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OECD Ülkelerinde Satın Alma Gücü Paritesinin İncelenmesi: Doğrusal Olmayan Yapısal Kırılmalı Birim Kök Testinden Yeni Kanıtlar

Yıl 2023, Cilt: 31 Sayı: 57, 25 - 45, 26.07.2023
https://doi.org/10.17233/sosyoekonomi.2023.03.02

Öz

Bu çalışma, 1994:M1-2021:M9 döneminde 38 OECD üyesi ülke için satın alma gücü paritesi (SAGP) hipotezini Hepsağ (2021) birim kök testi ile incelemeyi amaçlamaktadır. OECD ülkelerinin tamamı için hem yapısal değişimi hem de doğrusal olmamayı dikkate alan birim kök testi ile yapılan ilk çalışmalardan biri olması nedeniyle literatürdeki boşluğu doldurmaktadır. Çalışmada ADF, KPSS gibi geleneksel ve Fourier KPSS gibi sadece yapısal değişime izin veren birim kök testleri SAGP hipotezinin geçerliliğine ilişkin çelişkili sonuçlar vermiştir. Hepsağ (2021) test sonuçlarına göre reel efektif döviz kurlarının seviyede durağan tespit edildiği Finlandiya, Fransa, Almanya, Yunanistan, Macaristan, İzlanda, İtalya, Japonya, Kore, Litvanya, Lüksemburg, Meksika, Norveç, Slovakya, Slovenya, İspanya, İsviçre, Türkiye ve ABD’de SAGP hipotezinin geçerli olduğu belirlenmiştir.

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Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks

Yıl 2023, Cilt: 31 Sayı: 57, 25 - 45, 26.07.2023
https://doi.org/10.17233/sosyoekonomi.2023.03.02

Öz

This study aims to investigate the purchasing power parity (PPP) hypothesis for 38 OECD member countries over the period 1994:M1-2021:M9 by performing Hepsag’s (2021) unit root test. It fills the gap in the literature since it is one of the first studies conducted performing a unit root test that considers structural change and nonlinearity for all OECD countries. The study, in which conventional unit root tests such as the ADF, KPSS, and the Fourier KPSS, which allow merely structural change, yield conflicting results regarding the validity of the PPP hypothesis, determines that the PPP hypothesis is valid for countries with stationary real effective exchange rates at the level such as Finland, France, Germany, Greece, Hungary, Iceland, Italy, Japan, Korea, Lithuania, Luxembourg, Mexico, Norway, Slovakia, Slovenia, Spain, Switzerland, Turkey, and the USA according to Hepsag’s (2021) unit root test results.

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  • Telatar, E. & H. Kazdagli (1998), “Re-examine the long-run purchasing power parity hypothesis for a high inflation country: the case of Turkey 1980-93”, Applied Economics Letters, 5(1), 51-53.
  • Vasconcelos, C.R.F. & L.A.L. Júnior (2016), “Validity of purchasing power parity for selected Latin American countries: Linear and nonlinear unit root tests”, EconomiA, 17(1), 114-125.
  • Whitt, J.A. (1992), “The long-run behavior of the real exchange rate: A reconsideration”, Journal of Money, Credit and Banking, 24(1), 72-82.
  • Williams, J.C. & B.D. Wright (1991), Storage and Commodity Markets, Cambridge: Cambridge University Press.
  • Wu, Y. (1996), “Are real exchange rates nonstationary? Evidence from a panel-data test”, Journal of Money, Credit and Banking, 28(1), 54-63.
  • Wu, Y. (1997), “The trend behavior of real exchange rates: Evidence from OECD countries”, Review of World Economics, 133(2), 282-296.
  • Wu, J.L. & C.C. Lee (2008), “A revisit to the nonlinear stationarity of real exchange rates”, Applied Economics Letters, 15(2), 155-159.
  • Yazgan, M.E. (2003), “The purchasing power parity hypothesis for a high inflation country: a re-examination of the case of Turkey”, Applied Economics Letters, 10(3), 143-147.
  • Yilanci, V. & Z.A. Eris (2013), “Purchasing power parity in African countries: Further evidence from Fourier unit root tests based on linear and nonlinear models”, South African Journal of Economics, 81(1), 20-34.
  • Yildirim, D. (2017), “Empirical investigation of purchasing power parity for Turkey: Evidence from recent nonlinear unit root tests”, Central Bank Review, 17(2), 39-45.
  • Zhou, S. (2008), “Stationarity of Asian-Pacific real exchange rates”, Economics Letters, 98(1), 16-22.
  • Zhou, S. et al. (2008), “Purchasing Power Parity before and after the Adoption of the Euro”, Review of World Economics, 144(1), 134-150.
  • Zhou, S. & A.M. Kutan (2011), “Is the evidence for PPP reliable? A sustainability examination of the stationarity of real exchange rates”, Journal of Banking & Finance, 35(9), 2479-2490.
  • Zivot, E. & D.W.K. Andrews (1992), “Further Evidence of the Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10, 251-70.
Toplam 172 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Mehmet Sedat Uğur 0000-0002-2562-5299

Ali Eren Alper 0000-0003-0008-1202

Erken Görünüm Tarihi 23 Temmuz 2023
Yayımlanma Tarihi 26 Temmuz 2023
Gönderilme Tarihi 18 Kasım 2022
Yayımlandığı Sayı Yıl 2023 Cilt: 31 Sayı: 57

Kaynak Göster

APA Uğur, M. S., & Alper, A. E. (2023). Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks. Sosyoekonomi, 31(57), 25-45. https://doi.org/10.17233/sosyoekonomi.2023.03.02
AMA Uğur MS, Alper AE. Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks. Sosyoekonomi. Temmuz 2023;31(57):25-45. doi:10.17233/sosyoekonomi.2023.03.02
Chicago Uğur, Mehmet Sedat, ve Ali Eren Alper. “Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test With Structural Breaks”. Sosyoekonomi 31, sy. 57 (Temmuz 2023): 25-45. https://doi.org/10.17233/sosyoekonomi.2023.03.02.
EndNote Uğur MS, Alper AE (01 Temmuz 2023) Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks. Sosyoekonomi 31 57 25–45.
IEEE M. S. Uğur ve A. E. Alper, “Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks”, Sosyoekonomi, c. 31, sy. 57, ss. 25–45, 2023, doi: 10.17233/sosyoekonomi.2023.03.02.
ISNAD Uğur, Mehmet Sedat - Alper, Ali Eren. “Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test With Structural Breaks”. Sosyoekonomi 31/57 (Temmuz 2023), 25-45. https://doi.org/10.17233/sosyoekonomi.2023.03.02.
JAMA Uğur MS, Alper AE. Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks. Sosyoekonomi. 2023;31:25–45.
MLA Uğur, Mehmet Sedat ve Ali Eren Alper. “Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test With Structural Breaks”. Sosyoekonomi, c. 31, sy. 57, 2023, ss. 25-45, doi:10.17233/sosyoekonomi.2023.03.02.
Vancouver Uğur MS, Alper AE. Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks. Sosyoekonomi. 2023;31(57):25-4.