Gelişen Piyasa Ekonomilerinde Satınalma Gücü Paritesinin Geçerliliğinin Test Edilmesi
Bu çalışmada satınalma gücü paritesinin uzun dönemli geçerliliği 15 gelişen piyasa ekonomisi için reel döviz kuru modeli ve satınalma gücü paritesi modeli (kısıtsız form) ile test edilmektedir. Reel döviz kuru modeli için 2003Q1-2015Q4 çeyreklik dönemler itibariyle geleneksel ve yapısal kırılmalı birim kök testlerine, satınalma gücü paritesi modeli için 2003Q1-2015Q4 çeyreklik ve 2003-2015 yıllık dönemler itibariyle zaman serisi ve panel veri analizlerine yer verilmektedir. Çalışmadan elde edilen bulgular genel olarak satınalma gücü paritesinin 15 gelişen piyasa ekonomisi için geçerli olmadığına yöneliktir. Bu durum nispi fiyat hareketlerinin döviz kurlarının gelecek değerlerinin belirlenmesinde etkin bir politika aracı olmadığını ortaya koymaktadır.
Testing the Validity of Purchasing Power Parity in Emerging Market Economies
In this study, the long-run validity of the purchasing power parity is tested by the real exchange rate model and the purchasing power parity (unconstrained form) model for 15 emerging market economies. For the exchange rate model, traditional and structural breakpoint unit root tests were applied for 2003Q1- 2015Q4 periods. For the purchasing power parity model, time series and panel data analysis were applied for both 2003Q1-20015Q4 quarterly and 2003-2015 yearly periods. Findings from the current study showed us that purchasing power parity generally were not valid in the fifteen developing economies for the studied terms. This suggests that relative price movements are not an effective policy instrument in determining the future values of exchange rates.
___
- AHKING, Francis W.; (1990), “Further Results on Long-Run
Purchasing Power Parity in the 1920s”, European Economic
Review, 34, pp. 913-919.
- ANGELL, James W.; (1926), The Theory of International
Prices: History, Criticism and Restatement, Harvard University
Press, Cambridge.
- ASTERIOU, Dimitrios and Stephen G. HALL; (2011), Applied
Econometrics, Second Edition, Palgrave MacMillan, UK.
- BALASSA, Bela; (1964), “The Purchasing-Power Parity Doctrine:
A Reappraisal”, The Journal of Political Economy, 72(6),
pp. 584-596.
- BASHER, Syed A. and Mohammed MOHSIN; (2004), “PPP
Tests in Cointegrated Panels: Evidence from Asian Developing
Countries”, Applied Economics Letters, 11, pp. 163–166.
- BUNTING, Frederick H.; (1939), “The Purchasing Power Parity
Theory Reexamined”, Southern Economic Journal, 5(3), pp.
282-301.
- CERRATO, Mario and Nicholas SARANTIS; (2007), “Does the
Purchasing Power Parity Hold in Emerging Markets? Evidence
from A Panel of Black Market Exchange Rates”, International
Journal of Finance & Economics, 12(4), pp. 427-444.
- CHANG, Tsangyao and Han-Wen TZENG; (2013), “Purchasing
Power Parity in Nine Transition Countries: Panel Surkss Test”,
International Journal of Finance Economics, 18, pp. 74–81.
- CHANG, Tsangyao, Wen-Chi LIU, Han-Wen TZENG and ChinPing
YU; (2010), “Purchasing Power Parity for G-7 Countries:
Panel SURADF Tests”, Applied Economics Letters, 17, pp.
1223–1228.
- CHEUNG, Yin-Wong and Kon S. LAI; (1993a), “Long-Run Purchasing
Power Parity During the Recent Float”, Journal of International
Economics, 34, pp. 181-192.
- CHEUNG, Yin-Wong and Kon S. LAI; (1993b), “Finite-Sample
Sizes of Johansen’s Likelihood Ratio Tests for Cointegration”,
Oxford Bulletin of Economics and Statistics, 55(3), pp. 313-
328.
- CHOUDHRY, Taufiq, Robert MCNOWN and Myles WALLACE;
(1991), “Purchasing Power Parity and the Canadian Float in
the 1950s”. The Review of Economics and Statistics, 73(3), pp.
558-563.
- COPELAND, Laurence; (2005), Exchange Rates and International
Finace, Fourth Edition, Bell & Bain Limited, England.
- CORBAE, D. and Sam OULIARIS; (1988), “Cointegration and
Tests of Purchasing Power Parity”, The Review of Economics
and Statistics, 70(3), pp. 508-511.
- DICKEY, David A.and Wayne A. FULLER; (1981), “Likelihood
Ratio Statistics for Autoregressive Time Series with A Unit
Root”, Econometrica, 49(4), pp. 1057-1072.
- DOĞANLAR, Murat; (1999), “Testing Long-Run Validity of Purchasing
Power Parity for Asian Countries”, Applied Economics
Letters, 1999, 6, pp. 147-151.
- DOĞANLAR, Murat; (2006), “Long-Run Validity of Purchasing
Power Parity and Cointegration Analysis for Central Asian
Countries”, Applied Economics Letters, 13, pp. 457-461.
- DOĞANLAR, Murat, Harun BAL and Mehmet ÖZMEN; (2009),
“Testing Long-Run Validity of Purchasing Power Parity for Selected
Emerging Market Economies” Applied Economics Letters,
16, pp. 1443-1448.
- DORNBUSCH, Rudiger; (1978), “Monetary Policy Under Exchange
Rate Flexibility”, Working Paper, MIT Cambridge, pp.
1-58.
- DORNBUSCH, Rudiger; (1985), “Purchasing Power Parity”,
NBER Working Paper Series, No. 1591, pp. 1-34.
- DUNN, Jr. Robert M. and John H. MUTTI; (2000), International
Economics, Fifth Edition, Routledge, London.
- EDISON, Hali J.; (1985), “Purchasing Power Parity: A Quantitative
Reassessment of the 1920s Experience”, Journal of International
Money and Finance, 4, pp. 361-372.
- ENDERS, Walter; (1988), “Arima and Cointegration Tests of
PPP Under Fixed and Flexible Exchange Rate Regimes”, The
Review of Economics and Statistics, 70(3), pp. 504-508.
- ERLAT, Haluk; (2003), “The Nature of Persistence in Turkish
Real Exchange Rates”, Emerging Markets Finance and Trade,
39, pp. 70-97.
- FEENSTRA, Robert C. and Alan M. TAYLOR; (2008), International
Economics, Third Edition, Worth Publisher, New York.
- FLEISSIG, Adrian R. and Jack STRAUSS; (2000), “Panel Unit
Root Tests of Purchasing Power Parity for Price Indices”, Journal
of International Money and Finance, 19, pp. 489–506.
- FRANKEL, Jeffrey A. and Andrew K. ROSE; (1996), “A Panel
Project on Purchasing Power Parity: Mean Reversion within
and Between Countries”, Journal of International Economics,
40, pp. 209-224.
- FRENKEL, Jacob A.; (1978), “Purchasing Power Parity: Doctrinal
Perspective and Evidence from the 1920s”, Journal of
International Economics, 8, pp.169-191.
- FRENKEL, Jacob A.; (1980), “The Collapse of Purchasing
Power Parities During the 1970s”, NBER Working Paper Series,
No. 569, pp. 1-19.
- GAILLIOT, Henry J.; (1970), “Purchasing Power Parity as An
Explanation of Long-Term Changes in Exchange Rates”, Journal
of Money, Credit and Banking, 2(3), pp. 348-357.
- GANDOLFO, Giancarlo; (2002), International Finance and
Open Economy Macro-Economics, Springer-Verlag, New York.
- GLEN, Jack D.; (1992), “Real Exchange Rates in the Short,
Medium, and Long Run”, Journal of International Economics,
33, pp. 147-166.
- GULOGLU, Bulent, Serdar ISPIRA and Deniz OKAT; (2011),
“Testing the Validity of Quasi PPP Hypothesis: Evidence from
A Recent Panel Unit Root Test with Structural Breaks”, Applied
Economics Letters, 18, pp. 1817–1822.
- GÜNEY, Pelin Ö., Erdinç TELATAR and Mübariz HASANOV;
(2012). “Re-Examining Purchasing Power Parity for Selected
Emerging Markets and African Countries”, Applied Economics
Letters, 19, pp. 139-144.
- HABERLER, Gottfried; (1961), “A Survey of International Trade
Theory”, Special Papers in International Economics, No. 1,
Princeton University, pp. 1-78.
- HABERMEIER, Karl, Annamaria KOKENYNE, Romain VEYRUNE
and Harald ANDERSON; (2009), “Revised System for
the Classification of Exchange Rate Arrangements”, IMF Working
Paper, pp. 1- 18.
- HAKKIO, Craig S.; (1984), “A Re-Examination of Purchasing
Power Parity: A Multi-Country and Multi-Period Study”, Journal
of International Economics, 17, pp. 265-277.
- HALL, Stephen G.; (1991), “The Effect of Varying Length Var
Models on the Maximum Likelihood Estimates of Cointegrating
Vectors”, Scottish Journal of Political Economy, 38(4), pp.
317-323.
- HOLMES, James M.; (1967), “The Purchasing-Power-Parity
Theory: In Defense of Gustav Cassel as A Modern Theorist”,
Journal of Political Economy, 75, (5), pp. 686-695.
- HUANG, Chao-Hsi and Chih-Yuan YANG; (2015), “European
Exchange Rate Regimes and Purchasing Power Parity: An
Empirical Study on Eleven Eurozone Countries” International
Review of Economics and Finance, 35, pp. 100–109.
- HUIZINGA, John; (1987), “An Empirical Investigation of the
Long-Run Behaviour of Real Exchange Rates”, CarnegieRochester
Conference Series on Public Policy, 27, pp. 149-
214.
- JIANG, Chun, Na JIAN, Tie-Ying LIU and Chi-Wei SU; (2016),
“Purchasing Power Parity and Real Exchange Rate in Central
Eastern European Countries” International Review of Economics
and Finance, 44, pp. 349–358.
- JOHANSEN, Soren; (1988), “Statistical Analysis of Cointegration
Vectors”, Journal of Economic Dynamics and Control, 12,
pp. 231-254.
- KALYONCU, Hüseyin; (2009), “New Evidence of the Validity
of Purchasing Power Parity from Turkey”, Applied Economics
Letters, 2009, 16, pp. 63–67.
- KARAGÖZ, Kadir and T. Bahadır SARAÇ; (2015), “Testing the
Validity of PPP Theory for Turkey: Nonlinear Unit Root Testing”,
Procedia Economics and Finance, 38, pp. 458-467.
- KEYNES, John M.; (1924), A Tract on Monetary Reform, MacMillan
and Co., Limited, London.
- KIM, Yoonbai; (1990), “Purchasing Power Parity in the Long
Run: A Cointegration Approach”, Journal of Money, Credit and
Banking, 22(4), pp. 491-503.
- KIM, Hyung-Gun and Sang Y. JEI; (2013), “Empirical Test for
Purchasing Power Parity Using A Time-Varying Parameter
Model: Japan and Korea Cases”, Applied Economics Letters,
20, pp. 525–529.
- KRUGMAN, Paul R.and Maurice OBSTFELD; (2009), International
Economics: Theory & Policy, Eighth Edition, Pearson
Education, Inc., Boston.
- KWIATKOWSKO, Denis, Peter C. B. PHILLIPS, Peter
SCHMIDT and Yongcheol SHIN ;(1992), “Testing the Null Hypothesis
of Stationarity Against the Alternative of A Unit Root.
How Sure Are We That Economic Time Series Have A Unit
Root?”. Journal of Econometrics, 54, pp. 159-178.
- LAYTON, Allan P. and Jonathan P. STARK; (1990), “Co-Integration
as An Empirical Test of Purchasing Power Parity”, Journal
of Macroeconomics, 12(1), pp. 125-136.
- LEVI, Maurice D.; (2009), International Finance, Fifth Edition,
Routledge, New York.
- LIU, Siyue, Dongxiang ZHANG and Tsangyao CHANG; (2012),
“Purchasing Power Parity – Nonlinear Threshold Unit Root Test
for Transition Countries”, Applied Economics Letters, 19, pp.
1781-1785.
- LIU, Yu-Shao, Chi-Wei SU and Meng-Nan ZHU; (2011), “Purchasing
Power Parity with Threshold Effects for Central and
Eastern European Countries”, Applied Economics Letters, 18,
pp. 1801-1806.
- LOTHIAN, James R.; (1997), “Multi-Country Evidence on the
Behavior of Purchasing Power Parity Under the Current Float”,
Journal of International Money and Finance, 16(1), pp. 19-35.
- LOTHIAN, James R.; (2016). “Purchasing Power Parity and
the Behavior of Prices and Nominal Exchange Rates Across
Exchange-Rate Regimes”, Journal of International Money and
Finance, 69, pp. 5-21.
- MARK, Nelson C.; (1990), “Real and Nominal Exchange Rates
in the Long Run: An Empirical Investigation” Journal of International
Economics, 28, pp. 115-136.
- MACDONALD, Ronald; (2007). Exchange Rate Economics:
Theories and Evidence, Routledge, New York.
- MCNOWN, Robert and Myles S. WALLACE; (1989), “National
Price Levels, Purchasing Power Parity, and Cointegration: A
Test of Four High Inflation Economies”, Journal of International
Money and Finance, 8, pp. 533-545.
- MELVIN, Michael and Stefan C. NORRBIN; (2013), International
Money and Finance, Eighth Edition, Elsevier, UK.
- METZLER, Lloyd. A., Robert TRIFFIN and Gottfried HABERLER;
(1947), “International Monetary Policies”, Postwar Economic
Studies, No. 7, pp. 1-102.
- NARAYAN, Paresh K., Seema NARAYAN and Arti PRASAD;
(2009), “Evidence on PPP from A Cointegration Test with Multiple
Structural Breaks”, Applied Economics Letters, 16, pp. 5–8.
- NG, Serena and Pierre PERRON; (2001), “Lag Length Selection
and the Construction of Unit Root Tests with Good Size
and Power”, Econometrica, 69 (6), pp. 1519-1554.
- OFFICER, Lawrence H.; (1976), “The Purchasing-Power-Parity
Theory of Exchange Rates: A Review Article”, International
Monetary Fun Staff Papers, pp. 1-60.
- ONG, Li L.; (2003), The Big Mac Index: Applications of Purchasing
Power Parity, Palgrave MacMillan, New York.
- OSKOEE, Mohsen B., Tsangyao CHANG and Kuei-Chiu LEE;
(2016), “Purchasing Power Parity in Emerging Markets: A Panel
Stationary Test with Both Sharp and Smooth Breaks”, Economic
Systems, 40, pp. 453-460.
- OSKOEE, Mohsen B., Tsangyao CHANG and Wen-Chi LIU;
(2014), “Revisiting Purchasing Power Parity in 34 OECD Countries:
Sequential Panel Selection Method”, Applied Economics
Letters, 21(18), pp. 1283-1287.
- PENTECOST, Eric J.; (1993). Exchange Rate Dinamics: A
Modern Analysis of Exchange Rate Theory and Evidence, Edward
Elgar Publishing, UK.
- PHILLIPS, Peter C. B. and Pierre PERRON; (1988), “Testing
for A Unit Root in Time Series Regression”, Biometrika, 75(2),
pp. 335-346.
- PILBEAM, Keith; (2006), International Finance, Third Edition,
Palgrave MacMillan, New York.
- PUGEL, Thomas A.; (2016), International Economics, Sixteenth
Edition, McGraw-Hill Education, New York.
- RAMSARAN, Ramesh F.; (1998), An Introduction to International
Money and Finance, MacMillan Press Ltd, London.
- ROGOFF, Kenneth; (1996), “The Purchasing Power Parity
Puzzle”, Journal of Economic Literature, 34(2), pp. 647-668.
- SAMUELSON, Paul A.; (1964), “Theoretical Notes on Trade
Problems”, The Review of Economics and Statistics, 46(2), pp.
145-154.
- SARNO, Lucio; (2000), “Real Exchange Rate Behaviour in
High Inflation Countries: Empirical Evidence from Turkey,
1980-1997”. Applied Economics Letters, 7, pp. 285-291.
- SARNO, Lucio and Mark P. TAYLOR; (1998), “Real Exchange
Rates Under the Recent Float: Unequivocal Evidence of Mean
Reversion”, Economics Letters, 60, pp. 131–137.
- SARNO, Lucio and Mark P. TAYLOR; (2002), The Economics
of Exchange Rates, Cambridge University Press, UK.
- SEYİDOĞLU, Halil; (2001), Uluslararası Finans, 3. Baskı, Güzem
Yayınları No:16, İstanbul.
- TAUSSING, Frank W.; (1929), International Trade, The MacMillan
Company, New York.
- TAYLOR, Mark P.; (1988), “An Empirical Examination of LongRun
Purchasing Power Parity Using Cointegration Techniques”,
Applied Economics, 20, pp. 1369-1381.
- TAYLOR, Mark P.; (2006), “Real Exchange Rates and Purchasing
Power Parity: Mean-Reversion in Economic Thought”, Applied
Financial Economics, 16, pp. 1–17.
- TERBORGH, George W.; (1926), “The Purchasing-Power Parity
Theory”, Journal of Political Economy, 34(2), pp. 197-208.
- UNIVERSITY OF NORTHERN IOWA; “The Bank of England
Restriction. 1797-1821”, The North American Review,
105(217), pp. 393-434.
- VASCONCELOS, Claudio. R. F. And Luiz A. L. JUNIOR;
(2016), “Validity of Purchasing Power Parity for Selected Latin
American Countries: Linear and Non-Linear Unit Root Tests”,
EconomiA, 17, pp. 114–125.
- VINER, Jacob; (1937), Studies in the Theory of International
Trade, George Allen & Unwin Ltd, London.
- VISSER, Hans; (2004). A Guide to International Monetary Economics:
Exchange Rate Theories, Systems and Policies, Third
Edition, Edward Elgar Publishing, UK.
- VOGELSANG, Timothy J. and Pierre PERRON; (1998), Additional
Tests for A Unit Root Allowing for A Break in the Trend
Function at An Unknown Time”, International Economic Review,
39(4), pp. 1073-1100.
- WU, Jyh-Lin and Shaowen WU; (2001), “Is Purchasing Power
Parity Overvalued?”, Journal of Money, Credit and Banking,
33(3), pp. 804-812.
- WU, Yangru; (1996), “Are Real Exchange Rates Nonstationary?
Evidence from A Panel-Data Test”, Journal of Money,
Credit and Banking, 28(1), pp. 54-63.
- YAZGAN, M. Ege; (2003), “The Purchasing Power Parity Hypothesis
for A High Inflation Country: A Re-Examination of the
Case of Turkey”, Applied Economics Letters, 10, pp. 143–147.
- YEAGER, Leland B.; (1958), “A Rehabilitation of PurchasingPower
Parity”, Journal of Political Economy, 66(6), pp. 516-530.
- YOON, Gawon; (2009), “Purchasing Power Parity and Long
Memory”, Applied Economics Letters, 16, pp. 55–61.