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Bu çalışmada satın alma gücü paritesinin geçerliliği 18 OECD ülkesi ve Avrupa Birliği ülkeleri için OECD veri tabanından elde edilen nominal döviz kuru ve tüketici fiyat endeksi ile 2000-2017 aralığı esas alınarak aylık verilerle test edilmiştir. Analizde kullanılan reel döviz kuru serisindeki kırılmaların varlığı ve serinin yatay kesit bağımlılığa sahip olması nedeniyle Carrion-I Silvestre, Castro ve Lopez Bazo (2005) PANKPSS birim kök testi kullanılmıştır. Birim kök test sonuçlarına göre, reel döviz kuru serisi durağan olup, OECD ülkelerinde mutlak satın alma gücü paritesi geçerlidir. Diğer yandan, analizlere nominal döviz kuru serisi ve satın alma gücü paritesi birinci farkta durağan olduğundan Westerlund (2006) çok kırılmalı eşbütünleşme ile devam edilmiştir. Eşbütünleşme test sonuçları da OECD ülkelerinde uzun dönemde Satın Alma Gücü Paritesinin geçerliliğini desteklemektedir.
The validity of the purchasing power parity in this study was tested with monthly data based on the 2000-2017 interval with the nominal exchange rate and consumer price index obtained from the OECD database for 18 OECD countries and the European Union countries. Due to the presence of fractures in the real currency currency series used in the analysis and the line has a horizontal cutting dependency, Carrion-I Silvestre, Castro and Lopez Bazo (2005) PANKPSS unit root test was used. According to the unit root test results, the real currency currency series is stable and the absolute purchasing power parity is valid in the OECD countries. On the other hand, the analysis of the nominal currency series and the purchasing power parity was stable in the first difference, Westerlund (2006) continued with a very fragile integration. The integration test results also support the long-term validity of the Purchasing Power Parity in OECD countries.
This paper investigates the validity of purchasing power parity (PPP) for 17 OECD and Eurozone counties for the period of 2002-2017 using monthly data employing Carrion-I Silvestre, Castro and Lopez Bazo (2005) PANKPSS unit root tests taking into consideration structural breaks and cross-sectional dependence. According to unit root test results, the real exchange rate series is stationary and absolute purchasing power parity is valid in OECD countries. On the other hand, since the nominal exchange rate and purchasing power parity series were stationary at the first differences, we used Westerlund (2006) multi-break co-integration test. The cointegration test results also supported the validity of the relative PPP Hypothesis in OECD countries. Therefore, the findings from the analysis results support the validity of purchasing power parity for the 17 OECD countries and countries that use the Euro
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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