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Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi

Yıl 2019, Cilt: 14 Sayı: 53, 21 - 30, 31.01.2019

Oktay Kızılkaya , Faruk Mike

Öz

Bu çalışma, satınalma
gücü paritesinin uzun dönemli geçerliliğini, reel döviz kurlarına yönelik
Fourier durağanlık analizi ile test etmeyi amaçlamaktadır. Fourier yaklaşımı
ile yapısal kırılmalar, kademeli (gradual) ve yumuşak (smooth) bir süreç olarak
modellenmiştir. Dünya Bankası ülke sınıflandırılmasından hareket edilerek,
yüksek gelir grubu 23, üst-orta gelir grubu 30, düşük-orta gelir grubu 30 ve
düşük gelir grubu 9 ülke olmak üzere, toplam 92 ülke için 1995:1-2017:2 dönemi
çeyreklik veriler kullanılarak analizler gerçekleştirilmiştir. Elde edilen
bulgular 8 yüksek gelirli ülke, 5 üst-orta gelirli ülke, 8 düşük-orta gelirli ülke
ve 3 düşük gelirli ülke için satınalma gücü paritesinin geçerli olduğunu
göstermektedir.

Anahtar Kelimeler

Satınalma Gücü Paritesi Reel Döviz Kuru Fourier Yaklaşımı Durağanlık Testi

Kaynakça

  • Aslan, Ö. & Koralp, L. 2009. “Are Real Exchange Rates Mean Reverting? Evidence from a Panel of OECD Countries”. Applied Economics Letters, 16, 23–27.
  • Balassa, B. 1964. “The Purchasing-Power Parity Doctrine: A Reappraisal”. The Journal of Political Economy, 72(6), 584-596.
  • Becker, R., Enders, W. and Lee, J. 2006 “A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381–409.
  • Cassel, G. 1916. “The Present Situation of the Foreign Exchanges”. The Economic Journal, 26(103), 319-323.
  • Cassel, G. 1918. “Abnormal Deviations in International Exchanges”. The Economic Journal, 28(112), 413-415.
  • Chang, H. L., Liu, D. C. & Su, C. W. 2012. “Purchasing Power Parity with Flexible Fourier Stationary Test for Central and Eastern European Countries”. Applied Economics, 44(32), 4249-4256.
  • Chang, H. L. & Su, C. W. 2010. “Revisiting Purchasing Power Parity for Major OPEC Countries: Evidence Based on Nonlinear Panel Unit-Root Tests”. Applied Economics Letters, 17, 1119–1123.
  • Chang, T., Liu, W. C.,Tzeng, H. W. & Yu, C. P. 2010. “Purchasing Power Parity for G-7 Countries: Panel SURADF Tests”. Applied Economics Letters, 17, 1223–1228.
  • Chang, T. & Tzeng, H. W. 2013. “Purchasing Power Parity in Nine Transition Countries: Panel SURKSS Test”. International Journal of Finance Economics, 18, 74–81.
  • Dornbusch, R. 1985. “Purchasing Power Parity”. NBER Working Paper Series, No. 1591, 1-34.
  • Enders, W., ve J. Lee. 2012. “A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks” Oxford Bulletin of Economics and Statistics, 74 (4): 574–599.
  • Frenkel, J. A. 1978. “Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s”. Journal of International Economics, 8, 169-191.
  • Guloglu, B. Ispir, S. & Okat, D. 2011. “Testing the Validity of Quasi PPP Hypothesis: Evidence from a Recent Panel Unit Root test with Structural Breaks”. Applied Economics Letters, 18, 1817–1822.
  • He, H., Chou, M. C. & Chang, T. 2014. “Purchasing Power Parity for 15 Latin American Countries: Panel SURKSS Test with a Fourier Function”. Economic Modelling, 36, 37–43
  • He, H., Ranjbar, O. & Chang, T. 2013. “Purchasing Power Parity in Transition Countries: Old Wine with New Bottle”. Japan and the World Economy 28, 24–32.
  • Hoarau, J. F. 2010. “Does Long-Run Purchasing Power Parity Hold in Eastern and Southern African Countries? Evidence from Panel Data Stationary Tests with Multiple Structural Breaks”. International Journal of Finance and Economics, 15, 307-315.
  • Huang, C. H. & Yang, C. Y. 2015. “European Exchange Rate Regimes and Purchasing Power Parity: An Empirical Study on Eleven Eurozone Countries”. International Review of Economics and Finance, 35, 100–109.
  • Jiang, C., Jian, N., Liu, T. Y. & Su, C. W. 2016. “Purchasing Power Parity and Real Exchange Rate in Central Eastern European Countries”. International Review of Economics and Finance, 44, 349–358.
  • Kalyoncu, H. 2009. “New Evidence of the Validity of Purchasing Power Parity from Turkey”. Applied Economics Letters, 2009, 16, 63–67.
  • Karagöz, K. & Saraç, T. B. 2016. “Testing the Validity of PPP Theory for Turkey: Nonlinear Unit Root Testing”. Procedia Economics and Finance, 38, 458-467.
  • Karlsson, H. K., Mansson, K. & Sjölander, P. 2017. “Investigation of the Nonlinear Behaviour in Real Exchange Rates in Developing Regions”. Applied Economics Letters, 1-5.
  • Keynes, J. M. 1924. A Tract on Monetary Reform. London: MacMillan and Co., Limited.
  • Krugman, P. R. & Obstfeld, M. 2009. International Economics: Theory & Policy (8th ed.). Boston: Pearson Education, Inc.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. 1992 “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?”, Journal of Econometrics, 54, 1–3.
  • Liu, Y. S., Su, C. W. & Zhu. M. N. 2011. “Purchasing Power Parity with Threshold Effects for Central and Eastern European Countries”. Applied Economics Letters, 18, 1801-1806.
  • Melvin, M. & Norrbin, S. C. 2013. International Money and Finance (8th ed.). UK: Elsevier.
  • Mike, F. 2018. “Gelişen Piyasa Ekonomilerinde Satınalma Gücü Paritesinin Geçerliliğinin Test Edilmesi”. Finans Politik & Ekonomik Yorumlar, 55(637), 7-30.
  • Narayan, P. K. 2005. “New Evidence on Purchasing Power Parity from 17 OECD Countries”. Applied Economics, 37, 1063-1071.
  • Officier, L. H. 1976. “The Purchasing-Power-Parity Theory of Exchange Rates: A Review Article”. International Monetary Fun Staff Papers, 1-60.
  • Oskoee, M. B., Chang, T., Chen, T. H. & Tzeng, H. W. 2016. “Quantile Unit Root Test and the PPP in Africa”. Applied Economics, 1-9.
  • Oskoee, M. B., Chang, T., Elmi, Z., Gelan, A. & Ranjbar, O. 2018. “Non-linear Quantile Unit Root Test and PPP: More Evidence from Africa”. Applied Economics Letters, 1-7.
  • Oskoee, M. B., Chang, T. & Lee, K. C. 2016. “Panel Asymmetric Nonlinear Unit Root Test and PPP in Africa”. Applied Economics Letters, 23(8), 554-558.
  • Oskoee, M. B., Chang, T. & Liu, W. C. 2014. “Revisiting Purchasing Power Parity in 34 OECD Countries: Sequential Panel Selection Method”. Applied Economics Letters, 21(18), 1283-1287.
  • Oskoee, M. B., Kutan, A. M. & Zhou, S. 2009. “Towards Solving the PPP Puzzle: Evidence from 113 Countries”. Applied Economics, 41, 3057–3066.
  • Papell, D. H. & Prodan, R. 2006. “Additional Evidence of Long-Run Purchasing Power Parity with Restricted Structural Change”. Journal of Money, Credit and Banking, 38(5), 1329-1349.
  • Peng, H., Liu, Z. & Chang, T. 2017. “Revisiting Purchasing Power Parity in BRICS Countries Using More Powerful Quantile Unit-Root Tests with Stationary Covariates”. Communications in Statistics-Theory and Methods, 46(20), 10051-10057.
  • Pilbeam, K. 2006. International finance (3th ed.). New York: Palgrave MacMillan.
  • Samuelson, P. A. 1964. “Theoretical Notes on Trade Problems”. The Review of Economics and Statistics, 46(2), 145-154.
  • Sarno, L. & Taylor, M. P. 1998. “Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion”. Economics Letters, 60, 131–137.
  • Sarno, L. & Taylor, M. P. 2002. The Economics of Exchange Rates. UK: Cambridge University Press.
  • Serletis, A. & Zimonopoulos, G. 1997. “Breaking Trend Functions in Real Exchange Rates: Evidence from Seventeen OECD Countries”. Journal of Macroeconomics, 19(4), 781–802.
  • Seyidoğlu, H. 2013. Uluslararası iktisat: Teori, Politika ve Uygulama (18. Baskı). İstanbul: Güzem Can Yayınlar No: 24.
  • Su, C. W., Liu, Y. S., Zhu, M. N. & Lee, K. C. 2012. “Purchasing Power Parity in Major OPEC Countries: Flexible Fourier Stationary Test”. Applied Economics Letters, 19(1), 19-24.
  • Su, C. W., Tsangyao, C. & Chang, H. L. 2011. “Purchasing Power Parity for Fifteen Latin American Countries: Stationary Test with a Fourier Function”. International Review of Economics and Finance, 20, 839–845.
  • Telatar, E. & Hasanov, M. 2009. “Purchasing Power Parity in Central and East European Countries”. Eastern European Economics, 47(5), 25-41.
  • Terborgh, G. W. 1926. “The Purchasing-Power Parity Theory”. Journal of Political Economy, 34(2), 197-208.
  • Tsong, C. C., C. F. Lee, L. J. Tsai, and T. C. Hu. 2016. “The Fourier Approximation and Testing for the Null of Cointegration” Empirical Economics, 51 (3): 1085–1113.
  • Vasconcelos, C. R. F. & Junior, L. A. L. 2016. “Validity of Purchasing Power Parity for Selected Latin American Countries: Linear and Non-linear Unit Root Tests”. EconomiA, 17, 114–125.
  • Viner, J. 1937. Studies in the Theory of International Trade. London: George Allen & Unwin Ltd.
  • Yılancı, V. & Eris, Z. A. 2013. “Purchasing Power Parity in African Countries: Further Evidence from Fourier Unit Root Tests Based on Linear and Nonlinear Models”. South African Journal of Economics, 81(1), 20-34.

Yıl 2019, Cilt: 14 Sayı: 53, 21 - 30, 31.01.2019

Oktay Kızılkaya , Faruk Mike

Öz

Kaynakça

  • Aslan, Ö. & Koralp, L. 2009. “Are Real Exchange Rates Mean Reverting? Evidence from a Panel of OECD Countries”. Applied Economics Letters, 16, 23–27.
  • Balassa, B. 1964. “The Purchasing-Power Parity Doctrine: A Reappraisal”. The Journal of Political Economy, 72(6), 584-596.
  • Becker, R., Enders, W. and Lee, J. 2006 “A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381–409.
  • Cassel, G. 1916. “The Present Situation of the Foreign Exchanges”. The Economic Journal, 26(103), 319-323.
  • Cassel, G. 1918. “Abnormal Deviations in International Exchanges”. The Economic Journal, 28(112), 413-415.
  • Chang, H. L., Liu, D. C. & Su, C. W. 2012. “Purchasing Power Parity with Flexible Fourier Stationary Test for Central and Eastern European Countries”. Applied Economics, 44(32), 4249-4256.
  • Chang, H. L. & Su, C. W. 2010. “Revisiting Purchasing Power Parity for Major OPEC Countries: Evidence Based on Nonlinear Panel Unit-Root Tests”. Applied Economics Letters, 17, 1119–1123.
  • Chang, T., Liu, W. C.,Tzeng, H. W. & Yu, C. P. 2010. “Purchasing Power Parity for G-7 Countries: Panel SURADF Tests”. Applied Economics Letters, 17, 1223–1228.
  • Chang, T. & Tzeng, H. W. 2013. “Purchasing Power Parity in Nine Transition Countries: Panel SURKSS Test”. International Journal of Finance Economics, 18, 74–81.
  • Dornbusch, R. 1985. “Purchasing Power Parity”. NBER Working Paper Series, No. 1591, 1-34.
  • Enders, W., ve J. Lee. 2012. “A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks” Oxford Bulletin of Economics and Statistics, 74 (4): 574–599.
  • Frenkel, J. A. 1978. “Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s”. Journal of International Economics, 8, 169-191.
  • Guloglu, B. Ispir, S. & Okat, D. 2011. “Testing the Validity of Quasi PPP Hypothesis: Evidence from a Recent Panel Unit Root test with Structural Breaks”. Applied Economics Letters, 18, 1817–1822.
  • He, H., Chou, M. C. & Chang, T. 2014. “Purchasing Power Parity for 15 Latin American Countries: Panel SURKSS Test with a Fourier Function”. Economic Modelling, 36, 37–43
  • He, H., Ranjbar, O. & Chang, T. 2013. “Purchasing Power Parity in Transition Countries: Old Wine with New Bottle”. Japan and the World Economy 28, 24–32.
  • Hoarau, J. F. 2010. “Does Long-Run Purchasing Power Parity Hold in Eastern and Southern African Countries? Evidence from Panel Data Stationary Tests with Multiple Structural Breaks”. International Journal of Finance and Economics, 15, 307-315.
  • Huang, C. H. & Yang, C. Y. 2015. “European Exchange Rate Regimes and Purchasing Power Parity: An Empirical Study on Eleven Eurozone Countries”. International Review of Economics and Finance, 35, 100–109.
  • Jiang, C., Jian, N., Liu, T. Y. & Su, C. W. 2016. “Purchasing Power Parity and Real Exchange Rate in Central Eastern European Countries”. International Review of Economics and Finance, 44, 349–358.
  • Kalyoncu, H. 2009. “New Evidence of the Validity of Purchasing Power Parity from Turkey”. Applied Economics Letters, 2009, 16, 63–67.
  • Karagöz, K. & Saraç, T. B. 2016. “Testing the Validity of PPP Theory for Turkey: Nonlinear Unit Root Testing”. Procedia Economics and Finance, 38, 458-467.
  • Karlsson, H. K., Mansson, K. & Sjölander, P. 2017. “Investigation of the Nonlinear Behaviour in Real Exchange Rates in Developing Regions”. Applied Economics Letters, 1-5.
  • Keynes, J. M. 1924. A Tract on Monetary Reform. London: MacMillan and Co., Limited.
  • Krugman, P. R. & Obstfeld, M. 2009. International Economics: Theory & Policy (8th ed.). Boston: Pearson Education, Inc.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. 1992 “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?”, Journal of Econometrics, 54, 1–3.
  • Liu, Y. S., Su, C. W. & Zhu. M. N. 2011. “Purchasing Power Parity with Threshold Effects for Central and Eastern European Countries”. Applied Economics Letters, 18, 1801-1806.
  • Melvin, M. & Norrbin, S. C. 2013. International Money and Finance (8th ed.). UK: Elsevier.
  • Mike, F. 2018. “Gelişen Piyasa Ekonomilerinde Satınalma Gücü Paritesinin Geçerliliğinin Test Edilmesi”. Finans Politik & Ekonomik Yorumlar, 55(637), 7-30.
  • Narayan, P. K. 2005. “New Evidence on Purchasing Power Parity from 17 OECD Countries”. Applied Economics, 37, 1063-1071.
  • Officier, L. H. 1976. “The Purchasing-Power-Parity Theory of Exchange Rates: A Review Article”. International Monetary Fun Staff Papers, 1-60.
  • Oskoee, M. B., Chang, T., Chen, T. H. & Tzeng, H. W. 2016. “Quantile Unit Root Test and the PPP in Africa”. Applied Economics, 1-9.
  • Oskoee, M. B., Chang, T., Elmi, Z., Gelan, A. & Ranjbar, O. 2018. “Non-linear Quantile Unit Root Test and PPP: More Evidence from Africa”. Applied Economics Letters, 1-7.
  • Oskoee, M. B., Chang, T. & Lee, K. C. 2016. “Panel Asymmetric Nonlinear Unit Root Test and PPP in Africa”. Applied Economics Letters, 23(8), 554-558.
  • Oskoee, M. B., Chang, T. & Liu, W. C. 2014. “Revisiting Purchasing Power Parity in 34 OECD Countries: Sequential Panel Selection Method”. Applied Economics Letters, 21(18), 1283-1287.
  • Oskoee, M. B., Kutan, A. M. & Zhou, S. 2009. “Towards Solving the PPP Puzzle: Evidence from 113 Countries”. Applied Economics, 41, 3057–3066.
  • Papell, D. H. & Prodan, R. 2006. “Additional Evidence of Long-Run Purchasing Power Parity with Restricted Structural Change”. Journal of Money, Credit and Banking, 38(5), 1329-1349.
  • Peng, H., Liu, Z. & Chang, T. 2017. “Revisiting Purchasing Power Parity in BRICS Countries Using More Powerful Quantile Unit-Root Tests with Stationary Covariates”. Communications in Statistics-Theory and Methods, 46(20), 10051-10057.
  • Pilbeam, K. 2006. International finance (3th ed.). New York: Palgrave MacMillan.
  • Samuelson, P. A. 1964. “Theoretical Notes on Trade Problems”. The Review of Economics and Statistics, 46(2), 145-154.
  • Sarno, L. & Taylor, M. P. 1998. “Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion”. Economics Letters, 60, 131–137.
  • Sarno, L. & Taylor, M. P. 2002. The Economics of Exchange Rates. UK: Cambridge University Press.
  • Serletis, A. & Zimonopoulos, G. 1997. “Breaking Trend Functions in Real Exchange Rates: Evidence from Seventeen OECD Countries”. Journal of Macroeconomics, 19(4), 781–802.
  • Seyidoğlu, H. 2013. Uluslararası iktisat: Teori, Politika ve Uygulama (18. Baskı). İstanbul: Güzem Can Yayınlar No: 24.
  • Su, C. W., Liu, Y. S., Zhu, M. N. & Lee, K. C. 2012. “Purchasing Power Parity in Major OPEC Countries: Flexible Fourier Stationary Test”. Applied Economics Letters, 19(1), 19-24.
  • Su, C. W., Tsangyao, C. & Chang, H. L. 2011. “Purchasing Power Parity for Fifteen Latin American Countries: Stationary Test with a Fourier Function”. International Review of Economics and Finance, 20, 839–845.
  • Telatar, E. & Hasanov, M. 2009. “Purchasing Power Parity in Central and East European Countries”. Eastern European Economics, 47(5), 25-41.
  • Terborgh, G. W. 1926. “The Purchasing-Power Parity Theory”. Journal of Political Economy, 34(2), 197-208.
  • Tsong, C. C., C. F. Lee, L. J. Tsai, and T. C. Hu. 2016. “The Fourier Approximation and Testing for the Null of Cointegration” Empirical Economics, 51 (3): 1085–1113.
  • Vasconcelos, C. R. F. & Junior, L. A. L. 2016. “Validity of Purchasing Power Parity for Selected Latin American Countries: Linear and Non-linear Unit Root Tests”. EconomiA, 17, 114–125.
  • Viner, J. 1937. Studies in the Theory of International Trade. London: George Allen & Unwin Ltd.
  • Yılancı, V. & Eris, Z. A. 2013. “Purchasing Power Parity in African Countries: Further Evidence from Fourier Unit Root Tests Based on Linear and Nonlinear Models”. South African Journal of Economics, 81(1), 20-34.
Toplam 50 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Oktay Kızılkaya

Faruk Mike

Yayımlanma Tarihi 31 Ocak 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 14 Sayı: 53

Kaynak Göster

APA Kızılkaya, O., & Mike, F. (2019). Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi. Yaşar Üniversitesi E-Dergisi, 14(53), 21-30.
AMA Kızılkaya O, Mike F. Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi. Yaşar Üniversitesi E-Dergisi. Ocak 2019;14(53):21-30.
Chicago Kızılkaya, Oktay, ve Faruk Mike. “Reel Döviz Kurlarının Fourier Durağanlık Analizi Ile Test Edilmesi”. Yaşar Üniversitesi E-Dergisi 14, sy. 53 (Ocak 2019): 21-30.
EndNote Kızılkaya O, Mike F (01 Ocak 2019) Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi. Yaşar Üniversitesi E-Dergisi 14 53 21–30.
IEEE O. Kızılkaya ve F. Mike, “Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi”, Yaşar Üniversitesi E-Dergisi, c. 14, sy. 53, ss. 21–30, 2019.
ISNAD Kızılkaya, Oktay - Mike, Faruk. “Reel Döviz Kurlarının Fourier Durağanlık Analizi Ile Test Edilmesi”. Yaşar Üniversitesi E-Dergisi 14/53 (Ocak 2019), 21-30.
JAMA Kızılkaya O, Mike F. Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi. Yaşar Üniversitesi E-Dergisi. 2019;14:21–30.
MLA Kızılkaya, Oktay ve Faruk Mike. “Reel Döviz Kurlarının Fourier Durağanlık Analizi Ile Test Edilmesi”. Yaşar Üniversitesi E-Dergisi, c. 14, sy. 53, 2019, ss. 21-30.
Vancouver Kızılkaya O, Mike F. Reel Döviz Kurlarının Fourier Durağanlık Analizi ile Test Edilmesi. Yaşar Üniversitesi E-Dergisi. 2019;14(53):21-30.
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