Research Article
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VALIDITY OF PURCHASING POWER PARITY HYPOTHESIS IN TURKEY: EVIDENCE FROM LONG MEMORY TESTS

Year 2018, Volume: 5 Issue: 2, 351 - 365, 30.06.2018
https://doi.org/10.30798/makuiibf.406276

Abstract

With the spread of the flexible exchange rate regime in the global
sense, the exchange rate forecast has begun to gain importance.
Exchange rates play an important role especially
in foreign trade balance, to make investment decisions, and in exchange rate
policies carried out by central banks in order to gain more share from global
inflows. In particular, the study of the purchasing power parity (SAGP)
hypothesis gained importance in terms of 
economic
stability, structural adjustment and economic reform programs in which real
exchange rates mean-reversion behaviour for the long term.



In
this study where the SAGP hypothesis is tested, it is aimed to test real
exchange rates with long memory tests. For the analysis, two different series
of real exchange rates have been formed based on US dollar and euro for the
period of  2002: 10-2017: 12.
Real
exchange rate series have been tested in the context of the ARFIMA model.

According
to the results of the research, both the dollar and euro real exchange rate series
have long memory characteristics.
The mean-reversion
behaviour of the real exchange rate shows that the PPP hypothesis is valid for
the relevant period for Turkey.

References

  • AHKING, F. W. (2010), Non-Parametric Tests Of Real Exchange Rates in The Post-Brettonwoods Era, Empir Econ, 39, 439–456.
  • ALBA, J. D., ve PAPELL, D. (2007), Purchasing Power Parity and Country Characteristics: Evidence from the Panel Data Tests, Journal of Development Economics, 83, 240-251.
  • ALOY, M., BOUTAHAR, M., GENTE, K. ve FEISSOLLE, A. P. (2011), Purchasing Power Parity and The Long Memory Properties of Real Exchange Rates: Does One Size Fit All?”, Economic Modelling, 28, 1279-1290.
  • BELKACEM, L., EL MEDDEB, Z. ve BOUBAKER, H. (2005), Foreign Exchange Market Efficiency: Fractional Cointegration Approach, International Journal of Business, 10(3), 285-302.
  • BÜBERKÖKÜ, Ö. (2014), Yükselen Piyasa Ekonomilerinde Uluslararası Satın Alma Gücü Paritesi: Panel Koentegrasyon Testlerinden Kanıtlar, BDDK Bankacılık ve Finansal Piyasalar, 8(1), 117-139.
  • CASSEL, G. (1918), Abnormal Deviations in International Exchanges, The Economic Journal, 28, 413-415.
  • CHEUNG, Y-W. ve LAI, K. S. (1993), A Fractional Cointegration Analysis of Purchasing Power Parity, Journal of Business & Economic Statistics, 11(1), 103-112.
  • CHEUNG, Y-W. ve LAI, K. S. (1998), Parity Reversion in Real Exchange Rates During the Post-Bretton Woods Period, Journal of International Money and Finance, 17, 597-614.
  • ÇEVİK, E. İ. ve ERDOĞAN, S. (2009), Bankacılık Sektörü Hisse Senedi Piyasasının Etkinliği: Yapısal Kırılma Ve Güçlü Hafıza. Doğuş Üniversitesi Dergisi, 10(1), 26-40.
  • ÇEVİŞ, İ. ve CEYLAN, R. (2015), Kırılgan Beşlide Satın Alma Gücü Paritesi (SAGP) Hipotezinin Test Edilmesi, Journal of Yasar University, 10(37), 6381-6393.
  • DICKEY, D. A. ve FULLER, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74(366), 427-431.
  • DICKEY, D. A. ve FULLER, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root, Econometrica, 49(4), 1057-1072.
  • ERLAT, H. (2003), The Nature of Persistence in Turkish Real Exchange Rates, Emerging Markets Finance & Trade, 39(2), 70-97.
  • GEWEKE, J. ve PORTER-HUDAK, S. (1983), The Estimation And Application Of Long Memory Time Series Models, Journal of Time Series Analysis, 4, 221-238.
  • GRANGER, C. W. J. VE JOYEUX, R. (1980), An Introduction To Long Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15-29.
  • GÜRİŞ, B., YILDIRIM TIRAŞOĞLU, B. ve TIRAŞOĞLU, B. (2016), Türkiye’ de Satın alma Gücü Paritesi Geçerli mi?: Doğrusal Olmayan Birim Kök Testleri, Social Sciences Research Journal, 5(4), 30-42.
  • HADRI, K. ve RAO, Y. (2008), Panel Stationarity Test with Structural Breaks, Oxf Bull Econ Stat, 70, 245–269.
  • HOLMES, M. J. (2002), Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries, Journal of Economic Development, 27(1), 125-135.
  • HOLMES, M.J., OTERO, J. VE PANAGIOTIDİIS, T. (2012), PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks, Open Economies Review, 23(5), 767-783.
  • HOSKING, J. R. M. (1981), Fractional Differencing, Biometrica, 68(1), 165-176.
  • JOHANSEN, S. (1988), Statistical Analysis Of Cointegration Vectors, Journal of Economic Dynamics and Control, 12 (2-3), 231-254.
  • JOHANSEN, S. ve JUSELIUS, K. (1990), Maximum Likelihood Estimation And Inference On Cointegration With Applications To The Demand For Money, Oxford Bulletin of Economics and Statistics, 52(2),169-210.
  • KAROGLOU, M., ve MORLEY, B. (2012), Purchasing Power Parity and Structural Instability in the US/UK Exchange Rate, Inter. Fin. Markets, Int. and Money, 22, 958-972.
  • KUTLU, S ve YURTTAGÜLER, İ. M. (2014), Türkiye’de Reel Döviz Kurlarının Uzun Hafıza Özellikleri: Kesirli Bütünleşme Analizi, Marmara Üniversitesi İİB Dergisi, 36(1), 373-389.
  • KWIATKOWSKI, D., PHILLIPS, P. C. B., SCHMIDT, P. ve SHIN, Y. (1992), Testing The Null Hypothesis of Stationarity Against The Alternative of A Unit Root, Journal of Econometrics, 54, 159-178.
  • LO, A. W. (1991), Long-Term Memory in Stock Market Prices, Econometrica, 59(5), 1279-1313.
  • LOTHIAN, J. R. ve TAYLOR, M. P. (2000), Purchasing Power Parity over Two Centuries: Strengthening The Case for Real Exchange Rate Stability: A Reply To Cuddington And Liang, Journal of International Money and Finance, 19, 759–764.
  • LOTHIAN, J. R. ve TAYLOR, M. P. (2008), Real Exchange Rates over The Past Two Centuries: How Important is The Harrod–Balassa–Samuelson Effect?, The Economic Journal, 118, 1742–1763.
  • PERRON, P. (1989), The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57(6), 1361-1401.
  • PETER, C. B. P. ve PERRON, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75(2), 335-346.
  • PHILLIPS, P. C. B. (1999a), Discrete Fourier Transforms of Fractional Processes, Unpublished Working Paper, 1243, Cowles Foundation for Research in Economics, 01 Şubat 2018 tarihinde Yale Üniversitesi http://Cowles.Econ.Yale.Edu/P/ Cd/D12a/D1243.pdf adresinden alındı.
  • PHILLIPS, P. C. B. (1999b), Unit Root Log-Periodogram Regression, Unpublished Working Paper, 1244, Cowles Foundation For Research in Economics, 01 Şubat 2018 tarihinde Yale Üniversitesi http://Cowles.Econ.Yale.Edu/P/Cd/D12a/D1244.pdf adresinden alındı.
  • ROBINSON, P. M. (1995), Log-Periodogram Regression Of Time Series With Long Range Dependence, Annals of Statistics, 23, 1048-1072.
  • ROGOFF, K. (1996), The Purchasing Power Parity Puzzle, Journal of Economic Literature, 34(2), 647-668.
  • SARNO, L. ve TAYLOR, M. P. (2002). Purchasing Power Parity and The Real Exchange Rate. IMF Staff Papers, 49(1), 65–105.
  • SARNO, L. ve TAYLOR, M. P. (2003). The Economics of Exchange Rates, New York: Cambridge University Press.
  • SIMS, C. A. (1980), Macroeconomics and Reality, Econometrica, 48(1), 1-48.
  • STOCK, J. H. ve WATSON, M. W. (2001), Vector Autoregressions, Journal of Economic Perspectives, 15(4), 101-115.
  • TARI, R. ve YILDIRIM, D. Ç. (2009), Döviz Kuru Belirsizliğinin İhracata Etkisi: Türkiye İçin Bir Uygulama, Yönetim ve Ekonomi, 16(2), 95-105.
  • TATOĞLU, F. Y., (2009), Reel Efektif Döviz Kurunun Durağanlığının Yapısal Kırılmalı Panel Birim Kök Testleri Kullanılarak Sınanması, Doğuş Üniversitesi Dergisi, 10(2), 310-323.
  • TAYLOR, A. M. ve TAYLOR, M. P. (2004), The Purchasing Power Parity Debate, Journal of Economic Perspectives, 18, 135–158.
  • TAYLOR, M. P. (1995), The Economics of Exchange Rates, Journal of Economic Literature, 33(1), 13-47.
  • TAYLOR, M. P. (2003), Purchasing Power Parity, Review of International Economics, 11, 436-452.
  • TAYLOR, M. P. (2006), Real Exchange Rates and Purchasing Power Parity: Mean-Reversion in Economic Thought, Applied Financial Economics, 16:1-2, 1-17.
  • TAYLOR, M. P. ve SARNO, L. (1998). The Behavior of Real Exchanges During The Post- Bretton Woods Period, Journal of International Economics, 46, 281–312.
  • TCMB (2013), Parasal Aktarım, 30 Nisan 2017, Türkiye Cumhuriyet Merkez Bankası http://www.tcmb.gov.tr/wps/wcm/connect/8cdd0f38-142f-493b-b489-bdc0111491bb/ParasalAktarim.pdf?MOD=AJPERES adresinden alınmıştır.
  • TELATAR, E., ve HASANOV, M. (2009), Purchasing Power Parity in Transition Economies: Evidence From The Commonwealth of Independent States, Post-Communist Economies, 21(2), 157-173.
  • TURGUTLU, E. (2004), Fisher Hipotezinin Tutarlılığının Testi: Parçalı Durağanlık Ve Parçalı Koentegrasyon Analizi, DEÜ İİBF Dergisi, 19(2), 55-75.
  • TÜİK (2008), Satınalma Gücü Paritesi Sorularla Resmi İstatistikler Dizisi, 4, 1-64.
  • YILDIRIM, K., MERCAN, M., ve KOSTAKOĞLU, F. S. (2013). Satın Alma Gücü Paritesinin Test Edilmesi: Zaman Serisi ve Panel Veri Analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 8(3), 75-95.

TÜRKİYE’DE SATIN ALMA GÜCÜ PARİTESİ HİPOTEZİNİN GEÇERLİLİĞİ: UZUN HAFIZA TESTLERİNDEN KANITLAR

Year 2018, Volume: 5 Issue: 2, 351 - 365, 30.06.2018
https://doi.org/10.30798/makuiibf.406276

Abstract

Esnek
kur rejiminin küresel anlamda yaygınlaşmasıyla birlikte döviz kuru öngörüsü de
önem kazanmaya başlamıştır. Döviz kurları, başta dış ticaret dengesi olmak
üzere, yatırım kararlarının alınmasında ve küresel gelirden daha fazla pay
alabilmek için merkez bankalarının yürüttükleri kur politikalarında önemli bir
rol oynamaktadır. Özellikle satın alma gücü paritesi (SAGP) hipotezinin
sınandığı çalışmalarda, reel döviz kurlarının uzun dönem için kendi
ortalamasına dönüp dönmediği ekonomik istikrar, yapısal uyumlanma ve ekonomik
reform uygulamaları açısından önem kazanmaktadır.



SAGP
hipotezinin test edildiği bu çalışmada, reel döviz kurlarının uzun hafıza testleri
ile sınanması amaçlanmıştır. Analiz için, 2002:10-2017:12 dönemi esas alınarak
A.B.D doları ve euro bazında iki farklı reel döviz kuru serisi oluşturulmuştur.
Reel kur serileri ARFIMA modeli çerçevesinde ele alınarak test edilmiştir. Araştırma
sonuçlarına göre hem dolar hem de euro reel kur serilerinin uzun hafıza
özelliği sergiledikleri bulgusuna ulaşılmıştır. Reel döviz kurlarının uzun dönemde
ortalamaya geri dönmesi, Türkiye için ilgili dönemde SAGP hipotezinin geçerli
olduğunu göstermektedir.

References

  • AHKING, F. W. (2010), Non-Parametric Tests Of Real Exchange Rates in The Post-Brettonwoods Era, Empir Econ, 39, 439–456.
  • ALBA, J. D., ve PAPELL, D. (2007), Purchasing Power Parity and Country Characteristics: Evidence from the Panel Data Tests, Journal of Development Economics, 83, 240-251.
  • ALOY, M., BOUTAHAR, M., GENTE, K. ve FEISSOLLE, A. P. (2011), Purchasing Power Parity and The Long Memory Properties of Real Exchange Rates: Does One Size Fit All?”, Economic Modelling, 28, 1279-1290.
  • BELKACEM, L., EL MEDDEB, Z. ve BOUBAKER, H. (2005), Foreign Exchange Market Efficiency: Fractional Cointegration Approach, International Journal of Business, 10(3), 285-302.
  • BÜBERKÖKÜ, Ö. (2014), Yükselen Piyasa Ekonomilerinde Uluslararası Satın Alma Gücü Paritesi: Panel Koentegrasyon Testlerinden Kanıtlar, BDDK Bankacılık ve Finansal Piyasalar, 8(1), 117-139.
  • CASSEL, G. (1918), Abnormal Deviations in International Exchanges, The Economic Journal, 28, 413-415.
  • CHEUNG, Y-W. ve LAI, K. S. (1993), A Fractional Cointegration Analysis of Purchasing Power Parity, Journal of Business & Economic Statistics, 11(1), 103-112.
  • CHEUNG, Y-W. ve LAI, K. S. (1998), Parity Reversion in Real Exchange Rates During the Post-Bretton Woods Period, Journal of International Money and Finance, 17, 597-614.
  • ÇEVİK, E. İ. ve ERDOĞAN, S. (2009), Bankacılık Sektörü Hisse Senedi Piyasasının Etkinliği: Yapısal Kırılma Ve Güçlü Hafıza. Doğuş Üniversitesi Dergisi, 10(1), 26-40.
  • ÇEVİŞ, İ. ve CEYLAN, R. (2015), Kırılgan Beşlide Satın Alma Gücü Paritesi (SAGP) Hipotezinin Test Edilmesi, Journal of Yasar University, 10(37), 6381-6393.
  • DICKEY, D. A. ve FULLER, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74(366), 427-431.
  • DICKEY, D. A. ve FULLER, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root, Econometrica, 49(4), 1057-1072.
  • ERLAT, H. (2003), The Nature of Persistence in Turkish Real Exchange Rates, Emerging Markets Finance & Trade, 39(2), 70-97.
  • GEWEKE, J. ve PORTER-HUDAK, S. (1983), The Estimation And Application Of Long Memory Time Series Models, Journal of Time Series Analysis, 4, 221-238.
  • GRANGER, C. W. J. VE JOYEUX, R. (1980), An Introduction To Long Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15-29.
  • GÜRİŞ, B., YILDIRIM TIRAŞOĞLU, B. ve TIRAŞOĞLU, B. (2016), Türkiye’ de Satın alma Gücü Paritesi Geçerli mi?: Doğrusal Olmayan Birim Kök Testleri, Social Sciences Research Journal, 5(4), 30-42.
  • HADRI, K. ve RAO, Y. (2008), Panel Stationarity Test with Structural Breaks, Oxf Bull Econ Stat, 70, 245–269.
  • HOLMES, M. J. (2002), Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries, Journal of Economic Development, 27(1), 125-135.
  • HOLMES, M.J., OTERO, J. VE PANAGIOTIDİIS, T. (2012), PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks, Open Economies Review, 23(5), 767-783.
  • HOSKING, J. R. M. (1981), Fractional Differencing, Biometrica, 68(1), 165-176.
  • JOHANSEN, S. (1988), Statistical Analysis Of Cointegration Vectors, Journal of Economic Dynamics and Control, 12 (2-3), 231-254.
  • JOHANSEN, S. ve JUSELIUS, K. (1990), Maximum Likelihood Estimation And Inference On Cointegration With Applications To The Demand For Money, Oxford Bulletin of Economics and Statistics, 52(2),169-210.
  • KAROGLOU, M., ve MORLEY, B. (2012), Purchasing Power Parity and Structural Instability in the US/UK Exchange Rate, Inter. Fin. Markets, Int. and Money, 22, 958-972.
  • KUTLU, S ve YURTTAGÜLER, İ. M. (2014), Türkiye’de Reel Döviz Kurlarının Uzun Hafıza Özellikleri: Kesirli Bütünleşme Analizi, Marmara Üniversitesi İİB Dergisi, 36(1), 373-389.
  • KWIATKOWSKI, D., PHILLIPS, P. C. B., SCHMIDT, P. ve SHIN, Y. (1992), Testing The Null Hypothesis of Stationarity Against The Alternative of A Unit Root, Journal of Econometrics, 54, 159-178.
  • LO, A. W. (1991), Long-Term Memory in Stock Market Prices, Econometrica, 59(5), 1279-1313.
  • LOTHIAN, J. R. ve TAYLOR, M. P. (2000), Purchasing Power Parity over Two Centuries: Strengthening The Case for Real Exchange Rate Stability: A Reply To Cuddington And Liang, Journal of International Money and Finance, 19, 759–764.
  • LOTHIAN, J. R. ve TAYLOR, M. P. (2008), Real Exchange Rates over The Past Two Centuries: How Important is The Harrod–Balassa–Samuelson Effect?, The Economic Journal, 118, 1742–1763.
  • PERRON, P. (1989), The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57(6), 1361-1401.
  • PETER, C. B. P. ve PERRON, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75(2), 335-346.
  • PHILLIPS, P. C. B. (1999a), Discrete Fourier Transforms of Fractional Processes, Unpublished Working Paper, 1243, Cowles Foundation for Research in Economics, 01 Şubat 2018 tarihinde Yale Üniversitesi http://Cowles.Econ.Yale.Edu/P/ Cd/D12a/D1243.pdf adresinden alındı.
  • PHILLIPS, P. C. B. (1999b), Unit Root Log-Periodogram Regression, Unpublished Working Paper, 1244, Cowles Foundation For Research in Economics, 01 Şubat 2018 tarihinde Yale Üniversitesi http://Cowles.Econ.Yale.Edu/P/Cd/D12a/D1244.pdf adresinden alındı.
  • ROBINSON, P. M. (1995), Log-Periodogram Regression Of Time Series With Long Range Dependence, Annals of Statistics, 23, 1048-1072.
  • ROGOFF, K. (1996), The Purchasing Power Parity Puzzle, Journal of Economic Literature, 34(2), 647-668.
  • SARNO, L. ve TAYLOR, M. P. (2002). Purchasing Power Parity and The Real Exchange Rate. IMF Staff Papers, 49(1), 65–105.
  • SARNO, L. ve TAYLOR, M. P. (2003). The Economics of Exchange Rates, New York: Cambridge University Press.
  • SIMS, C. A. (1980), Macroeconomics and Reality, Econometrica, 48(1), 1-48.
  • STOCK, J. H. ve WATSON, M. W. (2001), Vector Autoregressions, Journal of Economic Perspectives, 15(4), 101-115.
  • TARI, R. ve YILDIRIM, D. Ç. (2009), Döviz Kuru Belirsizliğinin İhracata Etkisi: Türkiye İçin Bir Uygulama, Yönetim ve Ekonomi, 16(2), 95-105.
  • TATOĞLU, F. Y., (2009), Reel Efektif Döviz Kurunun Durağanlığının Yapısal Kırılmalı Panel Birim Kök Testleri Kullanılarak Sınanması, Doğuş Üniversitesi Dergisi, 10(2), 310-323.
  • TAYLOR, A. M. ve TAYLOR, M. P. (2004), The Purchasing Power Parity Debate, Journal of Economic Perspectives, 18, 135–158.
  • TAYLOR, M. P. (1995), The Economics of Exchange Rates, Journal of Economic Literature, 33(1), 13-47.
  • TAYLOR, M. P. (2003), Purchasing Power Parity, Review of International Economics, 11, 436-452.
  • TAYLOR, M. P. (2006), Real Exchange Rates and Purchasing Power Parity: Mean-Reversion in Economic Thought, Applied Financial Economics, 16:1-2, 1-17.
  • TAYLOR, M. P. ve SARNO, L. (1998). The Behavior of Real Exchanges During The Post- Bretton Woods Period, Journal of International Economics, 46, 281–312.
  • TCMB (2013), Parasal Aktarım, 30 Nisan 2017, Türkiye Cumhuriyet Merkez Bankası http://www.tcmb.gov.tr/wps/wcm/connect/8cdd0f38-142f-493b-b489-bdc0111491bb/ParasalAktarim.pdf?MOD=AJPERES adresinden alınmıştır.
  • TELATAR, E., ve HASANOV, M. (2009), Purchasing Power Parity in Transition Economies: Evidence From The Commonwealth of Independent States, Post-Communist Economies, 21(2), 157-173.
  • TURGUTLU, E. (2004), Fisher Hipotezinin Tutarlılığının Testi: Parçalı Durağanlık Ve Parçalı Koentegrasyon Analizi, DEÜ İİBF Dergisi, 19(2), 55-75.
  • TÜİK (2008), Satınalma Gücü Paritesi Sorularla Resmi İstatistikler Dizisi, 4, 1-64.
  • YILDIRIM, K., MERCAN, M., ve KOSTAKOĞLU, F. S. (2013). Satın Alma Gücü Paritesinin Test Edilmesi: Zaman Serisi ve Panel Veri Analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 8(3), 75-95.
There are 50 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Research Articles
Authors

Harun Kaya 0000-0003-4795-3872

İsmail Çelik 0000-0002-6330-754X

Publication Date June 30, 2018
Submission Date March 15, 2018
Published in Issue Year 2018 Volume: 5 Issue: 2

Cite

APA Kaya, H., & Çelik, İ. (2018). TÜRKİYE’DE SATIN ALMA GÜCÜ PARİTESİ HİPOTEZİNİN GEÇERLİLİĞİ: UZUN HAFIZA TESTLERİNDEN KANITLAR. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, 5(2), 351-365. https://doi.org/10.30798/makuiibf.406276