OECD Ülkelerinde Satın Alma Gücü Paritesinin İncelenmesi: Doğrusal Olmayan Yapısal Kırılmalı Birim Kök Testinden Yeni Kanıtlar

Yıl 2023, Cilt: 31 Sayı: 57, 25 - 45, 26.07.2023

Mehmet Sedat Uğur , Ali Eren Alper

https://doi.org/10.17233/sosyoekonomi.2023.03.02

Cited By: 1

Öz

Bu çalışma, 1994:M1-2021:M9 döneminde 38 OECD üyesi ülke için satın alma gücü paritesi (SAGP) hipotezini Hepsağ (2021) birim kök testi ile incelemeyi amaçlamaktadır. OECD ülkelerinin tamamı için hem yapısal değişimi hem de doğrusal olmamayı dikkate alan birim kök testi ile yapılan ilk çalışmalardan biri olması nedeniyle literatürdeki boşluğu doldurmaktadır. Çalışmada ADF, KPSS gibi geleneksel ve Fourier KPSS gibi sadece yapısal değişime izin veren birim kök testleri SAGP hipotezinin geçerliliğine ilişkin çelişkili sonuçlar vermiştir. Hepsağ (2021) test sonuçlarına göre reel efektif döviz kurlarının seviyede durağan tespit edildiği Finlandiya, Fransa, Almanya, Yunanistan, Macaristan, İzlanda, İtalya, Japonya, Kore, Litvanya, Lüksemburg, Meksika, Norveç, Slovakya, Slovenya, İspanya, İsviçre, Türkiye ve ABD’de SAGP hipotezinin geçerli olduğu belirlenmiştir.

Anahtar Kelimeler

Reel Efektif Döviz Kurları, OECD, Satın Alma Gücü Paritesi, Doğrusal Olmama, Yapısal Değişim, Birim Kök

Revisiting Purchasing Power Parity in OECD Countries: New Evidence from Nonlinear Unit Root Test with Structural Breaks

Öz

This study aims to investigate the purchasing power parity (PPP) hypothesis for 38 OECD member countries over the period 1994:M1-2021:M9 by performing Hepsag’s (2021) unit root test. It fills the gap in the literature since it is one of the first studies conducted performing a unit root test that considers structural change and nonlinearity for all OECD countries. The study, in which conventional unit root tests such as the ADF, KPSS, and the Fourier KPSS, which allow merely structural change, yield conflicting results regarding the validity of the PPP hypothesis, determines that the PPP hypothesis is valid for countries with stationary real effective exchange rates at the level such as Finland, France, Germany, Greece, Hungary, Iceland, Italy, Japan, Korea, Lithuania, Luxembourg, Mexico, Norway, Slovakia, Slovenia, Spain, Switzerland, Turkey, and the USA according to Hepsag’s (2021) unit root test results.

Anahtar Kelimeler

Real Effective Exchange Rates, OECD, Purchasing Power Parity, Nonlinearities, Structural Break, Unit Root

Kaynakça

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