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Satınalma Gücü Paritesinin OECD Ülkeleri için Test Edilmesi: Fourier Kantil Birim Kök Testinden Bulgular

Yıl 2021, Cilt: 36 Sayı: 1, 97 - 107, 31.03.2021
https://doi.org/10.24988/ije.202136107

Öz

Satınalma gücü paritesi, döviz kuru belirleme teorileri arasında en eski ve en tartışmalı yaklaşımlardan biridir. Bu çalışma, satınalma gücü paritesinin uzun dönemli geçerliliğini 36 OECD ülkesi için Fourier kantil birim kök testi ile incelenmeyi amaçlamaktadır. Analizler 1993:1-2018:8 aylık dönemleri kapsamaktadır. Fourier kantil birim kök testi sonuçları, 24 OECD ülkesi için satınalma gücü paritesinin geçerli olduğunu ortaya koymaktadır. Bu durum, söz konusu 24 OECD ülkesinde yer alan döviz kurlarının nispi fiyat değişikliklerine uyum sağladığını ve satınalma gücü paritesi teorisinin bu ülkeler için güvenilir bir döviz kuru belirleme aracı olarak kullanılabileceğini ifade etmektedir.

Kaynakça

  • Bahmani-Oskooee, M. ve Ranjbar, O. (2016). Quantile Unit Root Test and PPP: Evidence from 23 OECD Countries. Applied Economics, 48(31), 2899-2911.
  • Bahmani-Oskooee, M., Chang, T. ve Ranjbar, O. (2017). The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD. Applied Economics Quarterly, 63 (3), 295-317. doi: 10.3790/aeq.63.3.295.
  • Bahmani-Oskooee, M., Chang, T., Chen, T.-H. ve Tzeng, H.-W. (2017). Quantile Unit Root Test and the PPP in Africa. Applied Economics, 49(19), 1913-1921.
  • Bahmani-Oskooee, M., Chang, T. ve Lee, K.-C. (2016). Panel Asymmetric Nonlinear Unit Root Test and PPP in Africa. Applied Economic Letters, 23 (8), 554-558.
  • Bahmani-Oskooee, M., Chang, T. Z. (M.) Elmi ve Ranjbar, O. (2018). Re-testing Prebisch–Singer Hypothesis: New Evidence using Fourier Quantile Unit Root Test. Applied Economics, 50(4), 441-454.
  • Bahmani-Oskooee, M., T. Chang, Z. (M.) Elmi, A. Gelan ve Ranjbar, O. (2018). Non-linear Quantile Unit Root Test and PPP: More Evidence from Africa. Applied Economics Letters, 25 (7), 465-471.
  • Becker, R., Enders, W. ve Lee, J. (2006). A stationarity Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381–409. doi:10.1111/j.1467-9892.2006.00478.x.
  • Cassel, G. (1916). The Present Situation of the Foreign Exchanges. The Economic Journal, 26(103), 319-323.
  • Cassel, G. (1918). Abnormal Deviations in International Exchanges. The Economic Journal, 28(112), 413-415.
  • Chang, T. (2012). Nonlinear Adjustment to Purchasing Power Parity in China. Applied Economics Letters, 19(9), 843-848.
  • Chang, T. ve Tzeng, H. W. (2013). Purchasing Power Parity in Nine Transition Countries: Panel SURKSS Test. International Journal of Finance Economics, 18, 74–81.
  • Chang, T., C.-W. Su ve Lee, C.-H. (2012). Purchasing Power Parity Nonlinear Threshold Unit Root Test for East-Asian Countries. Applied Economics Letters, 19(10), 975-979.
  • Chen, T.-H., T. Chang , Y.-C. Zhang ve Lee, C.-H. (2011). Purchasing Power Parity in Mainland China and Taiwan: An Empirical Note Based on Threshold Unit Root Test. Applied Economics Letters, 18(18), 1807-1812.
  • Christopoulos, D. K. ve León-Ledesma, M. A. (2010). Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29(6), 1076-1093.
  • 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.
  • Cuestas, J. C. ve Regis, P. J. (2013). Purchasing Power Parity in OECD Countries: Nonlinear Unit Root Tests Revisited. Economic Modelling, 32, 343–346.
  • Doğanlar, M. (2006). Long-run Validity of Purchasing Power Parity and Cointegration Analysis for Central Asian Countries. Applied Economics Letters, 13, 457-461.
  • Dornbusch, R. (1985). Purchasing Power Parity. NBER Working Paper Series, No. 1591, 1-34.
  • Enders, W. ve Lee, J. (2012). The Flexible Fourier Form and Dickey–Fuller Type Unit Root Tests. Economics Letters, 117(1), 196-199.
  • Feenstra, R. C. ve Taylor, A. M. (2012). International Macroeconomics (2nd Ed.). New York: Worth Publishers.
  • Frenkel, J. A. (1978). Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s. Journal of International Economics, 8, 169-191.
  • Gandolfo, G. (2016). International Finance And Open-Economy Macroeconomics (2nd Ed.). Rome: Springer-Verlag Berlin Heidelberg.
  • He, H., M. C. Chou ve Chang, T. (2013). Purchasing Power Parity for 15 Latin American Countries: Panel SURKSS Test with a Fourier Function. Economic Modelling, 36, 37–43.
  • He, H. ve Chang, T. (2013). Purchasing Power Parity in Transition Countries: Sequential Panel Selection Method. Economic Modelling, 35, 604–609.
  • 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.
  • Koenker, R. ve Xiao, Z. (2004). Unit Root Quantile Autoregression Inference. Journal of the American Statistical Association, 99(467), 775-787. doi: 10.1198/016214504000001114.
  • Kızılkaya, O. ve Mike, F. (2019). Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi. Journal of Yasar University, 2019, 14(53), 21-30.
  • Krugman, P. R., M, Obstfeld ve Melitz, M. (2018). International Finance: Theory ve Policy (11th Ed.). London: Pearson Education.
  • Lau, C. K. M. (2009). A More Powerful Panel Unit Root Test with an Application to PPP. Applied Economics Letters, 16(1), 75-80. doi: 10.1080/13504850701735815.
  • 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.
  • Lee, J. ve Strazicich, M. C. (2004). Minimum LM Unit Root Test with One Structural Break. Manuscript, Department of Economics. Appalachian State University, 1-16.
  • Leybourne, S., Newbold, P. ve Vougas, D. (1998). Unit Roots and Smooth Transitions. Journal of Time Series Analysis, 19(1), 83-97.
  • Lin, S.-Y., H.-J. Chang ve Chang, T. (2011). Revisiting Purchasing Power Parity for Nine Transition Countries: A Fourier Stationary Test, Post-Communist Economies, 23(02), 191-201.
  • Liu, S., D. Zhang ve Chang, T. (2012). Purchasing Power Parity-Nonlinear Threshold Unit Root Test for Transition Countries. Applied Economics Letters, 19(18), 1781-1785.
  • Liu, Y.-S., C.-W. Su ve Zhu, M.-N. (2011). Purchasing Power Parity with Threshold Effects for Central and Eastern European Countries. Applied Economics Letters, 18, 1801-1806.
  • Lu, Y.-C. R., T. Chang, C.-C. Chiu ve Tzeng, H.-W. (2011). Revisiting Purchasing Power Parity for 16 Latin American Countries: Panel SURADF Tests. Applied Economics Letters, 18(3), 251-255.
  • Makin, A. J. (2017). International Money and Finance. New York: Routledge.
  • Mike, F. ve Kızılkaya, O. (2019). Testing the Theory of PPP for Emerging Market Economies that Practice Flexible Exchange Rate Regimes. Applied Economics Letters, 26(17), 1411-1417.
  • Narayan, P. K. ve Popp, S. (2010). A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time. Journal of Applied Statistics, 37(9), 1425-1438.
  • Officier, L. H. (1976). The Purchasing-Power-Parity Theory of Exchange Rates: A Review Article. International Monetary Fun Staff Papers, 1-60.
  • Papell, D. H. ve Prodan, R. (2006). Additional Evidence of Long-Run Purchasing Power Parity with Restricted Structural Change. Journal of Money, Credit and Banking, 38(5), 1329-1349.
  • Peng, H., Z. Liu ve Chang, T. (2017). Revisiting Purchasing Power Parity in BRICS Countries using more Powerful Quantile Unit-Root Tests with Stationary Covariates. Communications in Statistics-Theory and Methods, 46(20), 10051-10057.
  • Pentecost, E. J. (1993). Exchange Rate Dynamics: A Modern Analysis of Exchange Rate Theory and Evidence. UK: Edward Elgar Publishing.
  • Perron, P. (1989). The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. Econometrica: Journal of the Econometric Society, 57(6), 1361-1401.
  • Pilbeam, K. (2005). Finance and Financial Markets (2nd Ed.). New York: Palgrave MacMillan.
  • Ramsaran, R. F. (1998). An Introduction to International Money and Finance. London: MacMillan Press.
  • Sarno, L. ve Taylor, M. P. (1998). Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion. Economics Letters, 60, 131–137.
  • Sarno, L. ve Taylor, M. P. (2002). Purchasing Power Parity and the Real Exchange Rate. IMF Staff Papers, 49(1), 65-105.
  • Taylor, M. P. (2006). Real Exchange Rates and Purchasing Power Parity: Mean-Reversion in Economic thought. Applied Financial Economics, 16, 1–17.
  • Tsong, C.-C., C.-F. Lee, L.-J. Tsai ve Hu, T.-C. (2016). The Fourier Approximation and Testing for the Null of Cointegration. Empirical Economics, 51 (3), 1085–1113. doi: 10.1007/s00181-015-1028-6.
  • Zivot, E. ve Andrews, D. W. K. (2002). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business ve Economic Statistics, 20(1), 25-44.

Testing the Purchasing Power Parity for the OECD Countries: Evidence from Fourier Quantile Unit Root Test

Yıl 2021, Cilt: 36 Sayı: 1, 97 - 107, 31.03.2021
https://doi.org/10.24988/ije.202136107

Öz

Purchasing power parity is one of the oldest and most controversial approaches among theories of exchange rate determination. This study aims to analyze the long-run validity of purchasing power parity for 36 OECD countries using the Fourier quantile unit root test. Monthly observations are used from 1995:1 to 2018:12. Fourier quantile unit root test results show that purchasing power parity is valid for 24 OECD countries. This reveals that the exchange rates in these countries adapt to the price differences and therefore, purchasing power parity theory can be used as a reliable exchange rate determination policy for the countries.

Kaynakça

  • Bahmani-Oskooee, M. ve Ranjbar, O. (2016). Quantile Unit Root Test and PPP: Evidence from 23 OECD Countries. Applied Economics, 48(31), 2899-2911.
  • Bahmani-Oskooee, M., Chang, T. ve Ranjbar, O. (2017). The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD. Applied Economics Quarterly, 63 (3), 295-317. doi: 10.3790/aeq.63.3.295.
  • Bahmani-Oskooee, M., Chang, T., Chen, T.-H. ve Tzeng, H.-W. (2017). Quantile Unit Root Test and the PPP in Africa. Applied Economics, 49(19), 1913-1921.
  • Bahmani-Oskooee, M., Chang, T. ve Lee, K.-C. (2016). Panel Asymmetric Nonlinear Unit Root Test and PPP in Africa. Applied Economic Letters, 23 (8), 554-558.
  • Bahmani-Oskooee, M., Chang, T. Z. (M.) Elmi ve Ranjbar, O. (2018). Re-testing Prebisch–Singer Hypothesis: New Evidence using Fourier Quantile Unit Root Test. Applied Economics, 50(4), 441-454.
  • Bahmani-Oskooee, M., T. Chang, Z. (M.) Elmi, A. Gelan ve Ranjbar, O. (2018). Non-linear Quantile Unit Root Test and PPP: More Evidence from Africa. Applied Economics Letters, 25 (7), 465-471.
  • Becker, R., Enders, W. ve Lee, J. (2006). A stationarity Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381–409. doi:10.1111/j.1467-9892.2006.00478.x.
  • Cassel, G. (1916). The Present Situation of the Foreign Exchanges. The Economic Journal, 26(103), 319-323.
  • Cassel, G. (1918). Abnormal Deviations in International Exchanges. The Economic Journal, 28(112), 413-415.
  • Chang, T. (2012). Nonlinear Adjustment to Purchasing Power Parity in China. Applied Economics Letters, 19(9), 843-848.
  • Chang, T. ve Tzeng, H. W. (2013). Purchasing Power Parity in Nine Transition Countries: Panel SURKSS Test. International Journal of Finance Economics, 18, 74–81.
  • Chang, T., C.-W. Su ve Lee, C.-H. (2012). Purchasing Power Parity Nonlinear Threshold Unit Root Test for East-Asian Countries. Applied Economics Letters, 19(10), 975-979.
  • Chen, T.-H., T. Chang , Y.-C. Zhang ve Lee, C.-H. (2011). Purchasing Power Parity in Mainland China and Taiwan: An Empirical Note Based on Threshold Unit Root Test. Applied Economics Letters, 18(18), 1807-1812.
  • Christopoulos, D. K. ve León-Ledesma, M. A. (2010). Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29(6), 1076-1093.
  • 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.
  • Cuestas, J. C. ve Regis, P. J. (2013). Purchasing Power Parity in OECD Countries: Nonlinear Unit Root Tests Revisited. Economic Modelling, 32, 343–346.
  • Doğanlar, M. (2006). Long-run Validity of Purchasing Power Parity and Cointegration Analysis for Central Asian Countries. Applied Economics Letters, 13, 457-461.
  • Dornbusch, R. (1985). Purchasing Power Parity. NBER Working Paper Series, No. 1591, 1-34.
  • Enders, W. ve Lee, J. (2012). The Flexible Fourier Form and Dickey–Fuller Type Unit Root Tests. Economics Letters, 117(1), 196-199.
  • Feenstra, R. C. ve Taylor, A. M. (2012). International Macroeconomics (2nd Ed.). New York: Worth Publishers.
  • Frenkel, J. A. (1978). Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s. Journal of International Economics, 8, 169-191.
  • Gandolfo, G. (2016). International Finance And Open-Economy Macroeconomics (2nd Ed.). Rome: Springer-Verlag Berlin Heidelberg.
  • He, H., M. C. Chou ve Chang, T. (2013). Purchasing Power Parity for 15 Latin American Countries: Panel SURKSS Test with a Fourier Function. Economic Modelling, 36, 37–43.
  • He, H. ve Chang, T. (2013). Purchasing Power Parity in Transition Countries: Sequential Panel Selection Method. Economic Modelling, 35, 604–609.
  • 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.
  • Koenker, R. ve Xiao, Z. (2004). Unit Root Quantile Autoregression Inference. Journal of the American Statistical Association, 99(467), 775-787. doi: 10.1198/016214504000001114.
  • Kızılkaya, O. ve Mike, F. (2019). Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi. Journal of Yasar University, 2019, 14(53), 21-30.
  • Krugman, P. R., M, Obstfeld ve Melitz, M. (2018). International Finance: Theory ve Policy (11th Ed.). London: Pearson Education.
  • Lau, C. K. M. (2009). A More Powerful Panel Unit Root Test with an Application to PPP. Applied Economics Letters, 16(1), 75-80. doi: 10.1080/13504850701735815.
  • 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.
  • Lee, J. ve Strazicich, M. C. (2004). Minimum LM Unit Root Test with One Structural Break. Manuscript, Department of Economics. Appalachian State University, 1-16.
  • Leybourne, S., Newbold, P. ve Vougas, D. (1998). Unit Roots and Smooth Transitions. Journal of Time Series Analysis, 19(1), 83-97.
  • Lin, S.-Y., H.-J. Chang ve Chang, T. (2011). Revisiting Purchasing Power Parity for Nine Transition Countries: A Fourier Stationary Test, Post-Communist Economies, 23(02), 191-201.
  • Liu, S., D. Zhang ve Chang, T. (2012). Purchasing Power Parity-Nonlinear Threshold Unit Root Test for Transition Countries. Applied Economics Letters, 19(18), 1781-1785.
  • Liu, Y.-S., C.-W. Su ve Zhu, M.-N. (2011). Purchasing Power Parity with Threshold Effects for Central and Eastern European Countries. Applied Economics Letters, 18, 1801-1806.
  • Lu, Y.-C. R., T. Chang, C.-C. Chiu ve Tzeng, H.-W. (2011). Revisiting Purchasing Power Parity for 16 Latin American Countries: Panel SURADF Tests. Applied Economics Letters, 18(3), 251-255.
  • Makin, A. J. (2017). International Money and Finance. New York: Routledge.
  • Mike, F. ve Kızılkaya, O. (2019). Testing the Theory of PPP for Emerging Market Economies that Practice Flexible Exchange Rate Regimes. Applied Economics Letters, 26(17), 1411-1417.
  • Narayan, P. K. ve Popp, S. (2010). A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time. Journal of Applied Statistics, 37(9), 1425-1438.
  • Officier, L. H. (1976). The Purchasing-Power-Parity Theory of Exchange Rates: A Review Article. International Monetary Fun Staff Papers, 1-60.
  • Papell, D. H. ve Prodan, R. (2006). Additional Evidence of Long-Run Purchasing Power Parity with Restricted Structural Change. Journal of Money, Credit and Banking, 38(5), 1329-1349.
  • Peng, H., Z. Liu ve Chang, T. (2017). Revisiting Purchasing Power Parity in BRICS Countries using more Powerful Quantile Unit-Root Tests with Stationary Covariates. Communications in Statistics-Theory and Methods, 46(20), 10051-10057.
  • Pentecost, E. J. (1993). Exchange Rate Dynamics: A Modern Analysis of Exchange Rate Theory and Evidence. UK: Edward Elgar Publishing.
  • Perron, P. (1989). The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. Econometrica: Journal of the Econometric Society, 57(6), 1361-1401.
  • Pilbeam, K. (2005). Finance and Financial Markets (2nd Ed.). New York: Palgrave MacMillan.
  • Ramsaran, R. F. (1998). An Introduction to International Money and Finance. London: MacMillan Press.
  • Sarno, L. ve Taylor, M. P. (1998). Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion. Economics Letters, 60, 131–137.
  • Sarno, L. ve Taylor, M. P. (2002). Purchasing Power Parity and the Real Exchange Rate. IMF Staff Papers, 49(1), 65-105.
  • Taylor, M. P. (2006). Real Exchange Rates and Purchasing Power Parity: Mean-Reversion in Economic thought. Applied Financial Economics, 16, 1–17.
  • Tsong, C.-C., C.-F. Lee, L.-J. Tsai ve Hu, T.-C. (2016). The Fourier Approximation and Testing for the Null of Cointegration. Empirical Economics, 51 (3), 1085–1113. doi: 10.1007/s00181-015-1028-6.
  • Zivot, E. ve Andrews, D. W. K. (2002). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business ve Economic Statistics, 20(1), 25-44.
Toplam 51 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Oktay Kızılkaya 0000-0002-3412-5616

Faruk Mike 0000-0002-9194-1679

Yayımlanma Tarihi 31 Mart 2021
Gönderilme Tarihi 23 Mart 2020
Kabul Tarihi 29 Temmuz 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 36 Sayı: 1

Kaynak Göster

APA Kızılkaya, O., & Mike, F. (2021). Satınalma Gücü Paritesinin OECD Ülkeleri için Test Edilmesi: Fourier Kantil Birim Kök Testinden Bulgular. İzmir İktisat Dergisi, 36(1), 97-107. https://doi.org/10.24988/ije.202136107

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