THE VALIDITY OF PURCHASING POWER PARITY: THE CASE OF OECD COUNTRIES

Year 2021, , 1 - 13, 31.12.2021

Nuran Coşkun Esra Ballı

https://doi.org/10.11611/yead.607442

Cited By: 1

Abstract

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

Keywords

Purchasing Power Parity, Nominal Exchange Rate, Monetary Policy, Real exchange rate, OECD Countries

SATIN ALMA GÜCÜ PARİTESİNİN GEÇERLİLİĞİNİN SINANMASI: OECD ÜLKELERİ ÖRNEĞİ

Abstract

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.

Keywords

Satın Alma Gücü Paritesi, Nominal Döviz Kuru, Para Politikası, Reel Döviz Kuru, OECD Ülkeleri

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