Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi

Bu çalışma, satınalma gücü paritesinin uzun dönemli geçerliliğini, reel döviz kurlarına yönelik Fourier durağanlık analizi ile test etmeyi amaçlamaktadır. Fourier yaklaşımı ile yapısal kırılmalar, kademeli (gradual) ve yumuşak (smooth) bir süreç olarak modellenmiştir. Dünya Bankası ülke sınıflandırılmasından hareket edilerek, yüksek gelir grubu 23, üst-orta gelir grubu 30, düşük-orta gelir grubu 30 ve düşük gelir grubu 9 ülke olmak üzere, toplam 92 ülke için 1995:1-2017:2 dönemi çeyreklik veriler kullanılarak analizler gerçekleştirilmiştir. Elde edilen bulgular 8 yüksek gelirli ülke, 5 üst-orta gelirli ülke, 8 düşük-orta gelirli ülke ve 3 düşük gelirli ülke için satınalma gücü paritesinin geçerli olduğunu göstermektedir.

Testing Real Exchange Rates with Fourier Stationarity Analysis

This study aims to test the long-run validity of the purchasing power parity with the Fourier stationarity analysis for real exchange rates. With Fourier approach, structural breaks are modelled as a gradual and smooth process. From the World Bank country classification, analyzes were applied for 92 countries, including 23 high income, 30 upper-middle income, 30 lower-middle income and 9 low income countries over the period 1995:1-2017:2 using quarterly data. The findings show that the purchasing power parity is valid for 8 high income countries, 5 upper middle income countries, 8 lower middle income countries and 3 low income countries.

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