Testing the Validity of The Purchasing Power Parity Theory in Selected Integration Organizations by Using the Fourier Function with Fractional Unit Roots

Yıl 2021, , 373 - 388, 30.07.2021

Havanur Ergün Tatar

https://doi.org/10.17233/sosyoekonomi.2021.03.19

Cited By: 1

Öz

The specific terminology of purchasing power parity has been at the centre of international policy debates among the major industrialized countries in the years after World War I. In this study, fractional unit root analysis has been conducted by using Fourier functions. The purchasing power parity theory has been assessed among different integration organizations such as NAFTA, MERCOSUR, EU15, and selected OECD countries for the 1960-2019 period. Fractional Frequency Fourier ADF and conventional ADF tests were performed in the study. Traditional ADF results have been calculated for countries where trigonometric terms are meaningless. According to the analysis results, it has been determined that the purchasing power parity theory is valid for integration organizations except for MERCOSUR.

Anahtar Kelimeler

Purchasing Power Parity, Real Exchange Rate, Unit Root Test

Seçilmiş Entegrasyon Örgütlerinde Satın Alma Gücü Paritesi Teorisinin Geçerliliğinin Fourier Fonksiyonu Kullanarak Fraksiyonel Birim Kökleriyle Test Edilmesi

Öz

Satın alma gücü paritesinin özel terminolojisi, I. Dünya Savaşı’ndan sonraki yıllarda, başlıca sanayileşmiş ülkeler arasında, uluslararası politika tartışmalarının merkezine oturmuştur. Bu çalışmada, Fourier fonksiyonları kullanılarak, fraksiyonel birim kök incelemesi yapılmıştır. Teorem 1960-2019 dönemi için NAFTA, MERCOSUR, AB15 ve seçilmiş OECD ülkeleri gibi farklı entegrasyon örgütleri kapsamında ele alınmıştır. Çalışmada, Kesirli Frekanslı Fourier ADF ve geleneksel ADF testleri yapılmıştır. Trigonometrik terimleri anlamsız olan ülkelerde geleneksel ADF sonuçları hesaplanmıştır. Analiz sonuçlarına göre, MERCOSUR hariç diğer entegrasyon şekillerinde satın alma gücü paritesi hipotezinin geçerli olduğu tespit edilmiştir.

Anahtar Kelimeler

Satın Alma Gücü Paritesi, Reel Döviz Kuru, Birim Kök Testi

Kaynakça

• Acaravcı, A. & I. Öztürk (2010), “Testing Purchasing Power Parity in Transition Countries: Evidence From Structural Breaks”, Amfiteatru Economic Journal, 12(27), 190-198.
• Ağayev, S. (2013), “Satın Alma Gücü Paritesi Hipotezinin Kazakistan için Geçerliliği”, <http://avekon.org/papers/594.pdf>, 21.09.2020.
• Akçay, A.Ö. & F. Erataş (2015), “Satın Alma Gücü Paritesi Teorisinin Geçerliliği: G7 Örneği”, <https://dergipark.org.tr/en/download/article-file/89274>, 20.09.2020.
• Alba, J.D. & D.H. Papell (2007), “Purchasing Power Parity and Country Characteristics: Evidence From Panel Data Tests”, Journal of Development Economics, 83(1), 240-251.
• Al-Gasaymeh, A. & J. Kasem (2015), “Strong and Weak Form of Purchasing Power Parity: The Case of Jordan and Its Major Trading Partners”, Journal of International Business and Economics, 3(1), 93-108.
• Altıner, A. & E. Bozkurt (2018), “The Validity of Purchasing Power Parity Hypothesis in E-7 Countries: Panel Data Analysis”, Business and Economics Research Journal, 9(4), 735-747.
• Atasoy, A.B. (2016), “Satınalma Gücü Paritesi, Kırılgan Beşli Ülkeleri’nde Geçerli Midir?”, Uluslararası Yönetim İktisat ve İşletme Dergisi, 30, 237-246.
• Aydın, M. (2018), “Examination of The Validity of Purchasing Power Parity (PPP) with Fractured Fourier Unit Root Tests: The Case of Fragile Five Countries”, Journal of Applied Research in Finance and Economics, 3(4), 18-28.
• Bilgin, C. (2018), “Uluslararası Ticarette Satın Alma Gücü Paritesinin Geçerliliği Sorunu: Türkiye için Zaman Serisi Analizi”, <https://mpra.ub.uni-muenchen.de/87630/2/MPRA_paper_87630.pdf>, 10.09.2020.
• Bozoklu, S. & V. Yılancı & M.S. Görüş (2020), “Persistence in Per Capita Energy Consumption: A Fractional Integration Approach with A Fourier Function”, Energy Economics, 91, 1-12.
• Bruegel (2020), <https://www.bruegel.org/publications/datasets/real-effective-exchange-rates-for-178-countries-a-new-database/>, 10.10.2020.
• Büberkökü, Ö. (2014), “Yükselen Piyasa Ekonomilerinde Uluslararası Satın Alma Gücü Paritesi: Panel Koentegrasyon Testlerinden Kanıtlar”, Journal of BRSA Banking & Financial Markets, 8(1), 117-139.
• Calderón, C. & R. Duncan (2003), “Purchasing Power Parity in An Emerging Market Economy: A Long-Span Study for Chile”, Documentos de Trabajo (Banco Central de Chile), 215, 1-43.
• Chang, H.L. & D.C. Liu & C.W. Su (2012), “Purchasing Power Parity with Flexible Fourier Stationary Test for Central and Eastern European Countries”, Applied Economics, 44(32), 4249-4256.
• Chang, T. & K.C. Lee (2011), “Purchasing Power Parity in East Asian Countries: Flexible Fourier Stationary Test”, Asian Journal of Business and Management Sciences, 1(5), 38-46.
• Christopoulos, D.K. & M.A. Leon-Ledesma (2011), “International Output Convergence, Breaks, And Asymmetric Adjustment”, Studies in Nonlinear Dynamics & Econometrics, 15(3), 1-31.
• Coşkun, N. (2020), “Mutlak Satın Alma Gücü Paritesi Hipotezi: Kırılgan Beşli Örneği”, Bulletin of Economic Theory and Analysis, 5(1), 41-55.
• Culver, S. & D. Papell (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.
• Çil, N. & B.Y. Tıraşoğlu (2018), “Validity of Purchasing Power Parity in Fragile Five Countries: The Bayesyen Unit Root Analysis”, Sosyal Bilimler Araştırma Dergisi, 7(2), 82-90.
• Dal Bianco, M.J. (2008), “Argentinean Real Exchange Rate 1900-2006: Testing Purchasing Power Parity Theory”, Estudios de Economía, 35(1), 33-64.
• Destek, M.A. & İ. Okumuş (2016), “Satın Alma Gücü Paritesi Hipotezi Geçerliliğinin Fourier Birim Kök Testleri ile İncelenmesi: OECD Ülkeleri Örneği”, Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 15(1), 73-87.
• Doğanlar, M. (2006), “Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Central Asian Countries”, Applied Economics Letter, 13, 457-461.
• Enders, W. & J. Lee (2012), “The Flexible Fourier Form and Dickey-Fuller Type Unit Root Tests”, Economics Letters, 117(1), 196-199.
• Freixo, C.S. & F.H. Barbosa (2004), “Purchasing Power Parity: A Non-Linear Reversion Model for Brazil”, Revista Economia, 5, 75-115.
• Güriş, B. & M. Tıraşoğlu (2018), “The Validity of Purchasing Power Parity in BRICS Countries”, Prague Economic Papers, 27(4), 1-10.
• He, H. & M.C. Chou & T. Chang (2014), “Purchasing Power Parity for 15 Latin American Countries: Panel SURKSS Test with A Fourier Function”, Economic Modelling, 36, 37-43.
• Ismail, H. (2011), “Evidence of Purchasing Power Parity From Asean Data”, Journal of Quality Measurement and Analysis JQMA, 7(2), 15-22.
• İltaş, Y. & K. Demirgüneş (2020), “Döviz Kurunun Borsa İstanbul Sanayi Endeksi Üzerindeki Etkisi: Yapısal Kırılmaları Modellemede Farklı Yaklaşımlar Kullanan Eşbütünleşme Testlerinden Bulgular”, Üçüncü Sektör Sosyal Ekonomi Dergisi, 55(2), 972-988.
• Jiranyakul, K. & B. Batavia (2012), “Does Purchasing Power Parity Hold in Thailand?”, International Journal of Applied Economics and Econometrics, 17(3), 268-280.
• Kalyoncu, H. & F. Kula & A. Aslan (2010), “The Validity of Purchasing Power Parity Hypothesis in Middle East And Northern Africa Countries”, Romanian Journal of Economic Forecasting, 4(13), 125-131.
• Kaya, H. & İ. Çelik (2018), “Türkiye’de Satın Alma Gücü Paritesi Hipotezinin Geçerliliği: Uzun Hafıza Testlerinden Kanıtlar”, Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(2), 351-365.
• Korkmaz, T. & İ.E. Çevik & N.K. Çevik (2013), “Satın Alma Gücü Paritesinin Azerbaycan, Kazakistan ve Kırgızistan İçin Geçerliliği: Birim Kök ve Eşbütünleşme Analizi”, Bilig, 64, 259-284.
• Koukouritakis, M. (2009), “Testing The Purchasing Power Parity: Evidence from The New EU Countries”, Applied Economics Letters, 16(1), 39-44.
• Kozul, I. (2013), “Cointegration analysis of purchasing power parity in Republic of Croatia”, UTMS Journal of Economics, 4(3), 253-268.
• Köktürk, O. & M. Ural, (2019), “Fourier Birim Kök Testi ile Satın Alma Gücü Paritesinin Türkiye İçin Geçerliliğinin Analizi”, Business & Management Studies: An International Journal, 7(2), 877-890.
• Lothian, J. & M.P. Taylor (1996), “Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries”, Journal of Political Economy, 104, 488-510.
• Merza, E. (2017), “The Validity of The Purchasing Power Parity Hypothesis For Kuwait”, Modern Applied Science, 11(1), 188-194.
• Mkenda, B.K. (2001), “An Empirical Test of Purchasing Power Parity in Selected African Countries-A Panel Data Approach”, Department of Economics, Goteborg University, Working Papers in Economics, 39, 1-43.
• Muscatelli, V.A. & F. Spinelli (1999), “Purchasing Power Parity and Real Exchange Rates: Do Productivity Trends and Fiscal Policy Matter?”, <https://www.gla.ac.uk/media/Media_219082_smxx.pdf>, 10.10.2020.
• Nusair, S.A. (2003), “Testing The Validity of Purchasing Power Parity for Asian Countries During The Current Float”, Journal of Economic Development, 28(2), 129-147.
• Omay, T. (2015), “Fractional Frequency Flexible Fourier Form to Approximate Smooth Breaks in Unit Root Testing”, Econ. Lett, 134, 123-126.
• Öcal, O. (2013), “Purchasing Power Parity in The Case of Romania: Evidence From Structural Breaks”, International Journal of Economics And Financial Issues, 3(4), 973-976.
• Papell, D.H. (1997), “Searching for Stationarity: Purchasing Power Parity under the Current Float”, Journal of International Economics, 43, 313-32.
• Rezazadeh, A. & S. Mohammadpoor & F. Fattahi (2018), “The Validity of Purchasing Power Parity Theory in Iran: Evidence from Markov-Switching Unit Root Test”, Quarterly Journal of Applied Theories of Economics, 5(2), 55-80.
• Rogoff, K. (1996), “The Purchasing Power Parity Puzzle”, Journal of Economic Literature, 34, 647-667.
• Si Mohammed, K. & N. Chérif Touil & S. Maliki (2015), An Empirical Test of Purchasing Power Parity of The Algerian Exchange Rate: Evidence from Panel Dynamic, <https://mpra.ub.uni-muenchen.de/75285/1/MPRA_paper_75285.pdf>, 20.11.2020.
• Songur, D.Y. & M. Songur (2018), “Revisiting Purchasing Power Parity for Eurasian Countries: A Fourier Approach”, içinde: İ. Şiriner & Z. Yardım-Kılıçkan, Institutions Development & Economic Growth, IJOPEC Publication, 131-138.
• Su, C.W. & C. Tsangyao & H.L. Chang (2011), “Purchasing Power Parity for Fifteen Latin American Countries: Stationary Test with A Fourier Function”, International Review of Economics and Finance, 20, 839-845.
• Su, C.W. & Y.S. Liu & M.N. Zhu & K.C. Lee (2012), “Purchasing Power Parity in Major OPEC Countries: Flexible Fourier Stationary Test”, Applied Economics Letters, 19(1), 19-24.
• Suluk, S. & K. Tanrıseven (2018), “Purchasing Power Parity in The Euro Area: Evidence from Structural Break LM Test”, International Journal of Economics and Financial Issues, 8(2), 370-375.
• Taylor, A.M. (2002), “A Century of Purchasing-Power Parity”, The Review of Economics and Statistics, 84(1), 139-150.
• Vasconcelos, C.R.F. & L.A.L Júnior (2016), “Validity of Purchasing Power Parity for Selected Latin American Countries: Linear and Non-Linear Unit Root Tests”. EconomiA, 17(1), 114-125.
• Voinea, L.G. (2013), “The Purchasing Power Parity: Evidence from The Great Financial Crisis”, Universidad Complutense, <https://www.ucm.es/data/cont/docs/518-2013-10-23-Guinea13.pdf>, 23.11.2012.
• Widodo, T. (2015), “Purchasing Power Parity and Productivity-Bias Hypothesis”, Review of Economic and Business Studies, 8(2), 9-38.
• Wu, J.L. & S.Y. Cheng & H. Hou (2011), “Further Evidence on Purchasing Power Parity and Country Characteristics”, International Review of Economics & Finance, 20(2), 257-266.
• Yılancı, V. & Eriş, Z.A. (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.
• Yılancı, V. & M. Aslan & Ö. Özgür (2018), “Testing The Validity of PPP Theory for African Countries”, Applied Economics Letters, 25(18), 1273-1277.
• Ziad., A.-L. & G. Abdallah (2018), “Testing the Validity of Purchasing Power Parity for The Jordanian Economy”, International Journal of Academic Research in Economics and Management Sciences, 7(4), 192-200.
• Zumaquero, A.M. & R.P. Urrea (2002), “Purchasing Power Parity: Error Correction Models and Structural Breaks”, Open Economies Review, 12, 5-26.