Nuran COŞKUN, Semiha AYTEMİZ, İsmail TUNCER

HATA TERİMLERİNİN NORMAL DAĞILMAMASI DURUMUNDA SATIN ALMA GÜCÜ PARİTESİ HİPOTEZİNİN SINANMASI: RALS-LM VE RALS-ADF BİRİM KÖK TESTİ

Bu çalışmada, Türk lirası için Satın Alma Gücü Paritesi (PPP) hipotezinin geçerliliği 2002-2018 dönemi için Euro, Dolar, GBP (Sterlin) ve Ruble için araştırılmıştır. Literatürde PPP hipotezinin geçerliliğinin sınanmasında geleneksel birim kök testleri kullanılmaktadır. Ancak geleneksel birim kök testleri, normal dağılıma uyan kalıntıları gerektirir. Bununla birlikte, reel döviz kuru serilerinin birim kök analizlerinde hata terimi genellikle normal dağılmamaktadır. Bu bağlamda, çalışmada hata terimlerinde normallik varsayımını genişleten RALS-LM birim kök testi stratejisine dayanarak PPP hipotezinin geçerliliği sınanmıştır. Elde edilen bulgulara göre, PPP hipotezi ABD Doları ve GBP (Sterlin) için geçerlidir. Bu çalışmadan elde edilen bulgular iki açıdan PPP hipotezi literatürü için önem taşımaktadır. Birincisi, reel döviz kuru serileri geleneksel birim kök test prosedürleri için uygun değildir ve ikincisi, normallik varsayımı gerektirmeyen testler kullanılsa bile reel döviz kuru serilerinde durağanlık araştırılan döneme oldukça duyarlıdır.

TESTING THE ABSOLUTE PURCHASING POWER PARITY HYPOTHESIS UNDER NON-NORMAL ERRORS: RALS-LM AND RALS-ADF UNIT ROOT TESTS

This paper scrutinized the validity of the Purchasing Power Parity (PPP) hypothesis for the Turkish Lira along with the Euro (19), the Dollar, the Ruble and GBP for the period between 2002 and 2018. In the related literature, the conventional unit root test procedures are often used in examining the validity of the PPP hypothesis. However, the conventional unit root procedures require normally distributed residuals. But the real exchange rate series rarely satisfy this condition. Hence, this paper investigates the validity of the purchasing power parity (PPP) relying on the RALS-LM unit root procedure, which stretches the assumption of normality. The RALS-LM (one and two trend shift) test findings revealed that PPP hypothesis holds just for the dollar and the GBP. This paper has two vital results in terms of the current PPP literature. Firstly, conventional unit root test procedures are not appropriate for testing the real exchange rate series and secondly, even though appropriate unit root testing procedures were used the results are still very sensitive to the chosen data range.

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