TESTING INTERNATİONAL PARITY HYPOTHESIS IN A MULTIVARIATE IDENTIFIED CO-INTEGRATING SYSTEM: THE TURKISH EVIDENCE

Bu çalışmada, çok değişkenli bîr eş-bütünleşirn modeli Türkiye ekonomisi üzerine satın alma gücü parkesi ve korunmamış faiz paritesi kuramlarının eşanh incelenmesi amacıyla oluşturulmaktadır. Tanımlanmış eş-bütünieşik vektörlerden elde edilen tahmin sonuçlanÖnsel modcüeme beklentilerini desteklemekte ve her iki pari tenin birbirleri içerisine bülünleştiril meleri durumunda varlığına yönelik bulgular üretmektedir. Bununla birlikte, birbirlerinden ayrı olarak formülleştirilmeleri durumunda iki uluslar arası döviz kuru belirlenme paritesi doğrultusunda bulgu elde edilememektedir. Çalışmadan türetilen bir politika çıkarsaması, piyasa mekanizması parasal döviz kurunun uzun dönemli gelişim yolunu yakından etkiler bir şekilde gözlendiği için döviz kuru temelli istikrar programlarının iktisadi birimler tarafından İhtiyatlı bir şekilde değerlendirilmesi gerekliliği olarak özetlenebilir. Anahtar kelimeler: Satın Alma Gücü Paritesi; Korunmamış Faiz Paritesi; Türkiye Ekonomisi ã€€ ABSTRACThi this paper, a multivariate co-integrating model is contracted upon the Turkish economy to examine the validity of the purchasing power parity and the uncovered interest parity theories simultaneously. Estimation results obtained from identified co-integrating vectors supporta priori modelling expectations and yield evidence to the existence of both parities when integrated within each other. However, no evidence is obtained İn favor of the two international exchange rate determination parity hypotheses when formulated in isolation. A policy inference derived from the paper can be summarized such that since the market mechanisms seem to closely affect the long-run course of the nominal exchange rate, exchange rate based stabilization programs should be appreciated by economic agents in a cautious way. Key words:Purchasing Power Parity; Uncovered Interest Parity: Turkish Economy.

Anahtar Kelimeler:

Satın Alma Gücü Paritesi, Korunmamış Faiz Paritesi, Türkiye Ekonomisi

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