OECD Ülkelerinde Satın Alma Gücü Paritesinin İncelenmesi: Doğrusal Olmayan Yapısal Kırılmalı Birim Kök Testinden Yeni Kanıtlar

Yıl 2023, , 25 - 45, 26.07.2023

Mehmet Sedat Uğur , Ali Eren Alper

https://doi.org/10.17233/sosyoekonomi.2023.03.02

Cited By: 1

Öz

Bu çalışma, 1994:M1-2021:M9 döneminde 38 OECD üyesi ülke için satın alma gücü paritesi (SAGP) hipotezini Hepsağ (2021) birim kök testi ile incelemeyi amaçlamaktadır. OECD ülkelerinin tamamı için hem yapısal değişimi hem de doğrusal olmamayı dikkate alan birim kök testi ile yapılan ilk çalışmalardan biri olması nedeniyle literatürdeki boşluğu doldurmaktadır. Çalışmada ADF, KPSS gibi geleneksel ve Fourier KPSS gibi sadece yapısal değişime izin veren birim kök testleri SAGP hipotezinin geçerliliğine ilişkin çelişkili sonuçlar vermiştir. Hepsağ (2021) test sonuçlarına göre reel efektif döviz kurlarının seviyede durağan tespit edildiği Finlandiya, Fransa, Almanya, Yunanistan, Macaristan, İzlanda, İtalya, Japonya, Kore, Litvanya, Lüksemburg, Meksika, Norveç, Slovakya, Slovenya, İspanya, İsviçre, Türkiye ve ABD’de SAGP hipotezinin geçerli olduğu belirlenmiştir.

Anahtar Kelimeler

Reel Efektif Döviz Kurları, OECD, Satın Alma Gücü Paritesi, Doğrusal Olmama, Yapısal Değişim, Birim Kök

Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks

Öz

This study aims to investigate the purchasing power parity (PPP) hypothesis for 38 OECD member countries over the period 1994:M1-2021:M9 by performing Hepsag’s (2021) unit root test. It fills the gap in the literature since it is one of the first studies conducted performing a unit root test that considers structural change and nonlinearity for all OECD countries. The study, in which conventional unit root tests such as the ADF, KPSS, and the Fourier KPSS, which allow merely structural change, yield conflicting results regarding the validity of the PPP hypothesis, determines that the PPP hypothesis is valid for countries with stationary real effective exchange rates at the level such as Finland, France, Germany, Greece, Hungary, Iceland, Italy, Japan, Korea, Lithuania, Luxembourg, Mexico, Norway, Slovakia, Slovenia, Spain, Switzerland, Turkey, and the USA according to Hepsag’s (2021) unit root test results.

Anahtar Kelimeler

Real Effective Exchange Rates, OECD, Purchasing Power Parity, Nonlinearities, Structural Break, Unit Root

Kaynakça

• Abuaf, N. & P. Jorion (1990), “Purchasing power parity in the long run”, The Journal of Finance, 45(1), 157-174.
• Acaravci, A. & I. Ozturk (2010), “Testing purchasing power parity in transition countries: evidence from structural breaks”, Amfiteatru Economic Journal, 12(27), 190-198.
• Adler, M. & B. Lehmann (1983), “Deviations from purchasing power parity in the long run”, The Journal of Finance, 38(5), 1471-1487.
• Alba, J.D. & D. Park (2005), “An empirical investigation of purchasing power parity (PPP) for Turkey”, Journal of Policy Modeling, 27(8), 989-1000.
• Ardeni, P.G. & D. Lubian (1991), “Is there trend reversion in purchasing power parity?”, European Economic Review, 35(5), 1035-1055.
• Aslan, O. & L. Korap (2009), “Are real exchange rates mean reverting? Evidence from a panel of OECD countries”, Applied Economics Letters, 16(1), 23-27.
• Assaf, A. (2006), “Nonlinear Trend Stationarity in Real Exchange Rates: Evidence from Nonlinear ADF tests”, Annals of Economics & Finance, 7(2), 283-294.
• Bahmani‐Oskooee, M. & A.B.M. Nasir (2005), “Productivity bias hypothesis and the purchasing power parity: a review article”, Journal of Economic Surveys, 19(4), 671-696.
• Bahmani-Oskooee, M. & O. Ranjbar (2016), “Quantile unit root test and PPP: evidence from 23 OECD countries”, Applied Economics, 48(31), 2899-2911.
• Bahmani-Oskooee, M. & T.P. Wu (2018), “PPP in the 34 OECD countries: evidence from quantile-based unit root tests with both smooth and sharp breaks”, Applied Economics, 50(23), 2622-2634.
• Bahmani-Oskooee, M. et al. (2007), “Testing PPP in the nonlinear STAR framework”, Economics Letters, 94(1), 104-110.
• Bahmani-Oskooee, M. et al. (2008), “Do real exchange rates follow a nonlinear mean reverting process in developing countries?”, Southern Economic Journal, 74(4), 1049-1062.
• Bahmani-Oskooee, M. et al. (2014), “Revisiting purchasing power parity in African countries: panel stationary test with sharp and smooth breaks”, Applied Financial Economics, 24, 1429-38.
• Bahmani-Oskooee, M. et al. (2014a), “Revisiting purchasing power parity in 34 OECD countries: sequential panel selection method”, Applied Economics Letters, 21(18), 1283-1287.
• Bahmani-Oskooee, M. et al. (2016), “Panel asymmetric nonlinear unit root test and PPP in Africa”, Applied Economics Letters, 23(8), 554-558.
• Bahmani-Oskooee, M. et al. (2017), “The fourier quantile unit root test with an application to the PPP hypothesis in the OECD”, Applied Economics Quarterly, 63(3), 295-317.
• Bahmani‐Oskooee, M. et al. (2020), “Fourier nonlinear quantile unit root test and PPP in Africa”, Bulletin of Economic Research, 72(4), 451-481.
• Bahramian, P. & A. Saliminezhad (2021), “Revisiting purchasing power parity in the ASEAN-5 countries: evidence from the Fourier quantile unit root test”, Applied Economics Letters, 28(13), 1104-1109.
• Bai, J. & P. Perron (2003), “Computation and analysis of multiple structural change models”, Journal of Applied Econometrics, 18(1), 1-22.
• Baillie, R.T. & D.D. Selover (1987), “Cointegration and models of exchange rate determination”, International Journal of Forecasting, 3(1), 43-51.
• Baillie, R.T. & P.C. McMahon (1989), The Foreign Exchange Market: Theory and Econometric Evidence, Cambridge: Cambridge Univ. Press.
• Balassa, B. (1964), “The purchasing-power parity doctrine: a reappraisal”, Journal of Political Economy, 72(6), 584-596.
• Basher, S.A. & M. Mohsin (2004), “PPP tests in cointegrated panels: evidence from Asian developing countries”, Applied Economics Letters, 11(3), 163-166.
• Baum, C.F. et al. (2001), “Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era”, Journal of International Money and Finance, 20(3), 379-399.
• Bec, F. & S. Zeng (2013), “Are Southeast Asian real exchange rates mean reverting?”, Journal of International Financial Markets, Institutions and Money, 23, 265-282.
• Bec, F. et al. (2010), “Detecting mean reversion in real exchange rates from a multiple regime STAR model”, Annals of Economics and Statistics/Annales d’Économie et de Statistique, 99/100, 395-427.
• Becker, R. et al. (2006), “A stationarity test in the presence of an unknown number of smooth breaks”, Journal of Time Series Analysis, 27(3), 381-409.
• Benninga, S. & A. Protopapadakis (1988), “The equilibrium pricing of exchange rates and assets when trade takes time”, Journal of International Money and Finance, 7(2), 129-149.
• Caner, M. & B.E. Hansen (2001), “Threshold autoregression with a unit root”, Econometrica, 69(6), 1555-1596.
• Cassel, G. (1918), “Abnormal deviations in international exchanges”, The Economic Journal, 28(112), 413-415.
• Chang, T. & H.W. Tzeng (2011), “Long-run purchasing power parity with asymmetric adjustment: Further evidence from nine transition countries”, Economic Modelling, 28(3), 1383-1391.
• Chang, T. et al. (2006), “Does PPP hold in African countries? Further evidence based on a highly dynamic nonlinear (logistic) unit root test”, Applied Economics, 38(20), 2453-2459.
• Chang, T. et al. (2012a), “Nonlinear adjustment to purchasing power parity for ASEAN countries”, Japan and the World Economy, 24(4), 325-331.
• Chang, T. et al. (2012b), “Can the PPP stand on the BRICS? The ADL test for threshold cointegration”, Applied Economics Letters, 19(12), 1123-1127.
• Cheung, Y.W. & K.S. Lai (1998), “Parity reversion in real exchange rates during the post-Bretton Woods period”, Journal of International Money and Finance, 17(4), 597-614.
• Cheung, Y.W. & K.S. Lai (2000), “On the purchasing power parity puzzle”, Journal of International Economics, 52(2), 321-330.
• Choi, C.Y. & Y.K. Moh (2007), “How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?”, The Econometrics Journal, 10(1), 82-112.
• Choi, D.Y. et al. (2011), “Nonlinear mean-reversion in Southeast Asian real exchange rates”, Applied Financial Economics, 21(19), 1409-1421.
• Choi, I. (2001), “Unit root tests for panel data”, Journal of International Money and Finance, 20, 249-72.
• Christopoulos, D.K. & M.A. León-Ledesma (2010), “Smooth breaks and nonlinear mean reversion: Post-Bretton Woods real exchange rates”, Journal of International Money and Finance, 29(6), 1076-1093.
• Coakley, J. & A.M. Fuertes (1997), “New panel unit root tests of PPP”, Economics Letters, 57(1), 17-22.
• Corakci, A. et al. (2017), “PPP hypothesis and temporary structural breaks”, Economics Bulletin, 37(3), 1541-1548.
• Corbae, D. & S. Ouliaris (1988), “Cointegration and tests of purchasing power parity”, The Review of Economics and Statistics, 70(3), 508-511.
• Cuestas, J.C. & P.J. Regis (2013), “Purchasing power parity in OECD countries: Nonlinear unit root tests revisited”, Economic Modelling, 32, 343-346.
• Cuestas, J.C. (2009), “Purchasing power parity in Central and Eastern European countries: an analysis of unit roots and nonlinearities”, Applied Economics Letters, 16(1), 87-94.
• Darby, M.R. (1983), “Movements in Purchasing Power Parity: The Short and Long Runs”, in: M.R. Darby et al. (eds.), The International Transmission of Inflation, Chicago: The University of Chicago Press.
• Darné, O. & J.F. Hoarau (2008), “The purchasing power parity in Australia: Evidence from unit root test with structural break”, Applied Economics Letters, 15(3), 203-206.
• Dickey, D.A. & W.A. Fuller (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, 74(366a), 427-431.
• Dickey, D.A. & W.A. Fuller (1981), “Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica, 49(4), 1057-1072.
• Diebold, F.X. et al. (1991), “Real exchange rates under the gold standard”, Journal of Political Economy, 99(6), 1252-1271.
• Doganlar, M. et al. (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.
• Dornbusch, R. & P. Krugman (1976), “Flexible exchange rates in the short run”, Brookings Papers on Economic Activity, 76(3), 537-584.
• Drine, I. & C. Rault (2008), “Purchasing Power Parity For Developing And Developed Countries. What Can We Learn From Non‐Stationary Panel Data Models?”, Journal of Economic Surveys, 22(4), 752-773.
• Dumas, B. (1992), “Dynamic equilibrium and the real exchange rate in spatially separated world”, Review of Financial Studies, 5, 153-80.
• Edison, H.J. & E.O.N. Fisher (1991), “A long-run view of the European monetary system”, Journal of International Money and Finance, 10(1), 53-70.
• Edison, H.J. & J.T. Klovland (1987), “A quantitative reassessment of the purchasing power parity hypothesis: Evidence from Norway and the United Kingdom”, Journal of Applied Econometrics, 2(4), 309-333.
• Edison, H.J. et al. (1997), “Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era”, Journal of International Money and Finance, 16(1), 1-17.
• Emirmahmutoglu, F. & T. Omay (2014), “Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test”, Economic Modelling, 40, 184-190.
• Enders, W. & C.W.J. Granger (1998), “Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates”, Journal of Business & Economic Statistics, 16(3), 304-311.
• Enders, W. (1988), “ARIMA and cointegration tests of PPP under fixed and flexible exchange rate regimes”, The Review of Economics and Statistics, 70(3), 504-508.
• Engel, C. (2000), “Long-run PPP may not hold after all”, Journal of International Economics, 51(2), 243-273.
• Engle, R.F. & C.W. Granger (1987), “Co-integration and error correction: representation, estimation, and testing”, Econometrica, 55(2), 251-276.
• Erlat, H. (2003), “The nature of persistence in Turkish real exchange rates”, Emerging Markets Finance and Trade, 39(2), 70-97.
• Erlat, H. (2004), “Unit roots or nonlinear stationarity in Turkish real exchange rates”, Applied Economics Letters, 11(10), 645-650.
• Flood, R.P. & M.P. Taylor (1996), “Exchange rate economics: What’s wrong with the conventional macro approach?”, in: J.A. Frankel et al. (eds.), The Microstructure of Foreign Exchange Markets, Chicago University Press, Chicago.
• Flynn, N.A. & J.L. Boucher (1993), “Tests of long-run purchasing power parity using alternative methodologies”, Journal of Macroeconomics, 15(1), 109-122.
• Frankel, J.A. & A.K. Rose (1996), “A panel project on purchasing power parity: mean reversion within and between countries”, Journal of International Econ., 40(1-2), 209-224.
• Frenkel, J.A. (1981), “The collapse of purchasing power parities during the 1970's”, European Economic Review, 16(1), 145-165.
• Froot, K.A. & K. Rogoff (1995), “Perspectives on PPP and long-run real exchange rates”, in: G. Grossman & K. Rogoff (eds.), Handbook of International Economics 3 (1647-1688), North-Holland.
• Grilli, V. & G. Kaminsky (1991), “Nominal exchange rate regimes and the real exchange rate: evidence from the United States and Great Britain, 1885-1986”, Journal of Monetary Economics, 27(2), 191-212.
• Haberler, G. (1945), “The choice of exchange rates after the war”, The American Economic Review, 35(3), 308-318.
• Habimana, O. et al. (2018), “Testing for nonlinear unit roots in the presence of a structural break with an application to the qualified PPP during the 1997 Asian financial crisis”, International Journal of Finance & Economics, 23(3), 221-232.
• Hadri, K. & Y. Rao (2008), “Panel stationarity test with structural breaks”, Oxford Bulletin of Economics and Statistics, 70(2), 245-269.
• Hakkio, C.S. (1984), “A re-examination of purchasing power parity: A multi-country and multi-period study”, Journal of International Economics, 17(3-4), 265-277.
• Harvey, D.I. et al. (2008), “A powerful test for linearity when the order of integration is unknown”, Studies in Nonlinear Dynamics & Econometrics, 12(3), 1-24.
• He, H. et al. (2014), “Purchasing power parity for 15 Latin American countries: Panel SURKSS test with a Fourier function”, Economic Modelling, 36, 37-43.
• Heckscher, E.F. (1916), “Växelkursens grundval vid pappersmyntfot”, Ekonomisk Tidskrift, 18(4), 309-312.
• Hegwood, N.D. & D.H. Papell (1998), “Quasi purchasing power parity”, International Journal of Finance & Economics, 3(4), 279-289.
• Hepsag, A. (2021), “A unit root test based on smooth transitions and nonlinear adjustment”, Communications in Statistics-Simulation and Computation, 50(3), 625-632.
• Holmes, M.J. et al. (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.
• Horvath, M.T. & M.W. Watson (1995), “Testing for cointegration when some of the cointegrating vectors are prespecified”, Econometric Theory, 11(5), 984-1014.
• Huizinga, J. (1987), “An empirical investigation of the long-run behavior of real exchange rates”, Carnegie-Rochester Conference Series on Public Policy, 27, 149-214.
• Im, K.S. et al. (2003), “Testing for unit roots in heterogeneous panels”, Journal of Econometrics, 115(1), 53-74.
• Jiang, C. et al. (2015), “Revisiting purchasing power parity in OECD”, Applied Economics, 47(40), 4323-4334.
• Johansen, S. (1988), “Statistical analysis of cointegration vectors”, Journal of Economic Dynamics and Control, 12(2-3), 231-254.
• Johansen, S. (1991), “Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models”, Econometrica, 59(6), 1551-1580.
• Junge, G. (1985), “Trends and random walks of real exchange rates”, Weltwirtschaftliches Archiv, 121(3), 427-437.
• Juvenal, L. & M.P. Taylor (2008), “Threshold adjustment of deviations from the law of one price”, Studies in Nonlinear Dynamics & Econometrics, 12(3), 1-44.
• Kalyoncu, H. & K. Kalyoncu (2008), “Purchasing power parity in OECD countries: Evidence from panel unit root”, Economic Modelling, 25(3), 440-445.
• Kapetanios, G. (2003), “Testing for a unit root in the nonlinear STAR framework”, Journal of Econometrics, 112(2), 359-379.
• Karagoz, K. & T.B. Sarac (2016), “Testing the validity of PPP theory for Turkey: nonlinear unit root testing”, Procedia Economics and Finance, 38, 458-467.
• Katseli-Papaefstratiou, L. (1979), “The Reemergence of the Purchasing Power Parity Doctrine in the 1970’s”, Economic Growth Center, Discussion Paper No. 312. Yale University.
• Keynes, J.M. (1923), A Tract on Monetary Reform, London, Macmillan.
• Kim, H. & Y.K. Moh (2010), “A century of purchasing power parity confirmed: The role of nonlinearity”, Journal of International Money and Finance, 29(7), 1398-1405.
• Kim, Y. (1990), “Purchasing power parity in the long run: A cointegration approach”, Journal of Money, Credit and Banking, 22(4), 491-503.
• Koenker, R. & Z. Xiao (2004), “Unit root quantile autoregression inference”, Journal of the American Statistical Association, 99(467), 775-787.
• Kruse, R. (2011), “A new unit root test against ESTAR based on a class of modified statistics”, Statistical Papers, 52(1), 71-85.
• Kugler, P. & C. Lenz (1993), “Multivariate cointegration analysis and the long-run validity of PPP”, The Review of Economics and Statistics, 180-184.
• Kutan, M. & S. Zhou (2015), “PPP may hold better than you think: Smooth breaks and nonlinear mean reversion in real effective exchange rates”, Economic Systems, 39(2), 358-366.
• Levin, A. & C.F. Lin (1992), “Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties”, Discussion Paper No. 92-93. University of California at San Diego.
• Leybourne, S. et al. (1998), “Unit roots and smooth transitions”, Journal of Time Series Analysis, 19(1), 83-97.
• Li, H. & S.Y. Park (2018), “Testing for a unit root in a nonlinear quantile autoregression framework”, Econometric Reviews, 37(8), 867-892.
• Liew, V.K.S. et al. (2004), “Are Asian real exchange rates stationary?”, Economics Letters, 83(3), 313-316.
• Lothian, J.R. (1997), “Multi-country evidence on the behavior of purchasing power parity under the current float”, Journal of International Money and Finance, 16(1), 19-35.
• Lothian, J.R. & M.P. Taylor (1996), “Real exchange rate behavior: the recent float from the perspective of the past two centuries”, Journal of Political Economy, 104(3), 488-509.
• MacDonald, R. (1993), “Long-run purchasing power parity: is it for real?”, The Review of Economics and Statistics, 75(4), 690-695.
• MacDonald, R. (2007), Exchange Rate Economics: Theories and Evidence, Routledge.
• MacDonald, R. & I.W. Marsh (1994), “On long-and short-run purchasing power parity”, in: J. Kaehler & P. Kugler (eds.), Econometric Analysis of Financial Markets (23-46), Physica-Verlag HD.
• MacDonald, R. & M.P. Taylor (1992), “Exchange rate economics - a survey”, International Monetary Fund Staff Papers, 39, 1-57.
• Maddala, G.S. & S. Wu (1999), “A comparative study of unit root tests with panel data and a new simple test”, Oxford Bulletin of Economics and Statistics, 61(S1), 631-652.
• Madsen, J. & B. Yang (1998), “Asymmetric price adjustment in a menu cost model”, Journal of Economics, 68, 295-309.
• Mark, N.C. (1990), “Real and nominal exchange rates in the long run: An empirical investigation”, Journal of International Economics, 28(1-2), 115-136.
• Michael, P. et al. (1997), “Transactions costs and nonlinear adjustment in real exchange rates; An empirical investigation”, Journal of Political Economy, 105(4), 862-879.
• Nagayasu, J. (2002), “Does the long-run PPP hypothesis hold for Africa? Evidence from a panel cointegration study”, Bulletin of Economic Research, 54(2), 181-187.
• Narayan, P.K. (2005), “New evidence on purchasing power parity from 17 OECD countries”, Applied Economics, 37(9), 1063-1071.
• Narayan, P.K. (2008), “The purchasing power parity revisited: New evidence for 16 OECD countries from panel unit root tests with structural breaks”, Journal of International Financial Markets, Institutions and Money, 18(2), 137-146.
• Narayan, P.K. et al. (2009), “Evidence on PPP from a cointegration test with multiple structural breaks”, Applied Economics Letters, 16(1), 5-8.
• Nazlioglu, S. et al. (2021), “PPP in emerging markets: evidence from Fourier nonlinear quantile unit root analysis”, Applied Economics Letters, 29(8), 1-7.
• Nazlioglu, S. et al. (2022), “Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity”, Applied Economic Analysis, 30(90), 176-195.
• Obstfeld, M. & A.M. Taylor (1997), “Nonlinear aspects of goods-market arbitrage and adjustment: Heckscher's commodity points revisited”, Journal of the Japanese and International Economies, 11(4), 441-479.
• O'Connell, P.G. (1998), “Market frictions and real exchange rates”, Journal of International Money and Finance, 17(1), 71-95.
• Omay, T. et al. (2018), “Structural break, nonlinearity and asymmetry: a re-examination of PPP proposition”, Applied Economics, 50(12), 1289-1308.
• Omay, T. et al. (2020), “Testing PPP hypothesis under temporary structural breaks and asymmetric dynamic adjustments”, Applied Economics, 52(32), 3479-3497.
• 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.
• Papell, D.H. & R. Prodan (2006), “Additional evidence of long-run purchasing power parity with restricted structural change”, Journal of Money, Credit and Banking, 38(5), 1329-1349.
• Park, J.Y. & M. Shintani (2005), “Testing for a unit root against transitional autoregressive models”, Department of Economics Working Paper No. 05-W10. Vanderbilt University.
• Patel, J. (1990), “Purchasing power parity as a long‐run relation”, Journal of Applied Econometrics, 5(4), 367-379.
• Payne, J. et al. (2005), “Purchasing power parity: Evidence from a transition economy”, Journal of Policy Modeling, 27(6), 665-672.
• Perron, P. (1989), “Testing for a random walk: A simulation experiment of power when the sampling interval is varied”, in: B. Raj (ed.), Advances in Econometrics and Modelling (47-68), Springer, Dordrecht.
• Perron, P. (2005), “Dealing with Structural Breaks”, Mimeo forthcoming in the Vol. 1 Handbook of Econometrics: Econometric Theory.
• Perron, P. & T.J. Vogelsang (1992), “Nonstationarity and level shifts with an application to purchasing power parity”, Journal of Business & Economic Statistics, 10(3), 301-320.
• Rogoff, K. (1996), “The 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”, in: M. Sarnat & G.P. Szegö (eds.), International Finance and Trade Vol. 1 (133-176), Ballinder Publishing Company: Cambridge.
• Rusydi, M. & S. Islam (2007), Quantitative Exchange Rate Economics in Developing Countries: A New Pragmatic Decision Making Approach, Palgrave MacMillan.
• Samuelson, P.A. (1964), “Theoretical notes on trade problems”, The Review of Economics and Statistics, 46(2), 145-154.
• Sarantis, N. (1999), “Modeling nonlinearities in real effective exchange rates”, Journal of International Money and Finance, 18(1), 27-45.
• Sarno, L. (2000) “Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997”, Applied Economics Letters, 7(5), 285-291.
• Sarno, L. & M.P. Taylor (2002), “Purchasing power parity and the real exchange rate”, IMF Staff Papers, 49(1), 65-105.
• Sarno, L. et al. (2004), “Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study”, Journal of International Money and Finance, 23(1), 1-25.
• Sen, A. (2003), “On unit-root tests when the alternative is a trend-break stationary process”, Journal of Business and Economics Statistics, 21, 174-84.
• Sercu, P. et al. (1995), “The exchange rate in the presence of transaction costs: implications for tests of purchasing power parity”, The Journal of Finance, 50(4), 1309-1319.
• Serletis, A. & G. Zimonopoulos (1997), “Breaking trend functions in real exchange rates: evidence from seventeen OECD countries”, Journal of Macroeconomics, 19(4), 781-802.
• She, F. et al. (2021), “Purchasing power parity in Pakistan: Evidence from Fourier unit root tests”, Emerging Markets Finance and Trade, 57(13), 3835-3854.
• Sollis, R. (2004), “Asymmetric adjustment and smooth transitions: a combination of some unit root tests”, Journal of Time Series Analysis, 25(3), 409-417.
• Sollis, R. (2009), “A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries”, Economic Modelling, 26(1), 118-125.
• Sollis, R. et al. (2002), “Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates”, Journal of Money, Credit and Banking, 34(3), 686-700.
• Stockman, A.C. (1980), “A theory of exchange rate determination”, Journal of Political Economy, 88(4), 673-698.
• Su, J.J. et al. (2014), “Does purchasing power parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity”, Economic Modelling, 36, 161-171.
• Taussig, F.W. (1927), International Trade, New York, MacMillan.
• Taylor, A.M. (2002), “A century of purchasing-power parity”, Review of Economics and Statistics, 84(1), 139-150.
• Taylor, A.M. & M.P. Taylor (2004), “The purchasing power parity debate”, Journal of Economic Perspectives, 18(4), 135-158.
• Taylor, M.P. (1988), “An empirical examination of long-run purchasing power parity using cointegration techniques”, Applied Economics, 20(10), 1369-1381.
• Taylor, M.P. (2003), “Purchasing power parity”, Review of International Economics, 11(3), 436-452.
• Taylor, M.P. (2004), “Is official exchange rate intervention effective?”, Economica, 71(281), 1-11.
• Taylor, M.P. & D.A. Peel (2000), “Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals”, Journal of International Money and Finance, 19(1), 33-53.
• Taylor, M.P. et al. (2001), “Nonlinear mean‐reversion in real exchange rates: toward a solution to the purchasing power parity puzzles”, International Economic Review, 42(4), 1015-1042.
• Taylor, M.P. & L. Sarno (2001), “Real exchange rate dynamics in transition economies: a nonlinear analysis”, Studies in Nonlinear Dynamics & Econometrics, 5(3), 153-177.
• Telatar, E. & M. Hasanov (2009), “Purchasing power parity in Central and East European countries”, Eastern European Economics, 47(5), 25-41.
• Telatar, E. & H. Kazdagli (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.
• Vasconcelos, C.R.F. & L.A.L. Júnior (2016), “Validity of purchasing power parity for selected Latin American countries: Linear and nonlinear unit root tests”, EconomiA, 17(1), 114-125.
• Whitt, J.A. (1992), “The long-run behavior of the real exchange rate: A reconsideration”, Journal of Money, Credit and Banking, 24(1), 72-82.
• Williams, J.C. & B.D. Wright (1991), Storage and Commodity Markets, Cambridge: Cambridge University Press.
• Wu, Y. (1996), “Are real exchange rates nonstationary? Evidence from a panel-data test”, Journal of Money, Credit and Banking, 28(1), 54-63.
• Wu, Y. (1997), “The trend behavior of real exchange rates: Evidence from OECD countries”, Review of World Economics, 133(2), 282-296.
• Wu, J.L. & C.C. Lee (2008), “A revisit to the nonlinear stationarity of real exchange rates”, Applied Economics Letters, 15(2), 155-159.
• 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.
• Yilanci, V. & Z.A. Eris (2013), “Purchasing power parity in African countries: Further evidence from Fourier unit root tests based on linear and nonlinear models”, South African Journal of Economics, 81(1), 20-34.
• Yildirim, D. (2017), “Empirical investigation of purchasing power parity for Turkey: Evidence from recent nonlinear unit root tests”, Central Bank Review, 17(2), 39-45.
• Zhou, S. (2008), “Stationarity of Asian-Pacific real exchange rates”, Economics Letters, 98(1), 16-22.
• Zhou, S. et al. (2008), “Purchasing Power Parity before and after the Adoption of the Euro”, Review of World Economics, 144(1), 134-150.
• Zhou, S. & A.M. Kutan (2011), “Is the evidence for PPP reliable? A sustainability examination of the stationarity of real exchange rates”, Journal of Banking & Finance, 35(9), 2479-2490.
• Zivot, E. & D.W.K. Andrews (1992), “Further Evidence of the Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10, 251-70.