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SATIN ALMA GÜCÜ PARİTESİNİN BRICS ÜLKELERİ İÇİN DOĞRUSAL OLMAYAN BİRİM KÖK TESTİ İLE SINANMASI

TESTING THE VALIDITY OF PURCHASING POWER PARITY FOR BRICS COUNTRIES USING NON-LINEAR UNIT ROOT TEST

Journal Name:

  • Akademik Araştırmalar ve Çalışmalar Dergisi

Publication Year:

  • 2015

Key Words:

Keywords (Original Language):

Author NameUniversity of Author
Abstract (2. Language): 
The main aim of this paper is to investigate the validity of the purchasing power parity (PPP) hypothesis for BRICS countries, by using both Kapetanios et al. (KSS) and rolling KSS unit root tests. By adopting the rolling unit root test, the study aims to determine episodic characteristics of the real exchange rates. The results of the KSS unit root test show that the PPP hypothesis is not valid for the entire countires. On the other hand, the study has found evidence of the validity of PPP for only short time of periods by using rolling KSS.
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Abstract (Original Language): 
Bu çalışmanın amacı satın alma gücü paritesini (SGP) BRICS ülkeleri için hem KSS hem de yuvarlanan KSS yöntemlerini kullanarak test etmektir. Çalışmada yuvarlanan KSS birim kök testini kullanarak, reel döviz kurunun dönemsel karakteristiklerini tespit etmeyi amaçlıyoruz. KSS birim kök testinin sonucunda SGP hipotezinin bütün BRICS ülkeleri için geçersiz olduğu tespit edilmiştir. Diğer taraftan, yuvarlanan KSS birim kök testi ile kısa zaman aralıklarında ülkelerde SGP’nin geçerli olduğu tespit edilmiştir.
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REFERENCES

References: 

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International Monetary Fund (2014) Annual Report on Exchange Arrangements and Exchange Restirictions.

Kapetanios, G.; Shin, Y.; Snell, A. (2003) Testing for a Unit Root in The Nonlinear STAR Framework, Journal of Econometrics, 112, 359-379.

Sarno, L.; Taylor, M.P. (2001) Purchasing Power Parity and The Real Exchange Rate, Center for Economic Policy Research, Discussion Paper No. 2913, London, UK.

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