İstikrarlılık ve Eşbütünleşme Testleri ile Satın Alma Gücü Paritesi Hipotezinin Türkiye Ekonomisi için Sınanması

Yıl 2017, Cilt: 19 Sayı: 3, 998 - 1020, 29.12.2017

Almıla Burgaç Çil Fikret Dülger

Öz

Bu çalışmanın amacı, Maki (2012)’de Amerika Birleşik Devletleri para
talebi tahmini için kullanılan dört modelden iki tanesinin (trend varken
düzeyde kırılma ve rejim değişikliği modelleri) makalede belirtilen eşitliklerle
(2 ve 3) tutarlı olmadığını, makalede kullanılan veri seti ile ortaya koymak ve
Türkiye Ekonomisi için Satın Alma Gücü Paritesi (SAGP) hipotezini test
etmektir. Seriler arasındaki istikrarlılık testi olarak Bai ve Perron (2003)’de
önerilen yöntem kullanılmış ve uzun dönem ilişkiyi belirlemek için yapısal
kırılmaların içsel olarak belirlendiği rejim değişikliği modeli Kejriwal (2008)
tarafından geliştirilen çoklu kırılmalı eşbütünleşme yöntemi kullanılarak Maki
(2012) eşbütünleşme testi sonuçlarıyla karşılaştırılmıştır. Maki (2012)
eşbütünleşme testi sonuçları SAGP hipotezini destekleyen bulgular ortaya
koymazken, Kejriwal (2008) test sonuçları SAGP hipotezini destekleyen bulgular
ortaya koymaktadır. Diğer yandan, Türkiye ekonomisinde 2001 sonrası dönemde hipotezin güçlü
formunu destekleyen bulgulara ulaşılamamıştır.

Anahtar Kelimeler

Satın Alma Gücü Paritesi, Yapısal Kırılma, İstikrarlılık, Eşbütünleşme

Testing Purchasing Power Parity Hypothesis for Turkish Economy with Stability and Cointegration Tests

Öz

Maki (2012)
extended cointegration tests with an unknown number of breaks using four models
and studied the money demand of USA. However, two of four models (level shift
with trend and and regime shift models) are not consistent with written
equation (2 and 3) in the article. In this context, the purpose of this study
is to reveal the data set used in the article and to test Purchasing Power
Parity (PPP) hypothesis for Turkish economy. The stability of the relationship
between variables is assessed by using the tests proposed by Bai ve Perron
(2003). To determine the long-run relationship, when multiple regime shifts are
identified endogenously, we test the long-run relationship by using
cointegration with multiple structural breaks proposed by Kejriwal (2008) and
Maki (2012). Maki (2012) cointegration test result does not support PPP
hypothesis while Kejriwal (2008) test results reveal evidence supporting PPP
hypothesis. On the other hand, the strong form of the PPP hypothesis is not
supported for the post-2001 period in the Turkish economy.

Anahtar Kelimeler

Purchasing Power Parity, Multiple Structural Breaks, Stability, Cointegration

Kaynakça

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