Öz
Uluslararası ekonomi teorilerindeki en önemli konulardan biri, satınalma gücü paritesinin döviz kuru belirleme modelleri içerisinde yer alıp almadığıdır. Bu çalışmada da özellikle E-7 (Brezilya, Çin, Endonezya, Hindistan, Meksika, Rusya, Türkiye) ülkelerinde satınalma gücü paritesinin geçerli olup olmadığının incelenmesi amaçlanmıştır. Çalışmada söz konusu ülkelerin 1992-2022 dönemi verilerinden yararlanılmıştır. Yapılan ekonometrik inceleme sonucunda yatay kesitin bağımlı olduğu ve homojenlik varsayımı kabul edilmiştir. Bundan dolayı değişkenlerin durağan olduğu seviyenin tespit edilmesinde Bootstrap Hadri ikinci nesil birim kök testinden yararlanılmış ve değişkenlerin birinci farkında durağan olduğu anlaşılmıştır. Bundan dolayı değişkenler arasındaki eşbütünleşme ilişkisinin tespit edilmesinde ikinci nesil bir eşbütünleşme testi olan ve yatay kesit bağımlılığı altında çalışan Westerlund ECM testinden yararlanılmıştır. İnceleme sonucunda nominal döviz kuru ile yurtiçi fiyat seviyesinin yurtdışı fiyat seviyesi olan oranı arasındaki ilişkinin olumlu yönde olduğu yani değişkenler arasında eşbütünleşme ilişkisi olduğu tespit edilmiştir. Böylelikle bu çalışmada E-7 ülkelerinde satınalma gücü paritesinin geçerli olduğu kabul edilmiştir.
Anahtar Kelimeler
Kaynakça
- Adiguzel, U., Sahbaz, A., Ozcan, C. C., & Nazlioglu, S. (2014). The behavior of Turkish exchange rates: A panel data perspective. Economic Modelling, 42, 177-185.
- Al-Zyoud, H. (2015). An empirical test of purchasing power parity theory for Canadian dollar-US dollar exchange rates. International Journal of Economics and Finance, 7(3), 233-240.
- Bahmani-Oskooee, M. (1993). Purchasing power parity based on effective exchange rate and cointegration: 25 LDCs' experience with its absolute formulation. World Development, 21(6), 1023-1031. Doi: 10.1016/0305-750X(93)90058-H
- Bursalı, O. B. (2020). Döviz Kuru Riski ve Yönetimi. Bursa: Dora Yayınevi.
- Chang, T., Gatwabuyege, F., Gupta, R., Inglesi-Lotz, R., Manjezi, N. C., & Simo-Kengne, B. D. (2014). Causal relationship between nuclear energy consumption and economic growth in G6 countries: Evidence from panel Granger causality tests. Progress in Nuclear Energy, 77, 187-193.
- Chang, T., Lu, Y. C., Tang, D. P., & Liu, W. C. (2011). Long-run purchasing power parity with asymmetric adjustment: further evidence from African countries. Applied Economics, 43(2), 231-242.
- Chocholatá, M. (2009). Purchasing power parity and Cointegration: Evidence from Latvia and Slovakia. Ekonomický časopis, 57(04), 344-358.
- Coakley, J., Flood, R. P., Fuertes, A. M., & Taylor, M. P. (2005). Purchasing power parity and the theory of general relativity: the first tests. Journal of International Money and Finance, 24(2), 293-316.
- Dobnik, F. (2011). Energy consumption and economic growth revisited: structural breaks and cross-section dependence. Available at SSRN 1981869.
- Doğanlar, M. (2006). Long-run validity of Purchasing Power Parity and cointegration analysis for Central Asian countries. Applied economics letters, 13(7), 457-461.
- Edison, H. J. (1987). Purchasing power parity in the long run: A test of the dollar/pound exchange rate (1890-1978). Journal of Money, Credit and Banking, 19(3), 376-387.
- Ertürk, E. (2018). Döviz Ekonomisi: Dışa Açık Ekonomide Kur-Faiz İlişkileri ve Ekonomik Denge. Bursa: Ekin Yayınevi.
- Güriş, B., Yıldırım Tıraşoğlu, B. & Tıraşoğlu, M. (2016). Türkiye’de satın alma gücü paritesi geçerli mi?: doğrusal olmayan birim kök testleri. Sosyal Bilimler Araştırma Dergisi, 5(4), 30-42.
- Holmes, M. J., Otero, J., & Panagiotidis, T. (2010). On the stationarity of current account deficits in the European Union. Review of International Economics, 18(4), 730-740.
- Hsing, Y. (2010). Analysis of movements in the AUD/USD exchange rate: comparison of four major models. Applied Economics Letters, 17(6), 575-580. Doi: 10.1080/13504850802047003
- Kasem, J., & Al-Gasaymeh, A. (2022). A cointegration analysis for the validity of purchasing power parity: evidence from middle east countries. International Journal of Technology, Innovation and Management (IJTIM), 2(1), 54-67.
- KHAN, F. N., & AHMAD, E. (2005). Test of purchasing power parity based on cointegration technique: The Asian evidence. Pakistan economic and social review, 167-183.
- Lu, Y. C., & Chang, T. (2011). Long-run purchasing power parity with asymmetric adjustment: further evidence from China. Applied Economics Letters, 18(9), 881-886. Doi: 10.1080/13504851.2010.513673
- Munir, Q., Lean, H. H., & Smyth, R. (2020). CO2 emissions, energy consumption and economic growth in the ASEAN-5 countries: A cross-sectional dependence approach. Energy Economics, 85, 104571.
- Olaniran, S. F., & Ismail, M. T. (2023). Testing absolute purchasing power parity in West Africa using fractional cointegration panel approach. Scientific African, 20, e01615. Doi: 10.1016/j.sciaf.2023.e01615
- Sarno, L. And Talor, M. P. (2002). Purchasing Power Parity and the real exchange rate. IMF Staff Paper, 49(1), 65-105.
- Shams, N., & Murad, W. (2010). Purchasing power parity (PPP) in the long-run: A cointegration approach. The Jahangirnagar Economic Review, 21(4), 491-503.
- Serletis, A. (1994). Maximum likelihood cointegration tests of purchasing power parity: Evidence from seventeen OECD countries. Review of World Economics, 130, 476-493.
- Taylor, A. M., & Taylor, M. P. (2002). The purchasing power parity debate. Journal of economic perspectives, 18(4), 135-158.
Öz
One of the most important issues in international economic theories is whether purchasing power parity is included in exchange rate determination models. In this study, it is aimed to examine whether purchasing power parity is valid especially in E-7 (Brazil, China, Indonesia, India, Mexico, Russia, Turkey) countries. In the study, the data of the mentioned countries for the period 1992-2022 are used. As a result of the econometric analysis, the horizontal section is dependent and the homogeneity assumption is accepted. Therefore, Bootstrap Hadri second generation unit root test was used to determine the level at which the variables were stationary and it was understood that the variables were stationary at the first difference. Therefore, the Westerlund ECM test, which is a second generation cointegration test and works under cross-section dependence, was used to determine the cointegration relationship between the variables. As a result of the examination, it has been determined that the relationship between the nominal exchange rate and the ratio of the domestic price level to the foreign price level is positive, that is, there is a cointegration relationship between the variables. Thus, in this study, it is accepted that purchasing power parity is valid in E-7 countries.
Anahtar Kelimeler
Kaynakça
- Adiguzel, U., Sahbaz, A., Ozcan, C. C., & Nazlioglu, S. (2014). The behavior of Turkish exchange rates: A panel data perspective. Economic Modelling, 42, 177-185.
- Al-Zyoud, H. (2015). An empirical test of purchasing power parity theory for Canadian dollar-US dollar exchange rates. International Journal of Economics and Finance, 7(3), 233-240.
- Bahmani-Oskooee, M. (1993). Purchasing power parity based on effective exchange rate and cointegration: 25 LDCs' experience with its absolute formulation. World Development, 21(6), 1023-1031. Doi: 10.1016/0305-750X(93)90058-H
- Bursalı, O. B. (2020). Döviz Kuru Riski ve Yönetimi. Bursa: Dora Yayınevi.
- Chang, T., Gatwabuyege, F., Gupta, R., Inglesi-Lotz, R., Manjezi, N. C., & Simo-Kengne, B. D. (2014). Causal relationship between nuclear energy consumption and economic growth in G6 countries: Evidence from panel Granger causality tests. Progress in Nuclear Energy, 77, 187-193.
- Chang, T., Lu, Y. C., Tang, D. P., & Liu, W. C. (2011). Long-run purchasing power parity with asymmetric adjustment: further evidence from African countries. Applied Economics, 43(2), 231-242.
- Chocholatá, M. (2009). Purchasing power parity and Cointegration: Evidence from Latvia and Slovakia. Ekonomický časopis, 57(04), 344-358.
- Coakley, J., Flood, R. P., Fuertes, A. M., & Taylor, M. P. (2005). Purchasing power parity and the theory of general relativity: the first tests. Journal of International Money and Finance, 24(2), 293-316.
- Dobnik, F. (2011). Energy consumption and economic growth revisited: structural breaks and cross-section dependence. Available at SSRN 1981869.
- Doğanlar, M. (2006). Long-run validity of Purchasing Power Parity and cointegration analysis for Central Asian countries. Applied economics letters, 13(7), 457-461.
- Edison, H. J. (1987). Purchasing power parity in the long run: A test of the dollar/pound exchange rate (1890-1978). Journal of Money, Credit and Banking, 19(3), 376-387.
- Ertürk, E. (2018). Döviz Ekonomisi: Dışa Açık Ekonomide Kur-Faiz İlişkileri ve Ekonomik Denge. Bursa: Ekin Yayınevi.
- Güriş, B., Yıldırım Tıraşoğlu, B. & Tıraşoğlu, M. (2016). Türkiye’de satın alma gücü paritesi geçerli mi?: doğrusal olmayan birim kök testleri. Sosyal Bilimler Araştırma Dergisi, 5(4), 30-42.
- Holmes, M. J., Otero, J., & Panagiotidis, T. (2010). On the stationarity of current account deficits in the European Union. Review of International Economics, 18(4), 730-740.
- Hsing, Y. (2010). Analysis of movements in the AUD/USD exchange rate: comparison of four major models. Applied Economics Letters, 17(6), 575-580. Doi: 10.1080/13504850802047003
- Kasem, J., & Al-Gasaymeh, A. (2022). A cointegration analysis for the validity of purchasing power parity: evidence from middle east countries. International Journal of Technology, Innovation and Management (IJTIM), 2(1), 54-67.
- KHAN, F. N., & AHMAD, E. (2005). Test of purchasing power parity based on cointegration technique: The Asian evidence. Pakistan economic and social review, 167-183.
- Lu, Y. C., & Chang, T. (2011). Long-run purchasing power parity with asymmetric adjustment: further evidence from China. Applied Economics Letters, 18(9), 881-886. Doi: 10.1080/13504851.2010.513673
- Munir, Q., Lean, H. H., & Smyth, R. (2020). CO2 emissions, energy consumption and economic growth in the ASEAN-5 countries: A cross-sectional dependence approach. Energy Economics, 85, 104571.
- Olaniran, S. F., & Ismail, M. T. (2023). Testing absolute purchasing power parity in West Africa using fractional cointegration panel approach. Scientific African, 20, e01615. Doi: 10.1016/j.sciaf.2023.e01615
- Sarno, L. And Talor, M. P. (2002). Purchasing Power Parity and the real exchange rate. IMF Staff Paper, 49(1), 65-105.
- Shams, N., & Murad, W. (2010). Purchasing power parity (PPP) in the long-run: A cointegration approach. The Jahangirnagar Economic Review, 21(4), 491-503.
- Serletis, A. (1994). Maximum likelihood cointegration tests of purchasing power parity: Evidence from seventeen OECD countries. Review of World Economics, 130, 476-493.
- Taylor, A. M., & Taylor, M. P. (2002). The purchasing power parity debate. Journal of economic perspectives, 18(4), 135-158.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Mikro İktisat (Diğer) |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Nisan 2024 |
| Gönderilme Tarihi | 1 Kasım 2023 |
| Kabul Tarihi | 29 Nisan 2024 |
| Yayımlandığı Sayı | Yıl 2024 Cilt: 17 Sayı: 2 |
