook, Bevan (2011), “Monetary Policy Implementation and Uncovered Interest Parity: Empirical Evidence from Oceania” New Zealand Economic Papers, Vol. 45 No. 3: 209-229.
  • Habermeier, Karl; Kokenyne, Annamaria; Veyrune, Romain; Anderson, Harald (2009), “Revised System for the Classification of Exchange Rate Arrangements” IMF Working Paper: 1-18.
  • Hakkio, Craig S.; Rush, Mark (1989), “Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets”, Journal of International Money and Finance, Vol. 8: 75-88.
  • Husted, Steven; Melvin, Michael (2013), International Economics, 9th Ed., New Jersey: Pearson Education.
  • Ibrahim, Juliana; Long, Yasmiza; Ghani Hartini A.; Salleh S. I. M. (2011), “Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test”, International Journal of Business and Management, Vol. 6 No. 6: 55-65.
  • Ingham, Barbara (2004), International Economics: A European Focus, London: Pearson Education.
  • Jeon, Bang N.; Lee, Euiseong (2002), “Foreign Exchange Market Efficiency, Cointegration, and Policy Coordination”, Applied Economics Letters, Vol. 9 No. 1: 61-68.
  • Johansen, Soren (1988), “Statistical Analysis of Cointegration Vectors” Journal of Economic Dynamics and Control, Vol. 12 No.2-3: 231-254.
  • Kallianiotis, Ioannis N. (2013), Exchange Rates and International Financial Economics: History, Theories, and Practices, New York: Palgrave MacMillan.
  • Karfakis, Costas I.; Parikh, Ashok (1994), “Exchange Rate Convergence and Market Efficiency”, Applied Financial Economics, Vol. 4 No. 12: 93-98.
  • Kim, Heeho; Cho, JooEun (2011), “A Test of the Revised Interest Parity in China and Asian Emerging Markets”, Emerging Markets Finance & Trade, Vol. 47 No. 4: 23-41.
  • Krugman, Paul R.; Obstfeld, Maurice (2009), International Economics: Theory and Policy, 8th Ed., Boston: Pearson Education.
  • Lai, Kon S.; Lai, Michael (1991), “A Cointegration Test for Market Efficiency”, The Journal of Futures Markets, Vol. 11 No. 5: 567-575.
  • Lee, Hsiu-Yun; Wu, Jyh-Lin (2004), “Convergence of Interest Rates Around the Pacific Rim”, Applied Economics, Vol. 36 No. 12: 1281–1288.
  • Levi, Maurice D. (2009), International Finance, 5th Ed., New York: Routledge.
  • Lily, Jaratin; Kogid, Mori; Mulok, Dullah; Asid, Rozilee (2012); “Revisiting Uncovered Interest Rate Parity: An Empirical Testing Using Bounds Test Approach”, Procedia Economics and Finance, Vol. 2: 45-52.
  • Lin, Chuang-Yuang; Wu, Ruey-Shan; Chen, Tsai (2010), “Taiwan’s Foreign Exchange Market-Volatile But Still Efficient?”, Emerging Markets Finance & Trade, Vol. 46 No. 1: 34-41.
  • Lobell, Hakan (2004), “Integration and Efficiency in the Foreign Exchange Market in Sweden 1834-1880”, Scandinavian Economic History Review, Vol. 52 No. 1: 7-18.
  • Lothian, James R. (2016), “Uncovered Interest Parity: The Long and the Short of It”, Journal of Empirical Finance, Vol. 36: 1–7.
  • Markovsky, Petr (2014), “Modern Approaches to Efficient Market Hypothesis of FOREX-The Central European Case”, Procedia Economics and Finance, Vol. 14: 397-406.
  • McDonald, Ronald (2007), Exchange Rate Economics: Theories and Evidence, New York: Routledge.
  • Melvin, Michael; Norrbin, S. C. (2013), International Money and Finance, 8th Ed., Oxford: Elsevier.
  • Moosa, Imad A. (1996). “An Empirical Investigation into the Causes of Deviations from Covered Interest Parity Across the Tasman”, New Zealand Economic Papers, Vol. 30 No. 1: 39-54.
  • Mylonidis, Nikolaos; Semertzidou, Maria (2010), “Uncovered Interest Parity Puzzle: Does It Really Exist?”, Applied Economics Letters, Vol. 17 No. 10: 1023–1026.
  • Omer, Muhammad; Haan, Jakob de; Scholtens, Bert (2014), “Testing Uncovered Interest Rate Parity Using LIBOR”, Applied Economics, Vol. 46 No. 30: 3708–3723.
  • Ozdemir, Nilufer (2013), “Market Structure, Excess Returns in the Foreign Exchange Market and Deviations from Uncovered Interest Parity”, International Economic Journal, Vol. 27 No. 4: 587–608.
  • Ozdemir, Zeynel A. (2008): “Efficient Market Hypothesis: Evidence from A Small Open-Economy”, Applied Economics, Vol. 40 No. 5: 633–641.
  • Pesaran, Mohammad H.; Shin, Yongcheol; Smith, R. J. (1999), “Bounds Testing Approaches to the Analysis of Long Run Relationship”, Edinburgh School of Economics, Discussion Paper Series, No. 46: 1-26.
  • Phillips, Peter C. B.; Perron, Pierre (1988), “Testing for A Unit Root in Time Series Regression”, Biometrika, Vol. 75 No. 2: 335-346.
  • Pilbeam, Keith (2006), International Finance, 3th Ed., New York: Palgrave MacMillan.
  • Pugel, Thomas A. (2016), International Economics, 6th Ed., New York: McGraw-Hill.
  • Sachsida, Adolfo; Roberto, Ellery Jr; Teixeira, J.R. (2001), “Uncovered Interest Parity and the Peso Problem: The Brazilian Case”, Applied Economics Letters, Vol. 8, No. 3: 179-181.
  • Salvatore, Dominick (2013), International Economics, 11th Ed., New Jersey: Wiley.
  • Sarno, Lucio; Taylor, Mark P. (2002), The Economics of Exchange Rates, UK: Cambridge University Press.
  • Sharpe, Ian G. (1984), “Covered Interest Rate Parity: The Australian Case”, Applied Economics, Vol. 16 No.5: 655-665.
  • Tang, Kin-Boon (2011), “The Precise form of Uncovered Interest Parity: A Heterogeneous Panel Application in ASEAN-5 Countries”, Economic Modelling, Vol. 28 No. 1-2: 568-573.
  • Ukpolo, Victor (1995), “Exchange Rate Market Efficiency: Further Evidence from Cointegration Tests”, Applied Economics Letters, Vol. 2 No.6: 196–198.
  • Visser, Hans (2004), A Guide to International Monetary Economics: Exchange Rate Theories, Systems and Policies, 3th Ed., UK: Edward Elgar Publishing.
  • Wu, Jyh-Lin; Chen, Show-Lin (1998), “Foreign Exchange Market Efficiency Revisited”, Journal of International Money and Finance, Vol. 17: 831-838.

Testing the Interest Rate Parity and Efficient Market Hypothesis for Emerging Market Economies

Yıl 2018, Cilt: 13 Sayı: 1, 65 - 86, 15.04.2018
https://doi.org/10.17153/oguiibf.332141

Öz

In this
study, the long-run validity of the interest rate parity and efficient market
hypothesis is tested for quarterly periods 2003Q1-2015Q4 for 14 emerging market
economics. Time series and panel data analysis were applied for the interest
rate parity model which uncovered version was used. And time series analysis
were applied for the efficient market hypothesis which semi-strong form was
used. Findings from the current study showed us that interest rate parity, that
explaining the relationship between interest rate and exchange rate and reflect
the asset
market conditions, and efficient market hypothesis
does not hold for these countries. This leads to reduction in the
foreseeability of exchange rates due to the negative effects of global
financial markets that changes in macroeconomic policies of emerging market
economies.

Kaynakça

  • Adrangi, Bahram; Raffiee, Kambiz; Shank, T. M. (2007), “An Ex-Post Investigation of Interest Rate Parity in Asian Emerging Markets”, International Business & Economics Research Journal, Vol. 6 No. 2: 29-48.
  • Ahmad, Rubi; Rhee, S. G.; Wong, Y. M. (2012), “Foreign Exchange Market Efficiency Under Recent Crises: Asia-Pacific Focus”, Journal of International Money and Finance, Vol. 31 No. 6: 1574–1592.
  • Arghyrou, Michael G.; Gregoriou, Andros; Kontonikas, Alexandros (2009), “Do Real İnterest Rates Converge? Evidence from the European Union” Int. Fin. Markets, Inst. and Money, Vol. 19: 447–460.
  • Asteriou, Dimitrios; Hall, S. G. (2011), Applied Econometrics, 2th Ed., London: Palgrave MacMillan.
  • Balke, Nathan S.; Wohar, Mark E. (1998), “Nonlinear Dynamics and Covered Interest Rate Parity”, Empirical Economics, Vol. 23: 535-559.
  • Bansal, Ravi; Dahlquist, Magnus (2000), “The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies” Journal of International Economics, Vol. 51: 115–144.
  • Barkoulas, John; Baum, Christopher; Chakraborty, Atreya (2000), “Forward Premiums and Market Efficiency: Panel Unit-Root Evidence from the Term Structure of Forward Premiums”, Boston College Working Papers: 1-20.
  • Batten, J. A.; Szilagyi, P. G. (2010), “Is Covered Interest Parity Arbitrage Extinct? Evidence from the Spot USD/Yen”, Applied Economics Letters, Vol. 17 No. 3: 283–287.
  • Bhatti, Razzaque H. (2014), “The Existence of Uncovered İnterest Parity in the CIS Countries”, Economic Modelling, Vol. 40: 227–241.
  • Carvalho, Jaimilton V.; Sachsida, Adolfo; Loureiro, P. R. A.; Moreira, T. B. S. (2004), “Uncovered Interest Parity in Argentina, Brazil, Chile, and Mexico: A Unit Root Test Application with Panel Data” Review of Urban and Regional Development Studies, Vol. 16 No. 3: 263-269.
  • Chang, Hsu-Ling; Su, Chi W. (2015), “Uncovered Interest Parity and Monetary Integration in East Asian Countries Based on China”, The Journal of International Trade & Economic Development, Vol. 24 No. 4: 451-464.
  • Chin, Chang C.; Liang, H. M. (2009), “The Long-Run Uncovered Interest Rate Parity in View of A Trading Strategy”, Applied Economics, Vol. 41, No.21: 2727–2739.
  • Choudhry, Taufiq (1999), “Re-Examining Forward Market Efficiency: Evidence from Fractional and Harris-Inder Cointegration Tests”, International Review of Economics and Finance, Vol. 8: 433–453.
  • Committeri, Marco; Salvatore, Rossi; Santorelli, Andrea (1993), “Tests of Covered Interest Parity on the Euromarket with High-Quality Data”, Applied Financial Economics, Vol. 3, No. 1: 89-93.
  • Copeland, Laurence (2005), Exchange Rates and International Finace, 4th Ed., England: Bell & Bain Limited.
  • Çiçek, Macide (2014). “A Cointegration Test for Turkish Foreign Exchange Market Efficiency”, Asian Economic and Financial Review, 2014, Vol. 4 No. 4: 451-471.
  • Dickey, David. A.; Fuller, W. A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root”, Econometrica, Vol. 49 No. 4: 1057-1072.
  • Dunn, Jr. Robert M.; Mutti, J. H. (2000), International Economics, 5th Ed., London: Routledge. Dutt, Swarna D.; Ghosh, Dipak (1999), “An Empirical Examination of Exchange Market Efficiency”, Applied Economics Letters, Vol. 6 No. 2: 89–91.
  • Erdemlioglu, Deniz M. (2007), “A New Test of Uncovered Interest Rate Parity: Evidence from Turkey”, MPRA, Paper No.10787: 1-20.
  • Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance, Vol. 25 No. 2: 383-417.
  • Francis, Bill; Hasan, Iftekhar; Hunter, Delroy (2002), “Emerging Market Liberalization and the Impact On Uncovered Interest Rate Parity”, Federal Reserve Bank of Atlanta, Working Paper No. 16: 1-54.
  • Fukuda, Shin-ichi (2016), “Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York”, International Economic Journal, Vol. 30 No. 3: 339-359.
  • Gandolfo, Giancarlo (2002), International Finance and Open Economy Macro-Economics, New York: Springer-Verlag.
  • Gerber, James (2014), International Economics, 6th Ed., New Jersey: Pearson Education. Goh, Soo K.; Lim, G. C.; Nilss, Olekalns (2006), “Deviations from uncovered Interest Parity in Malaysia” Applied Financial Economics, Vol. 16 No. 10: 745–759.
  • Guender, Alfred; Cook, Bevan (2011), “Monetary Policy Implementation and Uncovered Interest Parity: Empirical Evidence from Oceania” New Zealand Economic Papers, Vol. 45 No. 3: 209-229.
  • Habermeier, Karl; Kokenyne, Annamaria; Veyrune, Romain; Anderson, Harald (2009), “Revised System for the Classification of Exchange Rate Arrangements” IMF Working Paper: 1-18.
  • Hakkio, Craig S.; Rush, Mark (1989), “Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets”, Journal of International Money and Finance, Vol. 8: 75-88.
  • Husted, Steven; Melvin, Michael (2013), International Economics, 9th Ed., New Jersey: Pearson Education.
  • Ibrahim, Juliana; Long, Yasmiza; Ghani Hartini A.; Salleh S. I. M. (2011), “Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test”, International Journal of Business and Management, Vol. 6 No. 6: 55-65.
  • Ingham, Barbara (2004), International Economics: A European Focus, London: Pearson Education.
  • Jeon, Bang N.; Lee, Euiseong (2002), “Foreign Exchange Market Efficiency, Cointegration, and Policy Coordination”, Applied Economics Letters, Vol. 9 No. 1: 61-68.
  • Johansen, Soren (1988), “Statistical Analysis of Cointegration Vectors” Journal of Economic Dynamics and Control, Vol. 12 No.2-3: 231-254.
  • Kallianiotis, Ioannis N. (2013), Exchange Rates and International Financial Economics: History, Theories, and Practices, New York: Palgrave MacMillan.
  • Karfakis, Costas I.; Parikh, Ashok (1994), “Exchange Rate Convergence and Market Efficiency”, Applied Financial Economics, Vol. 4 No. 12: 93-98.
  • Kim, Heeho; Cho, JooEun (2011), “A Test of the Revised Interest Parity in China and Asian Emerging Markets”, Emerging Markets Finance & Trade, Vol. 47 No. 4: 23-41.
  • Krugman, Paul R.; Obstfeld, Maurice (2009), International Economics: Theory and Policy, 8th Ed., Boston: Pearson Education.
  • Lai, Kon S.; Lai, Michael (1991), “A Cointegration Test for Market Efficiency”, The Journal of Futures Markets, Vol. 11 No. 5: 567-575.
  • Lee, Hsiu-Yun; Wu, Jyh-Lin (2004), “Convergence of Interest Rates Around the Pacific Rim”, Applied Economics, Vol. 36 No. 12: 1281–1288.
  • Levi, Maurice D. (2009), International Finance, 5th Ed., New York: Routledge.
  • Lily, Jaratin; Kogid, Mori; Mulok, Dullah; Asid, Rozilee (2012); “Revisiting Uncovered Interest Rate Parity: An Empirical Testing Using Bounds Test Approach”, Procedia Economics and Finance, Vol. 2: 45-52.
  • Lin, Chuang-Yuang; Wu, Ruey-Shan; Chen, Tsai (2010), “Taiwan’s Foreign Exchange Market-Volatile But Still Efficient?”, Emerging Markets Finance & Trade, Vol. 46 No. 1: 34-41.
  • Lobell, Hakan (2004), “Integration and Efficiency in the Foreign Exchange Market in Sweden 1834-1880”, Scandinavian Economic History Review, Vol. 52 No. 1: 7-18.
  • Lothian, James R. (2016), “Uncovered Interest Parity: The Long and the Short of It”, Journal of Empirical Finance, Vol. 36: 1–7.
  • Markovsky, Petr (2014), “Modern Approaches to Efficient Market Hypothesis of FOREX-The Central European Case”, Procedia Economics and Finance, Vol. 14: 397-406.
  • McDonald, Ronald (2007), Exchange Rate Economics: Theories and Evidence, New York: Routledge.
  • Melvin, Michael; Norrbin, S. C. (2013), International Money and Finance, 8th Ed., Oxford: Elsevier.
  • Moosa, Imad A. (1996). “An Empirical Investigation into the Causes of Deviations from Covered Interest Parity Across the Tasman”, New Zealand Economic Papers, Vol. 30 No. 1: 39-54.
  • Mylonidis, Nikolaos; Semertzidou, Maria (2010), “Uncovered Interest Parity Puzzle: Does It Really Exist?”, Applied Economics Letters, Vol. 17 No. 10: 1023–1026.
  • Omer, Muhammad; Haan, Jakob de; Scholtens, Bert (2014), “Testing Uncovered Interest Rate Parity Using LIBOR”, Applied Economics, Vol. 46 No. 30: 3708–3723.
  • Ozdemir, Nilufer (2013), “Market Structure, Excess Returns in the Foreign Exchange Market and Deviations from Uncovered Interest Parity”, International Economic Journal, Vol. 27 No. 4: 587–608.
  • Ozdemir, Zeynel A. (2008): “Efficient Market Hypothesis: Evidence from A Small Open-Economy”, Applied Economics, Vol. 40 No. 5: 633–641.
  • Pesaran, Mohammad H.; Shin, Yongcheol; Smith, R. J. (1999), “Bounds Testing Approaches to the Analysis of Long Run Relationship”, Edinburgh School of Economics, Discussion Paper Series, No. 46: 1-26.
  • Phillips, Peter C. B.; Perron, Pierre (1988), “Testing for A Unit Root in Time Series Regression”, Biometrika, Vol. 75 No. 2: 335-346.
  • Pilbeam, Keith (2006), International Finance, 3th Ed., New York: Palgrave MacMillan.
  • Pugel, Thomas A. (2016), International Economics, 6th Ed., New York: McGraw-Hill.
  • Sachsida, Adolfo; Roberto, Ellery Jr; Teixeira, J.R. (2001), “Uncovered Interest Parity and the Peso Problem: The Brazilian Case”, Applied Economics Letters, Vol. 8, No. 3: 179-181.
  • Salvatore, Dominick (2013), International Economics, 11th Ed., New Jersey: Wiley.
  • Sarno, Lucio; Taylor, Mark P. (2002), The Economics of Exchange Rates, UK: Cambridge University Press.
  • Sharpe, Ian G. (1984), “Covered Interest Rate Parity: The Australian Case”, Applied Economics, Vol. 16 No.5: 655-665.
  • Tang, Kin-Boon (2011), “The Precise form of Uncovered Interest Parity: A Heterogeneous Panel Application in ASEAN-5 Countries”, Economic Modelling, Vol. 28 No. 1-2: 568-573.
  • Ukpolo, Victor (1995), “Exchange Rate Market Efficiency: Further Evidence from Cointegration Tests”, Applied Economics Letters, Vol. 2 No.6: 196–198.
  • Visser, Hans (2004), A Guide to International Monetary Economics: Exchange Rate Theories, Systems and Policies, 3th Ed., UK: Edward Elgar Publishing.
  • Wu, Jyh-Lin; Chen, Show-Lin (1998), “Foreign Exchange Market Efficiency Revisited”, Journal of International Money and Finance, Vol. 17: 831-838.
Toplam 63 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Faruk Mike 0000-0002-9194-1679

Yayımlanma Tarihi 15 Nisan 2018
Gönderilme Tarihi 1 Ağustos 2017
Yayımlandığı Sayı Yıl 2018 Cilt: 13 Sayı: 1

Kaynak Göster

APA Mike, F. (2018). Faiz Oranı Paritesi ve Etkin Piyasa Hipotezinin Gelişen Piyasa Ekonomileri İçin Test Edilmesi. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 13(1), 65-86. https://doi.org/10.17153/oguiibf.332141