Satınalma Gücü Paritesi Teorisinin Kırılgan Ekonomiler İçin İncelenmesi: Fourıer Durağanlık ve Eşbütünleşme Analizleri
Özet Görüntüleme: 157 / PDF İndirme: 92
DOI:
https://doi.org/10.5281/zenodo.10050720Anahtar Kelimeler:
Satınalma Gücü Paritesi, Kırılgan Ekonomiler, Reel Döviz Kuru, Fourier TahminleriÖzet
Bu çalışma satınalma gücü paritesi teorisinin geçerliliğini kırılgan ekonomiler olarak nitelendirilen Brezilya, Endonezya, Güney Afrika, Hindistan ve Türkiye için zayıf ve güçlü formda araştırmayı amaçlamaktadır. Analizler 1980:1-2022:4 çeyreklik gözlemleri kapsamaktadır. Bu kapsamda satınalma gücü paritesinin güçlü formu geleneksel (ADF ve PP) ve Fourier fonksiyonlu (Fourier KPSS) birim kök testleri ile incelenmektedir. Buna göre, geleneksel birim kök testinden elde edilen bulgular neredeyse tüm ülkeler için satınalma gücü paritesi teorisinin geçersizliğini ortaya koymaktadır. Buna karşın Fourier KPSS birim kök testi sonuçları ise bütün ülkeler için söz konusu teorinin geçerli olduğuna işaret etmektedir. Diğer taraftan satınalma gücü paritesinin zayıf formunu test etmeye yönelik analizler Tsong vd. (2016) tarafından geliştirilen Fourier Shin eşbütünleşme testi ile gerçekleştirilmektedir. Elde edilen bulgular Hindistan dışında yer alan tüm ülkeler için satınalma gücü paritesi teorisinin geçerli olduğunu ortaya koymaktadır. Fourier fonksiyonlu test yöntemleri satınalma gücü paritesinin geçerliliği konusunda diğer yöntemlere göre daha fazla kanıt sunmaktadır.
Referanslar
Acaravci, A.,& Ozturk, I. (2010). Testing purchasing power parity in transition countries: evidence from structural breaks. Amfiteatru
Economic Journal, 12(27), 190-198.
Alves, D. C.,Cati, R. C., & Fava, V. L. (2001). Purchasing power parity in Brazil: a test for fractional cointegration. AppliedEconomics, 33(9), 1175-1185.
Anoruo, E.,Braha, H., &Ahmad, Y. (2002). Purchasing powerparity: evidence from developing countries. International Advances in Economic Research, 8, 85-96.
Arize, A. C.,Malindretos, J., &Ghosh, D. (2015). Purchasing power parity-symmetry and proportionality: Evidencefrom 116 countries. International Review of Economics& Finance, 37, 69-85.
Atasoy, A. B. (2016). Satınalma Gücü Paritesi, Kırılgan Beşli Ülkeleri’nde Geçerli Midir?. Uluslararası Yönetim İktisat ve İşletme Dergisi, 12(12), 237-246.
Bahmani-Oskooee, M.,Chang, T., Cheng, S. C., &Wu, T. P. (2015). Revisiting purchasing power parity in majoroil-exporting countries. Macroeconomicsand Finance in Emerging Market Economies, 8(1-2), 108-116.
Bahmani-Oskooee, M.,Chang, T., & Lee, K. C. (2016). Purchasingpowerparity in emergingmarkets: A panel stationary test with both sharp and smooth breaks. Economic Systems, 40(3), 453-460.
Bahmani-Oskooee, M.,Chang, T., &Wu, T. (2014). Revisiting purchasing power parity in African countries: panel stationary test with sharp and smooth breaks. Applied Financial Economics, 24(22), 1429-1438.
Becker, R.,Enders, W. and 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.
Bozoklu, S.,& Kutlu, S. (2012). Linear and nonlinear cointegration of Purchasing Power Parity: further evidence from developing countries. Global EconomicReview, 41(2), 147-162.
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., Lee, C. H., &Chou, P. I. (2012). Non linear adjustment to purchasing power parity in G-7 countries. Applied Economics Letters, 19(2), 123-128.
Chang, T., Lee, C. H., &Liu, W. C. (2012). Nonlinear adjustment topurchasing power parity for ASEAN countries. Japan andthe World Economy, 24(4), 325-331.
Chang, T., Lee, K. C., Lu, Y. C. R., &Pan, G. (2011). Revisiting purchasing power parity for G-7 countries using nonparametric rank test for cointegration. Applied Economics Letters, 18(18), 1795-1800.
Chang, T.,&Tzeng, H. W. (2011). Long-run purchasing powerparity with asymmetric adjustment: Further evidence from nine transition countries. Economic Modelling, 28(3), 1383-1391.
Cuestas, J. C.,&Regis, P. J. (2013). Purchasingpowerparity in OECD countries: Nonlinear unit root tests revisited. Economic Modelling, 32, 343-346.
Çeviş I.,& Ceylan, R. (2015). Kırılgan beşlide satın alma gücü paritesi (SAGP) hipotezinin test edilmesi. Yaşar Üniversitesi E-Dergisi, 10(37), 6381-6393.
Doganlar, M. (1999). Testing long-runvalidity of purchasing powerparity for Asian countries. Applied Economics Letters, 6(3), 147-151.
Doğanlar, M., Kızılkaya, O., & Mike, F. (2020). Testing the long-run PPP forTurkey: new evidence from the Fourier quantile unit root test. Applied economics letters, 27(9), 729-735.
Doğanlar, M., Mike, F., & Kızılkaya, O. (2021). Testing the validity of purchasing power parity in alternative markets: Evidence from the fourier quantile unitroot test. Borsa Istanbul Review, 21(4), 375-383.
Guloglu, B.,Ispira, S., & Okat, D. (2011). Testing the validity of quasi PPP hypothesis: evidence from a recent panel unitroot test with structural breaks. Applied economics letters, 18(18), 1817-1822.
He, H.,& Chang, T. (2013). Purchasing power parity in transition countries: Sequential panel selection method. Economic Modelling, 35, 604-609.
He, H.,Chou, M. C., & Chang, T. (2014). Purchasing power parity for 15 Latin Americancountries: Panel SURKSS test with a Fourier function. Economic Modelling, 36, 37-43.
Hendriks, J. J.,&Bonga-Bonga, L. (2022). Testing for the purchasing power parity (PPP) hypothesis between South Africaandits main tradingpartners: application of the quantile approach. MPRA Paper No. 112915. https://mpra.ub.uni-muenchen.de/112915/
Holmes, M. J. (2001). New evidence on realex change rate stationarity and purchasing powerparity in less developed countries. Journal of Macroeconomics, 23(4), 601-614.
Jiang, C.,Bahmani-Oskooee, M., & Chang, T. (2015). Revisiting purchasing powerparity in OECD. Applied Economics, 47(40), 4323-4334.
Kalyoncu, H.,& Kalyoncu, K. (2008). Purchasing powerparity in OECD countries: Evidencef rom panel unitroot. Economic Modelling, 25(3), 440-445.
Kargbo, J. M. (2009). Financial globalization and purchasing powerparity in the G7 countries. Applied Economics Letters, 16(1), 69-74.
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.
Kwiatkowski, D.,Phillips, P. C. B., Schmidt, P. And Shin, Y. (1992) Testing The Null Hypothesis Of Stationarity Against TheAlternative Of A UnitRoot: How Sure Are We That Economic Time Series Have A Unit Root?, Journal of Econometrics, 54, 1–3.
Lin, S. Y.,Chang, H. J., &Chang, T. (2011). Revisiting purchasing powerparity for nine transition countries: a Fourier stationary test. Post-Communist Economies, 23(02), 191-201.
Mike, F.,& 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.
Peng, H.,Liu, Z., &Chang, T. (2017). Revisiting purchasing powerparity in BRICS countries using more powerful quantile unit-roottests with stationary covariates. Communications in Statistics-Theory and Methods, 46(20), 10051-10057.
Sarno, L.,& Taylor, M. P. (2002). Purchasing power parity and the realex change rate. IMF staffpapers, 49(1), 65-105.
Sidiq, S.,& Herawati, H. (2016). Validity test of purchasing power parity doctrine: An Indonesian case study. Economic Journal of EmergingMarkets, 8(2), 120.
Su, C. W.,& Chang, H. L. (2011). Revisiting Purchasing Power Parityfor Central and East European Countries: Using Rank Tests for Nonlinear Cointegration. Eastern European Economics, 49(1), 5-12.
Su, C. W.,Liu, Y. S., Zhu, M. N., & Lee, K. C. (2012). Purchasing power parity in major OPEC countries: flexible Fourier stationary test. Applied Economics Letters, 19(1), 19-24.
Su, C. W.,Tsangyao, C., &Chang, H. L. (2011). Purchasing power parity for fifteen Latin American countries: Stationary test with a Fourier function. International Review of Economics & Finance, 20(4), 839-845.
Tastan, H. (2005). Do realex change rates contain a unitroot? Evidence fromTurkishdata. Applied Economics, 37(17), 2037-2053.
Taylor, M. P. (2013). Real Exchange rates and purchasing powerparity: mean-reversion in economic thought. Purchasing power parity and realex changerates, 1-17.
Taylor, A. M.,& Taylor, M. P. (2002). The purchasing powerparity debate. Journal of economic perspectives, 18(4), 135-158.
Tiwari, A. K.,Aruna, M., &Dash, A. K. (2018). Testing the Purchasing Power Parity Hypothesis in India: A Non-linear Cointegration Approach. The Empirical Economics Letters, 17(11), 1321-1330.
Tiwari, A. K.,& Shahbaz, M. (2014). Revisiting purchasing powerparity for India using threshold cointegration and nonlinear unitroot test. Economic Change and Restructuring, 47, 117-133.
Tsong, C.C., Lee, C. F., Tsai, L. J. and Hu, T. C. (2016) The Fourier Approximation and Testing for the Null of Cointegration, Empirical Economics, 51(3), 1085–1113.
Vasconcelos, C. R. F.,&Júnior, L. A. L. (2016). Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unitroottests. EconomiA, 17(1), 114-125.
Wu, J.,Bahmani-Oskooee, M., &Chang, T. (2018). Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach. Empirica, 45, 187-196.
Yang‐Cheng, L.,Tsangyao, C., Chia‐Hao, L., &Chi‐Wei, S. (2013). Revisiting purchasing powerparity for 15 Latin American countries: thre sholdunitroot test. International Journal of Finance & Economics, 18(2), 165-174.
Yılancı, V., Aslan, M., & Özgür, Ö. (2018). Testing the validity of PPP theory for African countries. Applied Economics Letters, 25(18), 1273-1277.
İndir
Yayınlanmış
Nasıl Atıf Yapılır
Sayı
Bölüm
Lisans
Telif Hakkı (c) 2023 PEARSON JOURNAL
Bu çalışma Creative Commons Attribution 4.0 International License ile lisanslanmıştır.