THE VALIDITY OF THE PURCHASING POWER PARITY HYPOTHESIS IN OECD COUNTRIES: EVIDENCE FROM THE FOURIER TEST / OECD Ülkelerinde Satın Alma Gücü Paritesi Hipotezinin Geçerliliği: Fourier Testinden Kanıtlar

Öz

According to purchasing power parity (PPP), the nominal exchange rate between the two currencies should be equal to the ratio of the total price levels between the two countries. In other words, it is a simple theory that argues that countries' currencies will have the same purchasing value. In this study, 25 OECD countries is aimed to test the validity of the purchasing power parity hypothesis. The validity of the hypothesis was tested with the monthly data of 1980-Q1 2018-Q12 and Fourier KPSS unit root tests. As a result of the analysis, the validity of the purchasing power parity hypothesis was provided in Brazil, France, Italy, Sweden, Iceland, Ireland, Spain; It has been determined that the purchasing power parity hypothesis is not valid in the countries of Australia, Austria, Belgium, Canada, Germany, Japan, Malaysia, Mexico, Switzerland, USA, Chile, Colombia, Finland, Luxembourg, Netherlands, New Zealand, Norway, Portugal.

Anahtar Kelimeler

• OECD Countries
• Purchasing Power Parity
• Real Exchange Rate
• Fourier KPSS Unit Root Tests

THE VALIDITY OF THE PURCHASING POWER PARITY HYPOTHESIS IN OECD COUNTRIES: EVIDENCE FROM THE FOURIER TEST / OECD Ülkelerinde Satın Alma Gücü Paritesi Hipotezinin Geçerliliği: Fourier Testinden Kanıtlar

Öz

Satın alma gücü paritesi (PPP)’ne göre iki para birimi arasındaki nominal döviz kurunun iki ülke arasındaki toplam fiyat seviyelerinin oranına eşit olması gerekir. Diğer bir deyişle ülkelerin para biriminin aynı satın alma değerine sahip olacağını savunan basit bir teoridir. Bu çalışmada da 25 OECD ülkesinde satın alma gücü paritesi hipotezinin geçerliliğini sınamak amaçlanmıştır. 1980-Q1 2018-Q12 dönemine ait aylık veriler ile Fourier KPSS birim kök testleri ile hipotezin geçerliliği sınanmıştır. Analiz sonucunda Brezilya, Fransa, İtalya, İsveç, İzlanda, İrlanda, İspanya ülkelerinde satın alma gücü paritesi hipotezinin geçerliliğinin sağlandığı; Avustralya, Avusturya, Belçika, Kanada, Almanya, Japonya, Malezya, Meksika, İsviçre, ABD, Şili, Kolombiya, Finlandiya, Luxemburg, Hollanda, Yeni Zelanda, Norveç ve Portekiz ülkelerinde ise satın alma gücü paritesi hipotezinin geçerli olmadığı tespit edilmiştir.

Anahtar Kelimeler

• OECD Ülkeleri
• Satın Alma Gücü Paritesi
• Reel Döviz Kuru
• Fourier KPSS Birim Kök Testleri

Kaynakça

1. Abumustafa, N. I., and Feridun, M. (2010). Explaining The Long-Term Real Equilibrium Exchange Rates Through Purchasing Power Parity: An Emprical Investigation On Egypt, Jordan And Turkey. African Journal of Business Management, 4(7), 1260-1265.
2. Alba, J. D., and Papell, D. H. (2007). Purchasing Power Parity and Country Characteristics: Evidence from the Panel. Journal of Development Economics, 83(1), 240-251.
3. Anoruo, E., Braha, H., and Ahmad, Y. (2002). Purchasing Power Parity: Evidence From Developing Countries. International Advances in Economic Research, 8(2), 85-96.
4. Becker, R., Enders, W., and Lee, L. (2006). A Stationarity Test in The Presence Of an Unknown Number Of Smooth Breaks. Journal of Time Series Analysis, 27(3), 382-409.
5. Bergin, P. R., and Feenstra, R. C. (2001). Pricing-to-Market, Staggered Contracts, and Real Exchange Rate Persistence. Journal Of International Economics, 54(29, 333-359.
6. Bozgeyik, Y., and Aydın, A. (2019). Seçilmiş Gelişmekte Olan Ülkelerde Satın Alma Gücü Paritesinin Geçerliliğine İlişkin Ampirik Bir Çalışma. Uluslararası Toplum Araştırmaları Dergisi, 13(19), 2068-2089.
7. Chortareas, G., and Kapetanios, G. (2009). Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates In Panels. Journal of Banking & Finance, 33(2), 390-404.
8. Copeland, L. (2005). Exchange Rates and International. England: Bell&Bain Limited.

9. Cuestas, J. C., and Regis, P. J. (2013). Purchasing Power Parity in OECD Countries: Nonlinear Unit Root Tests Revisited. Economic Modelling, 32, 343-346.
10. Erlat, H. (2003). The Nature of Persistence in Turkish Real Exchange Rates. Emerging Markets Finance & Trade, 39(2), 70-97.
11. Frenkel, J. A. (1978). Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s. Journal of International Economics, 8(2), 169-191.
12. Gandolfo, G. (2002). International Finance and Open Economy Macro-Economics. New York: Springer-Verlag.
13. Gerek, S., and Karabacak, M. (2017). Satın Alma Gücü Paritesi Yaklaşımı İle Türkiye’de Reel Döviz Kuru Yanlış Dengelenmesinin Belirlenmesi:Yapısal Kırılmalı Ve Doğrusal Olmayan Birim Köktestleri İle Bir Analiz. Journal Of Life Economics, 4(11), 1-24.
14. Güriş, B., Tıraşoğlu, B. Y., and Tıraşoğlu, M. (2016). Türkiye’ de Satın alma Gücü Paritesi Geçerli mi?: Doğrusal Olmayan Birim Kök Testleri. Sosyal Bilimler Araştırma Dergisi, 5(4), 30-42.
15. Haji-Othman, Y., and Yahaya, S. (2014). Purchasing Power Parity: Evidence From Selected High And Low Inflation Countries. International Business Research, 8(1), 50-59.
16. He, H., Chou, M., and Chang, T. (2014). Purchasing Power Parity for 15 Latin American countries: Panel SURKSS Test with a Fourier Function. Economic Modelling, 36, 37- 43.
17. Holmes, M., Otero, J., and Panagiotidiis, 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.
18. Huang, C.H., and Yang, C.Y. (2015). European Exchange Rate Regimes And Purchasing Power Parity: An Empirical Study On Eleven Eurozone Countries. International Review of Economics & Finance, 23, 100-109.
19. Jiang, C., Bahmani-Oskooee, M., and Chang, T. (2015). Revisiting Purchasing Power Parity in OECD. Applied Economics, 47(40), 4323–4334.
20. Karoglou, M., and Morley, B. (2012). Purchasing Power Parity And Structural Instability in the US/UK Exchange Rate. Journal of International Financial Markets Institutions and Money, 22(4), 958-978.
21. Kaya, H., and Çelik, İ. (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.
22. Lee, C. H., and Chou, P. I. (2013). The Behavior Of Real Exchange Rate: Nonlinearity And Breaks. International Review of Economics and Finance, 27, 67-73.
23. Lee, D. (1999). Purchasing Power Parity and Dynamic Error Correction Evidence from Asia Pacific Economics. International Review of Economics and Finance, 8(2), 199-212.
24. Liu, Y. S., Su, C. W., and Zhu, M. N. (2011). Purchasing Power Parity With Threshold Effects For Central And Eastern European Countries. Applied Economics Letters, 18(18), 1801-1806.
25. Lopez, C., and Papell, D. H. (2002). Convergence to Purchasing Power Parity at the Commencement of the Euro. Review of International Economics, 5(1), 1-18.
26. Ma, W., Li, H., and Park, S. Y. (2017). Empirical Conditional Quantile Test For Purchasing Power Parity: Evidence From East Asian Countries. International Review of Economics & Finance, 49, 211-222.
27. Mike, F. (2018). Gelişen Piyasa Ekonomilerinde Satınalma Gücü Paritesinin Geçerliliğinin Test Edilmesi. Finans Politik & Ekonomik Yorumlar, 55(637), 7-30.
28. Özcan, B. (2012). Satın Alma Gücü Paritesi G7 Ülkeleri İçin Geçerli mi? Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 30(2), 137-162.
29. Sarno, L., and Taylor, M. P. (2002). Purchasing Power Parity and the Real Exchange Rate. IMF Staff Papers, 65-105.
30. Şener, S., Yılancı, V., and Canpolat, E. (2015). Satin Alma Gücü Paritesi Ve Varyasyonlarinin Türkiye İçin Sinanmasi. Int. Journal of Management Economics and Business, 11(25), 53-63.
31. Tatoğlu, F. Y. (2009). Reel Efektif Döviz Kurunun Duranliğinin Yapisal Kirilmali Panel Birim Kök Testleri Kullanilarak Sinanmasi. Doğuş Üniversitesi Dergisi, 10(2), 310-323.
32. Taylor, A. M., and Taylor, M. P. (2004). The Purchasing Power Parity Debate. Journal of Economic Perspectives, 8(4), 135-158.
33. Telatar, E., and Hasanov, M. (2009). Purchasing Power Parity in Central and East European Countries. Eastern European Economics, 47(5), 25-41.
34. Telatar, E., and Kazdağlı, H. (1995). 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.
35. Vasconcelos, C. R., and Júnior, L. A. (2016). Validity Of Purchasing Power Parity For Selected Latin American Countries: Linear And Non-Linear Unit Root Tests. EconomiA, 17(1), 114-125.
36. Wang, K.-H., Su, C.-W., Tao, R., and Xiong, D. P. (2019). Does The Purchasing Power Parity Fit For China? Economic Research, 32(1), 2028–2043.