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Testing for Purchasing Power Parity in the Long Run Using Panel Unit Root Tests With Structural Breaks

Year 2007, Volume: 5 Issue: 1, 65 - 74, 13.07.2007

Ferda Yerdelen Tatoğlu

Abstract

In the last years, a lot of studies have been made on the validity of long-run purchasing power parity (PPP). The panel unit root tests prefer to include both the pooled unit root tests and the individual unit root test. In this study, real exchange rate series are used for 25 OECD countries and the validity of PPP tests for pooled and individual cases. According to the results, only Belgium and Holland exchange rate series are stationary, in other words the theory of PPP valid in the long-run in these countries. In the most OECD countries are refused the validity of PPP.

Keywords

Panel Unit Root Test Real Exchange Rate Purchasing Power Parity

References

  • Alexius A., 1998. Long Run Real Exchange Rates - A Cointegration Analysis, WP 119, Stockholm School of Economics.
  • Asea P. ve Mendoza E., 1994. Do Long Run Productivity Differentials Explain Long-Run Real Exchange Rates, IMF WP/94/60.
  • Banerjee A., 1999. Panel Data Unit Roots and Cointegration: An Overview, Oxford Bulletin of Economics and Statistics, 61 (4), 607-629.
  • Banerjee A., Marcellino M. ve Osbat C., 2003. Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data, WP, European University Institute, Italy.
  • Breitung J., 2000. The Local Power of Some Unit Root Tests for Panel Data, in B. Baltagi (Ed) Nonstationary Panels, Panel Cointegration and Dynamic Panels, Advances in Econometrics, 15, JAI, Amsterdam, 161-178.
  • Boyd D. ve Smith R., 1999. Testing for Purchasing Power Parity: Econometric Issues and an Application to Developing Countries, the Manchester School, 67 (3), 287-303.
  • Canzoneri B.M., Cumby R. ve Diba B., 1999. Relative Labour Productivity and the Real Exchange Rate in the Long-Run: Evidence for a Panel of OECD Countries, Journal of International Economics, 47 (2), 245-266.
  • Cerrato M. ve Sarantis N., 2002. Symetry, Proportionality and the Purchasing Power Parity: Evidence from Panel Cointeration Tests, WP., Centre for International Capital Markets, London Metropolitan University, UK.
  • Choi I., 2001. Unit Root Tests for Panel Data, Journal of International Money and Finance, 20, 249-272.
  • Chortareas G.E., Kapetanios G. ve Shin Y., 2002. Nonlinear Mean-Reversion in Real Exchange Rates, Economics Letter, 77, 411-417.
  • Coackley J.A. ve Fuertes A.M., 2000. Is There a Base Currency Effect in Long Run PPP?, International Journal Finance and Economics, 5(4), 253-263.
  • Cuddington J. T. ve Liang H., 2000. Purchasing Power Parity over Two Centuries” Journal of International Money and Finance, 19 (5), 753-757.
  • Dinçer Nazire Nergiz, 2005. Döviz Kuru Dalgalanmalarının Asimetrik Etkisi: Türkiye Örneği, Ekonomik Modeller ve Stratejik Araştırmalar Genel Müdürlüğü, DPT Uzmanlık Tezleri, 12.
  • Froot K. ve Rogoff K., 1994. Perspectives on PPP and Long-Run Real Exchange Rates, National Bureau of Economic Research, Working Paper, 4952.
  • Handri K., 2000. Testing for Stationary in Heterogenous Panel Data, Econometrics Journal, 3(2), 148-161.
  • Hong S. ve Philips P., 2005. Testing Linearity in Cointegration Relations with an Application to Purchasing Power Parity, Cowless Foundation Discussion Paper, 1541.
  • Im K.S., Pesaran M.H. ve Shin Y., 2003, Testing for Unit Roots in Heterogeneous Panels, Journal of Econometrics, 115 (1), 53-74.
  • Kapetanios G., Shin Y. ve Snell A., 2003. Testing for a Unit Root in the Nonlinear STAR Framework, Journal of Econometrics, 112, 359-379.
  • Levin A., Lin C. ve Chu C.J., 2002. Unit Root Test with Panel Data: Asymptotic and Finite-Sample, Journal of Econometrics, 108 (1), 1-24.
  • Lothian J. ve Taylor M. P., 1996. Real Exchange Rate Behaviour: The Recent Float from Perspective of the Past Two Centuries, Journal of Political Economy, 104, 488-509.
  • MacDonald R., 1995. Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence, IMF Staff Papers, 42 (3), 437-489.
  • MacDonald R., 1996. Panel Unit Root Tests and Real Exchange Rates, Economics Letters, 50, 7-11.
  • Maddala G.S. ve Wu S., 1999. A Comperative Study of Unit Root Tests with Panel Data a New Simple Test, Oxford Bulletin of Economics and Statitics, Special Issue, 6, 631-652.
  • Mark N. C., 1990. Real and Nominal Exchanges Rates in the Long Run: An Emprical Investigation, Journal on International Economics, 28 (1/2), 115-136.
  • O’Connell P.G., 1998. The Overvaluation of Purchasing Power Parity, Journal of International Economics, 44, 1-19.
  • Oh K.J., 1996. Purchasing Power Parity and Unit Root Tests Using Panel Data, Journal of International Money and Finance, 15 (3), 405-418.
  • Pedroni P., 2004. Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis, Econometric Theory, 20, 597-625.
  • Sakallı Gülay, 2004. Optimum Para Sahası Teorisi Çerçevesinde Avrupa Parasal Birliği ve Türkiye, T.C. Başbakanlık Dış Ticaret Müsteşarlığı, [http://www.dtm.gov.tr/ead/DTDERGI/Nisan2004/optimum.htm], 07.09.2006.
  • Sarno L. ve Taylor M.P., 1998. Real Exchange Rates Under the Recent Float: Unequivocal Evidence of Mean Reversion, Economics Letter, 60(2), 131-137.
  • Shiller R. ve Perron P., 1985. Testing the Random Walk Hypothesis: Power Versus Fruquency of Observation, Economics Letter, 18, 381-386.
  • Seyidoğlu Halil, 2003. Uluslararası İktisat Teori Politika ve Uygulama, 15. Baskı, Güzem Yayınları, İstanbul.
  • Taylor M.P. ve Sarno L., 1998. The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period, Journal of International Economics, 46, 281-312.
  • Taylor M.P., Peel D.A. ve Sarno L., 2001. Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles, International Economic Review, 42, 1015-1042.
  • Wu Y., 1996. Are Real Exchange Rates Stationary? Evidence from a Panel-Data Test, Journal of Money, Credit and Banking, 28 (1), 54-63.
  • Yıldırım Oğuz, 2003. Döviz Kurları Çerçevesinde Satın Alma Gücü Paritesinin Zaman Serisi Analizi ve Türkiye Ekonomisi Uygulaması, Bankacılar Dergisi, 44, 3.

Satın Alma Gücü Paritesinin Uzun Dönemde Geçerliliğinin Panel Birim Kök Testleri ile Sınanması

Year 2007, Volume: 5 Issue: 1, 65 - 74, 13.07.2007

Ferda Yerdelen Tatoğlu

Abstract

Son yıllarda Satın Alma Gücü Paritesi (SGP) teorisinin uzun dönemde geçerliliğini sınamak için pek çok çalışma yapılmaktadır. Panel birim kök testleri, hem genel durağanlık testlerini hem de bireysel durağanlık testlerini kapsaması nedeniyle tercih edilmektedir. Bu çalışmada 25 OECD ülkesi için reel efektif döviz kuru serisi kullanılarak, hem genel hem de bireysel olarak SGP teorisinin geçerliliği sınanmıştır. Sonuçlara göre, sadece Belçika ve Hollanda’da reel döviz kuru serisi durağandır, bir başka ifade ile bu ülkelerde uzun dönemde SGP teorisi geçerlidir. Çoğu OECD ülkesinde ise, SGP’nin geçerliliği reddedilmektedir.

Keywords

Panel Birim Kök Testi Reel Döviz Kuru Satın Alma Gücü Paritesi

References

  • Alexius A., 1998. Long Run Real Exchange Rates - A Cointegration Analysis, WP 119, Stockholm School of Economics.
  • Asea P. ve Mendoza E., 1994. Do Long Run Productivity Differentials Explain Long-Run Real Exchange Rates, IMF WP/94/60.
  • Banerjee A., 1999. Panel Data Unit Roots and Cointegration: An Overview, Oxford Bulletin of Economics and Statistics, 61 (4), 607-629.
  • Banerjee A., Marcellino M. ve Osbat C., 2003. Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data, WP, European University Institute, Italy.
  • Breitung J., 2000. The Local Power of Some Unit Root Tests for Panel Data, in B. Baltagi (Ed) Nonstationary Panels, Panel Cointegration and Dynamic Panels, Advances in Econometrics, 15, JAI, Amsterdam, 161-178.
  • Boyd D. ve Smith R., 1999. Testing for Purchasing Power Parity: Econometric Issues and an Application to Developing Countries, the Manchester School, 67 (3), 287-303.
  • Canzoneri B.M., Cumby R. ve Diba B., 1999. Relative Labour Productivity and the Real Exchange Rate in the Long-Run: Evidence for a Panel of OECD Countries, Journal of International Economics, 47 (2), 245-266.
  • Cerrato M. ve Sarantis N., 2002. Symetry, Proportionality and the Purchasing Power Parity: Evidence from Panel Cointeration Tests, WP., Centre for International Capital Markets, London Metropolitan University, UK.
  • Choi I., 2001. Unit Root Tests for Panel Data, Journal of International Money and Finance, 20, 249-272.
  • Chortareas G.E., Kapetanios G. ve Shin Y., 2002. Nonlinear Mean-Reversion in Real Exchange Rates, Economics Letter, 77, 411-417.
  • Coackley J.A. ve Fuertes A.M., 2000. Is There a Base Currency Effect in Long Run PPP?, International Journal Finance and Economics, 5(4), 253-263.
  • Cuddington J. T. ve Liang H., 2000. Purchasing Power Parity over Two Centuries” Journal of International Money and Finance, 19 (5), 753-757.
  • Dinçer Nazire Nergiz, 2005. Döviz Kuru Dalgalanmalarının Asimetrik Etkisi: Türkiye Örneği, Ekonomik Modeller ve Stratejik Araştırmalar Genel Müdürlüğü, DPT Uzmanlık Tezleri, 12.
  • Froot K. ve Rogoff K., 1994. Perspectives on PPP and Long-Run Real Exchange Rates, National Bureau of Economic Research, Working Paper, 4952.
  • Handri K., 2000. Testing for Stationary in Heterogenous Panel Data, Econometrics Journal, 3(2), 148-161.
  • Hong S. ve Philips P., 2005. Testing Linearity in Cointegration Relations with an Application to Purchasing Power Parity, Cowless Foundation Discussion Paper, 1541.
  • Im K.S., Pesaran M.H. ve Shin Y., 2003, Testing for Unit Roots in Heterogeneous Panels, Journal of Econometrics, 115 (1), 53-74.
  • Kapetanios G., Shin Y. ve Snell A., 2003. Testing for a Unit Root in the Nonlinear STAR Framework, Journal of Econometrics, 112, 359-379.
  • Levin A., Lin C. ve Chu C.J., 2002. Unit Root Test with Panel Data: Asymptotic and Finite-Sample, Journal of Econometrics, 108 (1), 1-24.
  • Lothian J. ve Taylor M. P., 1996. Real Exchange Rate Behaviour: The Recent Float from Perspective of the Past Two Centuries, Journal of Political Economy, 104, 488-509.
  • MacDonald R., 1995. Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence, IMF Staff Papers, 42 (3), 437-489.
  • MacDonald R., 1996. Panel Unit Root Tests and Real Exchange Rates, Economics Letters, 50, 7-11.
  • Maddala G.S. ve Wu S., 1999. A Comperative Study of Unit Root Tests with Panel Data a New Simple Test, Oxford Bulletin of Economics and Statitics, Special Issue, 6, 631-652.
  • Mark N. C., 1990. Real and Nominal Exchanges Rates in the Long Run: An Emprical Investigation, Journal on International Economics, 28 (1/2), 115-136.
  • O’Connell P.G., 1998. The Overvaluation of Purchasing Power Parity, Journal of International Economics, 44, 1-19.
  • Oh K.J., 1996. Purchasing Power Parity and Unit Root Tests Using Panel Data, Journal of International Money and Finance, 15 (3), 405-418.
  • Pedroni P., 2004. Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis, Econometric Theory, 20, 597-625.
  • Sakallı Gülay, 2004. Optimum Para Sahası Teorisi Çerçevesinde Avrupa Parasal Birliği ve Türkiye, T.C. Başbakanlık Dış Ticaret Müsteşarlığı, [http://www.dtm.gov.tr/ead/DTDERGI/Nisan2004/optimum.htm], 07.09.2006.
  • Sarno L. ve Taylor M.P., 1998. Real Exchange Rates Under the Recent Float: Unequivocal Evidence of Mean Reversion, Economics Letter, 60(2), 131-137.
  • Shiller R. ve Perron P., 1985. Testing the Random Walk Hypothesis: Power Versus Fruquency of Observation, Economics Letter, 18, 381-386.
  • Seyidoğlu Halil, 2003. Uluslararası İktisat Teori Politika ve Uygulama, 15. Baskı, Güzem Yayınları, İstanbul.
  • Taylor M.P. ve Sarno L., 1998. The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period, Journal of International Economics, 46, 281-312.
  • Taylor M.P., Peel D.A. ve Sarno L., 2001. Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles, International Economic Review, 42, 1015-1042.
  • Wu Y., 1996. Are Real Exchange Rates Stationary? Evidence from a Panel-Data Test, Journal of Money, Credit and Banking, 28 (1), 54-63.
  • Yıldırım Oğuz, 2003. Döviz Kurları Çerçevesinde Satın Alma Gücü Paritesinin Zaman Serisi Analizi ve Türkiye Ekonomisi Uygulaması, Bankacılar Dergisi, 44, 3.
There are 35 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Research Articles
Authors

Ferda Yerdelen Tatoğlu

Publication Date July 13, 2007
Published in Issue Year 2007 Volume: 5 Issue: 1

Cite

APA Yerdelen Tatoğlu, F. (2007). Satın Alma Gücü Paritesinin Uzun Dönemde Geçerliliğinin Panel Birim Kök Testleri ile Sınanması. İstatistik Araştırma Dergisi, 5(1), 65-74.
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