Yıl: 2010 Cilt: 0 Sayı: 158 Sayfa Aralığı: 587 - 606 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme

Öz:
Bu çalışmanın amacı satın alma gücü paritesinin geçerliliğini Brezilya, Çin, Endonezya, Hindistan, Meksika, Rusya ve Türkiye için analiz etmektir. Bu amaçla, Lanne vd. (2002) ile Saikkonen ve Lutkepohl (2002) tarafından yakın zamanda geliştirilen yapısal kırılmalı birim kök testi kullanılarak, Çin ve Meksika dışındaki ülkelerde satın alma gücü paritesinin geçerli olmadığı sonucuna varılmıştır.
Anahtar Kelime:

Konular: İşletme İktisat İşletme Finans

Stationarity of real exchange rates: An empirical analysis for E7 countries

Öz:
The aim of this study is to analyse the validity of purchasing power parity for Brazil, China, India, Indonesia, Mexico, Russia and Turkey. For this purpose, we employ a recently developed unit root test with structural breaks provided by Lanne et al. (2002) and Saikkonen and Lutkepohl (2002). The results indicate no evidence for purchasing power parity except China and Mexico.
Anahtar Kelime:

Konular: İşletme İktisat İşletme Finans
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
  • Ahmad, S. ve Rashid, A. (2008), "Non-linear PPP in South Asia and China" Economics Bulletin, 6(17), 1-6.
  • Akdi, Y., Ozdemir, Z. A. ve Olgun, H. (2009), “Testing the PPP Hypothesis for G-7 Countries”, Applied Economics Letters, 2009, 16, 99–101.
  • Assaf, A. (2008), “Nonstationarity in Real Exchange Rates Using Unit Root Tests with a Level Shift at Unknown Time”, International Review of Economics and Finance, 17, 269-278.
  • Baharumshah, A. Z., Aggarwal, R. ve Haw, C. T. (2007), “East Asian Real Exchange Rates and PPP: New Evidence from Panel-data Tests”, Global Economic Review, Vol. 36, No.2, 103-119.
  • Balassa, B. (1964), “The Purchasing Power Parity Doctrine: A Reappraisal", Journal of Political Economy, 72, 584-596.
  • Banerjee, A., Lumsdaine, R. L. ve Stock, J. H. (1992), “Recursive and Sequential Tests of the Unit Root and Trend-Break Hypothesis: Theory and International Evidence”, Journal of Business and Economic Statistics, 10, 271-287.
  • Bec, F., Salem, M. S. ve Rahbek, A. (2008) "Purchasing Power Parity: A Nonlinear Multivariate Perspective" Economics Bulletin, Vol. 6, No. 39, 1-6.
  • Bierens, H. J. (1997), "Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationarity, with an Application to the US Price Level and Interest Rate" Journal of Econometrics, 81(1), 29-64.
  • Breitung, J. (2001), Rank Tests for Nonlinear Cointegration, Journal of Business and Economic Statistics, 19, 331-40.
  • Breuer, J. B., McNown, R. ve Wallance, M. (2001) “Misleading ınferences from panel Unit-Tests with an Illustration from Purchasing Power Parity”, Review of International Economics, 9, 482-93.
  • Caporale, G. M. ve Hanck, C. (2009), “Cointegration Tests of PPP: Do They Also Exhibit Erratic Behaviour?”, Applied Economics Letters, 16(1), 9-15.
  • Carrion-I-Silvestre, J. L., Barrio-Castro, T. D. ve Lopez- Bazo, E. (2005) Breaking the Panels: an Application to the GDP per capita, Econometrics Journal, 8, 159-75.
  • Cassel, G. (1918), “Abnormal Deviations in International Exchanges”, Economic Journal, 28, 413-415.
  • Chang, H. L. ve Su, C. W. (2009), “Revisiting Purchasing Power Parity for Major OPEC Countries: Evidence Based on Nonlinear Panel Unit-Root Tests”, Applied Economics Letters, 2009, 1–5, iFirst.
  • Chang, T., Lu, Y.C., Tang, D. P. ve Liu, W.C. (2009), “Long-Run Purchasing Power Parity with Asymmetric Adjustment: Further Evidence from African Countries”, Applied Economics, 2009, 1-12, iFirst.
  • Copeland, L. ve Heravi, S. (2009), “Structural Breaks in the Real Exchange Rate Adjustment Mechanism”, Applied Financial Economics, 19, 121-134.
  • Cuestas, J. C. (2009), “Purchasing Power Parity in Central and Eastern European Pountries: An Analysis of Unit Roots and Nonlinearities”, Applied Economics Letters, 16, 87-94.
  • Doğanlar, M. ve Özmen, M. (2000), “Satınalma Gücü Paritesi ve Reel Döviz Kurları: Gelişmekte Olan Ülkeler Üzerine Bir İnceleme”, İMKB Dergisi, 16(4), 111-122.
  • Edwards, S. (1988), “Real and Monetary Determinants of Real Exchange Rate Behavior: Theory and Evidence from Developing Countries”, Journal of Development Economics, 29(3), 311-341.
  • Edwards, S. (1989), Real Exchange Rates, Devaluation and Adjustment: Exchange Rate Policy in Developing Countries, Cambridge, MIT Press.
  • Enders, W. ve Siklos, L, (2001), "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, 19(2), 166-76.
  • Enders, W. ve Dibooglu, S. (2001) "Long-Run Purchasing Power Parity with Asymmetric Adjustment," Southern Economic Journal, 68(2), 433-445.
  • Ferreira, A. ve Tullio, G. (2002), “The Brazilian Exchange Rate Crisis of January 1999”, Journal of Latin American Studies, 34(19), 143-164.
  • Gandalfo, G. (2002), International Finance and Open Economy Macro Economics, Springer.
  • Hallwood, C. P. ve MacDonald, R. (2000), International Money and Finance, Blackwell Publishing.
  • Hausmann, R., Pritchett, L. ve Rodrik, D. (2005), "Growth Accelerations," Journal of Economic Growth, 10(4), 303-329.
  • Holmes, M. J. ve Wang, P. (2006), “Asymmetric Adjustment Towards Long-Run PPP: Some New Evidence for Asian Economies”, International Economic Journal, Vol.20, No.2, 161-177.
  • Hooi, L. ve Smyth, R. (2007), “Are Asian Real Exchange Rates Mean Reverting? Evidence from Univariate and Panel LM Unit Root Tests with One and Two Structural Breaks”, Applied Economics, 39, 2109-2120.
  • Hyrina, Y. ve Serletis, A. (2010), “Purchasing Power Parity Over a Century”, Journal of Economic Studies, 37(1), 117-144.
  • Imls, J., Mumtaz, H., Rawn, M. O. ve Rey, H. (2002), “PPP Strikes Back: Aggregation and the Real Exchang Rate”, NBER Working Paper Series, w9372.
  • Im, K. S., Pesaran, M. H. ve Shin, Y. (2003), “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, 115 (1), 53-74.
  • International Monetary Fund International Financial Statistics, (2010): http://www.imfstatistics.org/imf/
  • Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12, 231-54.
  • Johansen, S. (2000), Modelling of Cointegration in the Vector Autoregressive Model, Economic Modelling, 17, 359-73.
  • Kalamotousakis, G. J. (1978), “Exchange Rates and Prices: The Historical Evidence”, Journal of International Economics, 8(2), 163-167.
  • Kanas, A. (2009), “Real Exchange Rates and Developing Countries”, International Journal of Finance and Economics”, 14:280-299.
  • Kapetanios, G., Shin, Y. ve Snell, A. (2003), “Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics, 112, 359-379.
  • Kargbo, J. M. (2009a), “Financial Integration and Parity Reversion in Real Exchange Rates of Emerging Markets”, Applied Economics Letters, 16(1), 29- 33.
  • Kargbo, J. M. (2009b), “Capital Flows, Real Exchange Rate Misalignment and PPP Tests in Emerging Market Countries”, Applied Economics, 2009, 1-15.
  • Lanne, M., Lütkepohl, H. ve Saikkonen, P. (2002), “Comparison of Unit Root Tests for Time Series with Level Shifts”, Journal of Time Series Analysis, 23 (6), 667- 685.
  • Lanne, M., Lütkepohl, H. ve Saikkonen, P. (2003), “Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time”, Oxford Bulletin of Economics and Statistics, 65(1), 91-115.
  • Lau, C. (2009), “A More Powerful Panel Unit Root Test with an Application to PPP”, Applied Economics Letters,16(1), 75-80.
  • Lee, J. ve Strazicich, M. C. (2003), “Minimum LM Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 63, 1082-1089.
  • Lee, J. ve Strazicich, M. C. (2004), “Minimum LM Unit Root Test with One Structural Break”, Appalachian State University Working Papers, 04-17, 1-15.
  • Leynourne, S., Taylor, R. ve Kim, T. H. (2007), “CUSUM of Squares-Based Tests for a Change in Persistence”, Journal of Time Series Analysis, 28(3), 408-433.
  • Liew, V. K. S., Lee, H. A. ve Lim K. P. (2009), “Purchasing Power Parity in Asian Economies: Further Evidence from Rank Tests for Cointegration”, Applied Economics Letters, 16, 51–54.
  • Liew, V. K. S., Baharumshah, A. Z. ve Chong, T. T. (2004), “Are Asian Real Exchange Rates Stationary?, Economics Letters, 83 313-316.
  • Lumsdaine, R. L. ve Papell, D. H. (1997), “Multiple Trend Breaks and the Unit Root Hypothesis”, Review of Economics and Statistics, 79 (2), 212-218.
  • Narayan, P. K. ve Smyth, R. (2006), “The Dynamic Relationship between Real Exchange Rates, Real Interest Rates and Foreign Exchange Reserves: Empirical Evidence from China”, Applied Financial Economics, 16, 639-651.
  • Narayan, P. K., Narayan, S. ve Prada, A. (2009), “Evidence on PPP from a Cointegration Test with Multiple Structural Breaks”, Applied Economics Letters, 16(1), 5-8.
  • Nelson, C. R. ve Plosser C. I. (1982), “Trends and Random Walks in Macroeconomic Time Series”, Journal of Monterey Economics, 10, 139-162.
  • Organization for Economic Cooperation and Development-MainEconomic Indicators Database (2010), http://stats.oecd.org/Index.aspx
  • Oskooee, M. B., Kutan, A. ve Zhou, S. (2008), “Do Real Exchange Rates Follow a Nonlinear Mean Reverting Process in Developing Countries?”, Southern Economic Journal, 74(4), 1049-1062.
  • Oskooee, M. B. ve Hegerty, S. W. (2009), “Bounds Testing Cointegration Methods and PPP: Evidence from 123 Countries”, Applied Economics Letters, 2009, 1–6, iFirst.
  • Özel, S. (2005), “Global Finansal Krizler”, Deniz Kültür Yayınları, İstanbul,1.baskı.
  • Payaslioglu, C. (2008), “Revisiting East Asian Exchange Rates: the Same Spirit under a Different Dky”, Applied Financial Economics, 18, 1263-1276.
  • Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57, 1361-1401.
  • Perron, P. (1997), “Further Evidence on Breaking Trend Functions in Macroeconomic Variables”, Journal of Econometrics, 80 (2), 355-385.
  • Perron, P. (2007), “Structural Change”, S.Durlauf ve L. Blume (der), The New Palgrave Dictionary of Economics Online, Palgrave Macmillan, www.dictionaryofeconomics.com
  • Pesaran, M. H., Shin, Y. ve Smith, R. J. (2001), “ Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16, 289– 326.
  • Rogoff, K. (1996), "The Purchasing Power Parity Puzzle," Journal of Economic Literature, 34(2), 647-668.
  • Saikkonen, P. ve Lütkepohl, H. (2002), “Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time”, Econometric Theory, 18 (2), 313-348.
  • Samuelson, P. (1964), “Theoretical Notes on Trade Problems, Review of Economics and Statistics, 23, 145-154.
  • Sarno, L. ve Taylor, M. P. (1998) "The Behavior of Real Exchange Rates During the Post-Bretton Woods Period," Journal of International Economics, 46(2), 281- 312.
  • Schwert, G. W. (1989). “Tests for Unit-Roots: A Monte Carlo Investigation”, Journal of Business and Economic Statistics, 7(2), 147-159.
  • Sephton, P. (2008), “Exchange Rates and Fractional Integration Revisited”, Applied Financial Economics Letters, 4, 383-387.
  • Tang, T. C. (2007), “Sustainability of Balancing Item of Balance of Payments Accounts: Fresh Empirical Evidence for G7 Countries”, Applied Economics Letters, 14(4), 251-254.
  • Taylor, A. M. ve Taylor, M. P. (2004) The Purchasing Power Parity Debate, Journal of Economic Perspectives, 18, 135–58.
  • Taylor, M. P. (2003) Purchasing Power Parity, Review of International Economics, 11, 436-52.
  • Taylor, M. P. (2006) Real Exchange Rates and Purchasing Power Parity: Mean- Reversion in Economic Thought, Applied Financial Economics, 16, 1-17.
  • Yoon, G. (2009), “Are Real Exchange Rates More Likely to Be Stationary During the Fixed Nominal Exchange Rate Regimes?”, Applied Economics Letters,16(1), 17-22.
  • Zivot, E. ve Andrews, K. (1992), “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10(10), 251–70.
APA Bozoklu S, Yilanci V (2010). Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. , 587 - 606.
Chicago Bozoklu Seref,Yilanci Veli Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. (2010): 587 - 606.
MLA Bozoklu Seref,Yilanci Veli Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. , 2010, ss.587 - 606.
AMA Bozoklu S,Yilanci V Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. . 2010; 587 - 606.
Vancouver Bozoklu S,Yilanci V Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. . 2010; 587 - 606.
IEEE Bozoklu S,Yilanci V "Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme." , ss.587 - 606, 2010.
ISNAD Bozoklu, Seref - Yilanci, Veli. "Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme". (2010), 587-606.
APA Bozoklu S, Yilanci V (2010). Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. Maliye Dergisi, 0(158), 587 - 606.
Chicago Bozoklu Seref,Yilanci Veli Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. Maliye Dergisi 0, no.158 (2010): 587 - 606.
MLA Bozoklu Seref,Yilanci Veli Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. Maliye Dergisi, vol.0, no.158, 2010, ss.587 - 606.
AMA Bozoklu S,Yilanci V Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. Maliye Dergisi. 2010; 0(158): 587 - 606.
Vancouver Bozoklu S,Yilanci V Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. Maliye Dergisi. 2010; 0(158): 587 - 606.
IEEE Bozoklu S,Yilanci V "Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme." Maliye Dergisi, 0, ss.587 - 606, 2010.
ISNAD Bozoklu, Seref - Yilanci, Veli. "Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme". Maliye Dergisi 158 (2010), 587-606.