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Validity of Purchasing Power Parity Theory: The Case of G7

Year 2015, Volume: 2 Issue: 1, 81 - 100, 27.04.2015
https://doi.org/10.17336/igusbd.72757

Abstract

Purchasing Power Parity (PPP), which is an exchange ratio, eliminates price differences between countries, equates the purchasing power of the currencies of these countries, and emerges as an important criterion in the international development comparisons. PPP theory is based on the assumption that the long-term real exchange rate constant.

Aim of this study is to analyze the PPP theory for the countries that defined as G7 between 1995-2012 periods. In this context, stability of the real exchange rate series have been tested with the first-generation and second-generation unit root tests in the scope of the panel data analysis. As a result of the analysis, there is evidence that unit root in the real exchange rate is not obtained with the first-generation panel unit root test, with the second-generation unit root tests it is obtained that the series contain a unit root, in other words, the PPP theory is not valid for the G7 countries.

References

  • ABUAF, Niso ve Philippe JORION, “Purchasing Power Parity in the Long Run”, Journal of Finance, Sayı: 45, Cilt: 1, 1990, ss: 157-174.
  • BAHMANI-OSKOOEE, Mohsen ve Magda KANDIL, “Testing the PPP in the Non-linear STAR Framework: Evidence from MENA Countries”, Scientific Journal of Administrative Development, Sayı: 5, 2007, ss. 19-33.
  • BALTAGI, Badi H., Econometric Analysis of Panel Data, England: John Wiley & Sons Ltd, 2005.
  • BREUER, Boucher, ROBERT McNown ve Myles WALLACE, “Misleading Inference form Panel Unit Root Tests with an Illustration from Purchasing Power Parity” Review of International Economics, Cilt: 9, Sayı: 3, 2001, ss. 482-493.
  • BREUER, Boucher, ROBERT, McNown ve Myles WALLACE, “Series-Specific Unit Root Test with Panel Data” Oxford Bulletin of Economics and Statistics, Cilt: 64, Sayı: 5, 2002, ss. 527-546.
  • BREUSCH, Trevor ve Adrian PAGAN, “The Lagrange Multiplier Test and its Application to Model Specifications in Econometrics”, Reviews of Economics Studies, Sayı: 47, 1980, ss. 239-253.
  • CARLSSON, Mikael, JOHAN Lyhagen ve Pär ÖSTERHOLM, “Testing for Purchasing Power Parity in Cointegrated Panels”, IMF Working Paper, 2007, WP/07/287.
  • CERRATO, Mario ve Nicholas SARANTIS, “Cross Sectional Dependence, Panel Unit Root Tests, and Purchasing Power Parity”, Discussion Papper 06-14, Centre for International Capital Markets, London Metropolitan University, 2006, ss: 1-23.
  • CHOI, In., “Unit Roots Tests for Panel Data.” Journal of International Money and Finance, Sayı: 20, 2001, ss. 229-272.
  • CHORTAREAS, Georgios E., GEORGE Kapetanios ve Yongcheol SHIN, “Nonlinear mean reversion in Real Exchange Rates”, Economics Letters, Sayı: 77, 2002, ss. 411–417.
  • CARLSSON, Mikael, LYHAGEN, Johan, ve Pär ÖSTERHOLM, “Testing for Purchasing Power Parity in Cointegrated Panels”, IMF Working Papers, WP/07/287, 2007, ss: 1-19.
  • COAKLEY, Jerry, FLOOD, Robert P., FUERTES, Ana M. ve Mark P. TAYLOR, “Purchasing Power Parity and the Theory of General Relativity: The First Tests”, Journal of International Money and Finance, Sayı: 24, 2005, ss. 293–316.
  • COOPER, John, J.B, “Purchasing Power Parity: A Cointegration Analysis of the Australian, New Zealand and Singaporean Currencies”, Applied Economics Letters, Sayı: 1, 1994, 2005, ss. 167–171.
  • ÇAĞLAYAN, Ebru ve İrem SAÇAKLI SAÇILDI, “Does Purchasing Power Parity Hold in OECD Countries?”, International Research Journal of Finance and Economics, Sayı: 37, 2010, ss. 138-146.
  • ERLAT, Haluk, “Unit Roots or Nonlinear Stationarity in Turkish Real Exchange Rates”, Applied Economics Letters, Sayı: 11, 2004, ss. 645-650.
  • FRANKEL, Jeffrey A, “International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets?”, NBER Working Paper, Sayı: 1773, 1986, ss. 1-53.
  • FRANKEL, Jeffrey .A. ve Andrew K. ROSE, “A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries”, Journal of International Economics, Sayı: 40, 1996, ss. 209–224.
  • GÜLOĞLU, Bülent ve Serdar İSPİR, “Yeni Gelişmeler Işığında Türkiye’de Satın Alma Gücü Paritesi Önsavının Panel Birim Kök Sınaması”, Pamukkale Üniversitesi İ.İ.B.F.İktisat Bölümü Yayınları, 2009.
  • GÜLOĞLU, Bülent ve Mehmet İVRENDİ, “Output Fluctuations: Transitory or Permanent? the case of Latin America”, Applied Economics Letters, Sayı:17, 2010, ss.381-386.
  • GÜRBÜZ, Hüseyin ve İbrahim, HASGÜR, “Satın Alma Gücü Örneğinin Mevsimsel Verilerle (1970:01-1994:04) Analizi Üzerine Bir Uygulama: Eşbütünleşme”, SDÜ İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt:2, Sayı:2, 1997, ss.171-196.
  • HADRI, Kaddour, “Testing for Stationarity in Heterogeneous Panel Data”, Econometrics Journal, Sayı:3, 2000, ss.148–161.
  • HADRI, Kaddour ve Eiji, KUROZUMI, “A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor”, Economics Letter, Sayı:115, 2012, ss.31-34.
  • IM, Kyung, PESARAN, Hashem ve Yongcheol, SHIN, “Testing for Unit Roots in Heterogenous Panels.” Mimeo Department of Applied Economics University of Cambridge, 1997.
  • IM, Kyung, PESARAN, Hashem ve Yongcheol, SHIN, “Testing for Unit Roots in Heterogenous Panels.” Journal of Econometrics, Cilt:115, Sayı:1, 2003, ss.53-74.
  • JACOBSON, Tor, LYHAGEN, Johan, LARSSON, Rolf ve Marianne NESSÉN, "Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model," Econometrics Journal, Royal Economic Society, Sayı:11, Cilt:1, 2008, ss.58-79.
  • KASMAN, Saadet, “Avrupa Birliği’nin Genişleme Sürecinde Satın Alma Gücü Paritesi Sağlanıyor Mu?”, 2. Ulusal İktisat Kongresi, 2008, ss.1-14.
  • KALYONCU, Hüseyin ve Kahraman KALYONCU, “Purchasing Power Parity in OECD Countries: Evidence from Panel Unit Root”, Economic Modeling, Sayı:25, Cilt:3, 2008, ss.440-445.
  • KAPETANIOS, George, Yongcheol SHIN ve Andy SNELL, “Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics. Sayı: 112, Cilt: 2, 2001, ss. 359-379.
  • KAWAI, Masahiro ve Ohara HIDETAKA, “Nonstationarity of Real Exchange Rates in the G7 Countries: Are They Cointegrated with Real Variables?”, Journal of the Japanese and International Economies, Sayı:11, Cilt:4, 1997, ss.523-547.
  • KIM, Yoonbai, “Purchasing Power Parity in the Long Run: A Cointegration Approach”, Journal of Money, Credit, and Banking, Sayı: 22, 1990, ss.491-503.
  • LEVIN, Andrew ve Chien LIN, “Unit Roots Tests in Panel Data: New Result” University of California-San Diego, Discussion Paper No:93-56, 1993, ss:1-24.
  • LEVIN, Andrew, Chien LIN ve James CHU, “Unit Roots Tests in Panel Data: Asymptotic and Finite Sample Properties.” Journal of Econometrics, Sayı:108, 2002, ss.1-24.
  • LOTHIAN, James ve Mark TAYLOR, “Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries”, The Journal of Political Economy, Sayı: 104, Cilt: 3, 1996, ss: 488-509.
  • MADDALA, G.S ve Shaoven WU, “A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test.” Oxford Bulletin of Economics and Statistics, Sayı: 61, 1999, ss. 631-652.
  • NAZLIOĞLU, Şaban, Makro İktisat Politikalarının Tarım Sektörü Üzerindeki Etkisi: Gelişmiş ve Gelişmekte Olan Ülkeler İçin Bir Karşılaştırma, Yayımlanmamış Doktora Tezi, Erciyes Üniversitesi, Sosyal Bilimler Enstitüsü, 2010.
  • ÖZCAN, Burcu, “Satın Alma Gücü Paritesi G7 Ülkeleri için Geçerli mi?”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt:30, Sayı:2, 2012, ss.137-161.
  • PESARAN, Hasem, M, “General Diagnostic Tests for Cross Section Dependence in Panels”, Working Paper No:0435, University of Cambridge. 2007, ss:1-39.
  • PESARAN, Hashem, M., “A Simple Panel Unit Root Test in the Presence of Cross Section Dependence”, Journal of Applied Econometrics, Sayı: 22, Cilt: 2, 2007, ss. 265-312.
  • RIDZUAN, Rahim ve Elsadig Musa AHMED, “Testing the Evidence of Purchasing Power Parity for Asean-5 Countries Using Panel Estimation”, International Journal of Economics and Business Modeling, Sayı:2, Cilt:1, 2011, ss.42-56.
  • SEYİDOĞLU, Halil, Uluslararası İktisat, Güzem Yayınları, İstanbul. 2013.
  • TATOĞLU, Ferda Y, “Reel Efektif Döviz Kurunun Durağanlığının Yapısal Kırılmalı Panel Birim Kök Testleri Kullanılarak Sınanması”, Doğus Üniversitesi Dergisi, Sayı: 10, Cilt: 2, 2009, ss. 310-323.
  • TAYLOR, Mark ve Sarno LUCİO, “The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period.” Journal of International Economics, Sayı:46, 1998, ss.281-312.
  • ÜNSAL, Erdal M., Uluslararası İktisat: Teori, Politika ve Açık Ekonomi Makro İktisadı, İmaj Yayınevi, Ankara, 2005.
  • WHPLOZ, Charles, “Economics, Institutıons, History, And Geography in the Transition Process”, Discussion Paper Series, No: 2005.8, United Nations Economic Commission for Europe, 2005, ss: 1-25.
  • YILDIRIM, Oğuz, “Döviz Kurları Çerçevesinde Satınalma Gücü Paritesinin Zaman Serisi Analizi ve Türkiye Ekonomisi Uygulaması”, Türkiye Bankalar Birliği (TBB), Bankacılar Dergisi, Yıl: 14, Sayı: 44, 2003, ss: 3-14.

Satın Alma Gücü Paritesi Teorisinin Geçerliliği: G7 Örneği

Year 2015, Volume: 2 Issue: 1, 81 - 100, 27.04.2015
https://doi.org/10.17336/igusbd.72757

Abstract

Bir değişim oranı olan Satın Alma Gücü Paritesi (SGP) ülkeler arasındaki fiyat farklılıklarını ortadan kaldırarak, söz konusu ülkelerin para birimlerinin satın alma gücünü eşitlemekte ve uluslararası gelişmişlik karşılaştırmalarında önemli bir ölçüt olarak karşımıza çıkmaktadır. SGP teorisi uzun dönemde reel döviz kurunun sabit olduğu varsayımına dayanmaktadır.

Bu çalışmanın amacı, 1995-2012 döneminde G7 olarak tanımlanan ülkelerde SGP teorisinin geçerliliğinin incelenmesidir. Bu bağlamda, panel veri analizi kapsamında reel döviz kuru serisinin durağanlığı hem birinci nesil hem de ikinci nesil birim kök testleri ile sınanmıştır. Yapılan analiz sonucunda; birinci nesil panel birim kök testi ile reel döviz kurunda birim kökün olmadığı yönünde kanıtlar elde edilirken, ikinci nesil birim kök testleri ile serinin birim kök içerdiği diğer bir ifade ile G7 ülkelerinde SGP teorisinin geçerli olmadığı sonucuna ulaşılmıştır.

References

  • ABUAF, Niso ve Philippe JORION, “Purchasing Power Parity in the Long Run”, Journal of Finance, Sayı: 45, Cilt: 1, 1990, ss: 157-174.
  • BAHMANI-OSKOOEE, Mohsen ve Magda KANDIL, “Testing the PPP in the Non-linear STAR Framework: Evidence from MENA Countries”, Scientific Journal of Administrative Development, Sayı: 5, 2007, ss. 19-33.
  • BALTAGI, Badi H., Econometric Analysis of Panel Data, England: John Wiley & Sons Ltd, 2005.
  • BREUER, Boucher, ROBERT McNown ve Myles WALLACE, “Misleading Inference form Panel Unit Root Tests with an Illustration from Purchasing Power Parity” Review of International Economics, Cilt: 9, Sayı: 3, 2001, ss. 482-493.
  • BREUER, Boucher, ROBERT, McNown ve Myles WALLACE, “Series-Specific Unit Root Test with Panel Data” Oxford Bulletin of Economics and Statistics, Cilt: 64, Sayı: 5, 2002, ss. 527-546.
  • BREUSCH, Trevor ve Adrian PAGAN, “The Lagrange Multiplier Test and its Application to Model Specifications in Econometrics”, Reviews of Economics Studies, Sayı: 47, 1980, ss. 239-253.
  • CARLSSON, Mikael, JOHAN Lyhagen ve Pär ÖSTERHOLM, “Testing for Purchasing Power Parity in Cointegrated Panels”, IMF Working Paper, 2007, WP/07/287.
  • CERRATO, Mario ve Nicholas SARANTIS, “Cross Sectional Dependence, Panel Unit Root Tests, and Purchasing Power Parity”, Discussion Papper 06-14, Centre for International Capital Markets, London Metropolitan University, 2006, ss: 1-23.
  • CHOI, In., “Unit Roots Tests for Panel Data.” Journal of International Money and Finance, Sayı: 20, 2001, ss. 229-272.
  • CHORTAREAS, Georgios E., GEORGE Kapetanios ve Yongcheol SHIN, “Nonlinear mean reversion in Real Exchange Rates”, Economics Letters, Sayı: 77, 2002, ss. 411–417.
  • CARLSSON, Mikael, LYHAGEN, Johan, ve Pär ÖSTERHOLM, “Testing for Purchasing Power Parity in Cointegrated Panels”, IMF Working Papers, WP/07/287, 2007, ss: 1-19.
  • COAKLEY, Jerry, FLOOD, Robert P., FUERTES, Ana M. ve Mark P. TAYLOR, “Purchasing Power Parity and the Theory of General Relativity: The First Tests”, Journal of International Money and Finance, Sayı: 24, 2005, ss. 293–316.
  • COOPER, John, J.B, “Purchasing Power Parity: A Cointegration Analysis of the Australian, New Zealand and Singaporean Currencies”, Applied Economics Letters, Sayı: 1, 1994, 2005, ss. 167–171.
  • ÇAĞLAYAN, Ebru ve İrem SAÇAKLI SAÇILDI, “Does Purchasing Power Parity Hold in OECD Countries?”, International Research Journal of Finance and Economics, Sayı: 37, 2010, ss. 138-146.
  • ERLAT, Haluk, “Unit Roots or Nonlinear Stationarity in Turkish Real Exchange Rates”, Applied Economics Letters, Sayı: 11, 2004, ss. 645-650.
  • FRANKEL, Jeffrey A, “International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets?”, NBER Working Paper, Sayı: 1773, 1986, ss. 1-53.
  • FRANKEL, Jeffrey .A. ve Andrew K. ROSE, “A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries”, Journal of International Economics, Sayı: 40, 1996, ss. 209–224.
  • GÜLOĞLU, Bülent ve Serdar İSPİR, “Yeni Gelişmeler Işığında Türkiye’de Satın Alma Gücü Paritesi Önsavının Panel Birim Kök Sınaması”, Pamukkale Üniversitesi İ.İ.B.F.İktisat Bölümü Yayınları, 2009.
  • GÜLOĞLU, Bülent ve Mehmet İVRENDİ, “Output Fluctuations: Transitory or Permanent? the case of Latin America”, Applied Economics Letters, Sayı:17, 2010, ss.381-386.
  • GÜRBÜZ, Hüseyin ve İbrahim, HASGÜR, “Satın Alma Gücü Örneğinin Mevsimsel Verilerle (1970:01-1994:04) Analizi Üzerine Bir Uygulama: Eşbütünleşme”, SDÜ İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt:2, Sayı:2, 1997, ss.171-196.
  • HADRI, Kaddour, “Testing for Stationarity in Heterogeneous Panel Data”, Econometrics Journal, Sayı:3, 2000, ss.148–161.
  • HADRI, Kaddour ve Eiji, KUROZUMI, “A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor”, Economics Letter, Sayı:115, 2012, ss.31-34.
  • IM, Kyung, PESARAN, Hashem ve Yongcheol, SHIN, “Testing for Unit Roots in Heterogenous Panels.” Mimeo Department of Applied Economics University of Cambridge, 1997.
  • IM, Kyung, PESARAN, Hashem ve Yongcheol, SHIN, “Testing for Unit Roots in Heterogenous Panels.” Journal of Econometrics, Cilt:115, Sayı:1, 2003, ss.53-74.
  • JACOBSON, Tor, LYHAGEN, Johan, LARSSON, Rolf ve Marianne NESSÉN, "Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model," Econometrics Journal, Royal Economic Society, Sayı:11, Cilt:1, 2008, ss.58-79.
  • KASMAN, Saadet, “Avrupa Birliği’nin Genişleme Sürecinde Satın Alma Gücü Paritesi Sağlanıyor Mu?”, 2. Ulusal İktisat Kongresi, 2008, ss.1-14.
  • KALYONCU, Hüseyin ve Kahraman KALYONCU, “Purchasing Power Parity in OECD Countries: Evidence from Panel Unit Root”, Economic Modeling, Sayı:25, Cilt:3, 2008, ss.440-445.
  • KAPETANIOS, George, Yongcheol SHIN ve Andy SNELL, “Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics. Sayı: 112, Cilt: 2, 2001, ss. 359-379.
  • KAWAI, Masahiro ve Ohara HIDETAKA, “Nonstationarity of Real Exchange Rates in the G7 Countries: Are They Cointegrated with Real Variables?”, Journal of the Japanese and International Economies, Sayı:11, Cilt:4, 1997, ss.523-547.
  • KIM, Yoonbai, “Purchasing Power Parity in the Long Run: A Cointegration Approach”, Journal of Money, Credit, and Banking, Sayı: 22, 1990, ss.491-503.
  • LEVIN, Andrew ve Chien LIN, “Unit Roots Tests in Panel Data: New Result” University of California-San Diego, Discussion Paper No:93-56, 1993, ss:1-24.
  • LEVIN, Andrew, Chien LIN ve James CHU, “Unit Roots Tests in Panel Data: Asymptotic and Finite Sample Properties.” Journal of Econometrics, Sayı:108, 2002, ss.1-24.
  • LOTHIAN, James ve Mark TAYLOR, “Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries”, The Journal of Political Economy, Sayı: 104, Cilt: 3, 1996, ss: 488-509.
  • MADDALA, G.S ve Shaoven WU, “A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test.” Oxford Bulletin of Economics and Statistics, Sayı: 61, 1999, ss. 631-652.
  • NAZLIOĞLU, Şaban, Makro İktisat Politikalarının Tarım Sektörü Üzerindeki Etkisi: Gelişmiş ve Gelişmekte Olan Ülkeler İçin Bir Karşılaştırma, Yayımlanmamış Doktora Tezi, Erciyes Üniversitesi, Sosyal Bilimler Enstitüsü, 2010.
  • ÖZCAN, Burcu, “Satın Alma Gücü Paritesi G7 Ülkeleri için Geçerli mi?”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt:30, Sayı:2, 2012, ss.137-161.
  • PESARAN, Hasem, M, “General Diagnostic Tests for Cross Section Dependence in Panels”, Working Paper No:0435, University of Cambridge. 2007, ss:1-39.
  • PESARAN, Hashem, M., “A Simple Panel Unit Root Test in the Presence of Cross Section Dependence”, Journal of Applied Econometrics, Sayı: 22, Cilt: 2, 2007, ss. 265-312.
  • RIDZUAN, Rahim ve Elsadig Musa AHMED, “Testing the Evidence of Purchasing Power Parity for Asean-5 Countries Using Panel Estimation”, International Journal of Economics and Business Modeling, Sayı:2, Cilt:1, 2011, ss.42-56.
  • SEYİDOĞLU, Halil, Uluslararası İktisat, Güzem Yayınları, İstanbul. 2013.
  • TATOĞLU, Ferda Y, “Reel Efektif Döviz Kurunun Durağanlığının Yapısal Kırılmalı Panel Birim Kök Testleri Kullanılarak Sınanması”, Doğus Üniversitesi Dergisi, Sayı: 10, Cilt: 2, 2009, ss. 310-323.
  • TAYLOR, Mark ve Sarno LUCİO, “The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period.” Journal of International Economics, Sayı:46, 1998, ss.281-312.
  • ÜNSAL, Erdal M., Uluslararası İktisat: Teori, Politika ve Açık Ekonomi Makro İktisadı, İmaj Yayınevi, Ankara, 2005.
  • WHPLOZ, Charles, “Economics, Institutıons, History, And Geography in the Transition Process”, Discussion Paper Series, No: 2005.8, United Nations Economic Commission for Europe, 2005, ss: 1-25.
  • YILDIRIM, Oğuz, “Döviz Kurları Çerçevesinde Satınalma Gücü Paritesinin Zaman Serisi Analizi ve Türkiye Ekonomisi Uygulaması”, Türkiye Bankalar Birliği (TBB), Bankacılar Dergisi, Yıl: 14, Sayı: 44, 2003, ss: 3-14.
There are 45 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Aslı Önay Akçay

Filiz Erataş

Publication Date April 27, 2015
Published in Issue Year 2015 Volume: 2 Issue: 1

Cite

APA Akçay, A. Ö., & Erataş, F. (2015). Satın Alma Gücü Paritesi Teorisinin Geçerliliği: G7 Örneği. İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 2(1), 81-100. https://doi.org/10.17336/igusbd.72757

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