THE VALIDITY OF PURCHASING POWER PARITY: THE CASE OF OECD COUNTRIES

Öz

This paper investigates the validity of purchasing power parity (PPP) for 17 OECD and Eurozone counties for the period of 2002-2017 using monthly data employing Carrion-I Silvestre, Castro and Lopez Bazo (2005) PANKPSS unit root tests taking into consideration structural breaks and cross-sectional dependence. According to unit root test results, the real exchange rate series is stationary and absolute purchasing power parity is valid in OECD countries. On the other hand, since the nominal exchange rate and purchasing power parity series were stationary at the first differences, we used Westerlund (2006) multi-break co-integration test. The cointegration test results also supported the validity of the relative PPP Hypothesis in OECD countries. Therefore, the findings from the analysis results support the validity of purchasing power parity for the 17 OECD countries and countries that use the Euro

Anahtar Kelimeler

• Purchasing Power Parity
• Nominal Exchange Rate
• Monetary Policy
• Real exchange rate
• OECD Countries

SATIN ALMA GÜCÜ PARİTESİNİN GEÇERLİLİĞİNİN SINANMASI: OECD ÜLKELERİ ÖRNEĞİ

Öz

Bu çalışmada satın alma gücü paritesinin geçerliliği 18 OECD ülkesi ve Avrupa Birliği ülkeleri için OECD veri tabanından elde edilen nominal döviz kuru ve tüketici fiyat endeksi ile 2000-2017 aralığı esas alınarak aylık verilerle test edilmiştir.  Analizde kullanılan reel döviz kuru serisindeki kırılmaların varlığı ve serinin yatay kesit bağımlılığa sahip olması nedeniyle Carrion-I Silvestre, Castro ve Lopez Bazo (2005) PANKPSS birim kök testi kullanılmıştır. Birim kök test sonuçlarına göre, reel döviz kuru serisi durağan olup, OECD ülkelerinde mutlak satın alma gücü paritesi geçerlidir. Diğer yandan, analizlere nominal döviz kuru serisi ve satın alma gücü paritesi birinci farkta durağan olduğundan Westerlund (2006) çok kırılmalı eşbütünleşme ile devam edilmiştir. Eşbütünleşme test sonuçları da OECD ülkelerinde uzun dönemde Satın Alma Gücü Paritesinin geçerliliğini desteklemektedir.

Anahtar Kelimeler

• Satın Alma Gücü Paritesi
• Nominal Döviz Kuru
• Para Politikası
• Reel Döviz Kuru
• OECD Ülkeleri

Kaynakça

1. Bahmani-Oskooee, M., Chang, T. ve Liu, W. C. (2014) "Revisiting purchasing power parity in 34 OECD countries: sequential panel selection method", Applied Economics Letters, 21(18):1283-1287.
2. Breusch, T. S. ve Pagan, A. R. (1980) "The Lagrange multiplier test and its applications to model specification in econometrics", The review of economic studies, 47(1):239-253.
3. Chortareas, G. ve Kapetanios, G. (2009) "Getting PPP right: identifying mean-reverting real exchange rates in panels", Journal of Banking and Finance, 33: 390–404.
4. Cuestas, J. C. ve Regis, P. J. (2013) "Purchasing power parity in OECD countries: Nonlinear unit root tests revisited", Economic Modelling, 32:343-346.
5. Çağlayan, E. ve Şak, N. (2009) "OECD ülkeleri̇’nde satınalma gücü paritesi̇: panel eşbütünleme yaklaşımı", Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 26(1):483-500.
6. Hadri, K. (2000) "Testing for stationarity in heterogeneous panel data", Econometrics Journal 3:148–61.
7. Hadri, K. ve Rao, Y. (2008) " Panel stationarity test with structural breaks. Oxford Bulletin of Economics and statistics", 70(2): 245-269.
8. Holmes, M. J., Otero, J. ve Panagiotidis, 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.

9. Im, K. S., Pesaran, M. H., ve Shin, Y. (1997) "Testing for unit roots in heterogeneous panels", University of Cambridge. Revised version of the DAE working paper.
10. Jiang, C., Bahmani-Oskooee, M., ve Chang, T. (2015) "Revisiting purchasing power parity in OECD", Applied Economics, 47(40):4323-4334.
11. Kalyoncu, H. ve Kalyoncu, K. (2008) "Purchasing power parity in OECD countries: Evidence from panel unit root", Economic Modelling, 25(3):440-445.
12. Kapetanios, G., Shin, Y. ve Snell, A. (2003) "Testing for a unit root in the nonlinear STAR framework", Journal of Econometrics, 112(2):359-379.
13. Kruse, R. (2011) "A new unit root test against ESTAR based on a class of modified statistics", Statistical Papers, 52(1):71-85.
14. Lee, J. ve Strazicich, M. C. (2003) "Minimum Lagrange multiplier unit root test with two structural breaks", Review of economics and statistics, 85(4):1082-1089.
15. Levin, A., Lin, C. F. ve Chu, C. S. J. (2002) “Unit Roots Tests in Panel Data: Asymptotic and Finite Sample Properties”, Journal of Econometrics, 108:1-24.
16. Lluís Carrion‐i‐Silvestre, J., Del Barrio‐Castro, T. ve López‐Bazo, E. (2005) "Breaking the panels: An application to the GDP per capita", The Econometrics Journal, 8(2): 159-175.
17. Narayan, P. K. (2005) "New evidence on purchasing power parity from 17 OECD countries", Applied Economics, 37(9): 1063-1071.
18. 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.
19. Narayan, P. K., Narayan, S. ve Prasad, A. (2009) "Evidence on PPP from a cointegration test with multiple structural breaks", Applied Economics Letters, 16(1):5-8.
20. Pedroni, P. (1999) "Critical values for cointegration tests in heterogeneous panels with multiple regressors", Oxford Bulletin of Economics and statistics, 61(S1):653-670.
21. Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels.
22. Pesaran, M. H., Ullah, A. ve Yamagata, T. (2008) "A bias‐adjusted LM test of error cross‐section independence", The Econometrics Journal, 11(1): 105-127.
23. Pesaran, M. H. ve Yamagata, T. (2008) "Testing slope homogeneity in large panels", Journal of Econometrics, 142(1):50-93.
24. Sen, A. (2003) "On unit-root tests when the alternative is a trend-break stationary process", Journal of Business ve Economic Statistics, 21(1):174-184.
25. Sideris, D. (2006) "Purchasing power parity in economies in transition: evidence from Central and East European countries", Applied Financial Economics, 16(1-2): 135-143.
26. Snaith, S. (2012) "The PPP debate: multiple breaks and cross-sectional dependence", Economics Letters, 115(3):342-344.
27. Tatoğlu, F. Y. (2011) "Reel efektif döviz kurunun durağanlığının yapısal kırılmalı panel birim kök testleri kullanılarak sınanması", Doğuş Üniversitesi Dergisi, 10(2):310-323.
28. Tiraşoğlu, B. Y. (2014) "Yapısal kırılmalı birim kök testleri ile OECD ülkelerinde satın alma gücü paritesi geçerliliğinin testi", Ekonometri ve İstatistik E-Dergisi, (20): 68-87.
29. Westerlund, J. (2006) "Testing for panel cointegration with multiple structural breaks", Oxford Bulletin of Economics and Statistics, 68(1):101-132.
30. Zivot, E. ve Andrews, D.W.K.(1992) "Further evidence on the great crash, the oil-price shock,and the unit-root hypothesis" Journal of Business & Economic Statistic, 10:251-270.