Buradasınız

Anasayfa » Content

TESTING INTERNATİONAL PARITY HYPOTHESIS IN A MULTIVARIATE IDENTIFIED CO-INTEGRATING SYSTEM: THE TURKISH EVIDENCE

Journal Name:

  • İstanbul Sosyal Bilimler Dergisi

Publication Year:

  • 2008

Key Words:

Keywords (Original Language):

Author NameUniversity of Author
Abstract (2. Language): 
Bu çalışmada, çok değişkenü bîr eş-bütünleşirn modeli Türkiye ekonomisi üzerine satın alma gücü parkesi ve korunmamış faiz paritesi kuramlarının eşanh incelenmesi amacıyla oluşturulmaktadır. Tanımlanmış eş-bütünieşik vektörlerden elde edilen tahmin sonuçlan Önsel modcüeme beklentilerini desteklemekte ve her iki pari tenin birbirleri içerisine bülünleştiril meleri durumunda varlığına yönelik bulgular üretmektedir. Bununla birlikte, birbirlerinden ayrı olarak formülleştirilmeleri durumunda iki uluslar arası döviz kuru belirlenme paritesi doğrultusunda bulgu elde edilememektedir. Çalışmadan türetilen bir politika çıkarsaması, piyasa mekanizması parasal döviz kurunun uzun dönemli gelişim yolunu yakından etkiler bir şekilde gözlendiği için döviz kuru temelli istikrar programlarının iktisadi birimler tarafından İhtiyatlı bir şekilde değerlendirilmesi gerekliliği olarak özetlenebilir.
Bookmark/Search this post with
Abstract (Original Language): 
hi this paper, a multivariate co-integrating model is contracted upon the Turkish economy to examine the validity of the purchasing power parity and the uncovered interest parity theories simultaneously. Estimation results obtained from identified co-integrating vectors support a priori modelling expectations and yield evidence to the existence of both parities when integrated within each other. However, no evidence is obtained İn favor of the two international exchange rate determination parity hypotheses when formulated in isolation. A policy inference derived from the paper can be summarized such that since the market mechanisms seem to closely affect the long-run course of the nominal exchange rate, exchange rate based stabilization programs should be appreciated by economic agents in a cautious way.
FULL TEXT (PDF): 
PDF icon 10_1.pdf
  • 1
129-137
  • English

REFERENCES

References: 

BANERJEE, A., R.L. LUMSDAINE, and J.H. STOCK; (1992), "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis," Journal of Business and Economic Statistics, 10, pp. 271-87.
CAPORALE, M.G., S. KALYVITIS, and N. PITTIS; (2001), "Testing for PPP and UIP in an F1ML Framework: Some Evidence for Germany and Japan", Journal of Policy Modeling, 23, pp. 637-50.
DORNBUSCH, R; (1976), "Expectations and
Exchange Rate Dynamics", Journal of Political Economy, 84(6), pp. 1161-176.
GOKCAN, A. and E. OZMEN; (2002), "Do PPP and UIP Need Each Other in a Financially Open Economy? The Turkish Evidence", ERG Working Papers in Economics, No. 01/01.
GONZALO, J.; (1994), "Five Alternative Methods of Estimating Long-run Equilibrium
Relationships", Journal of Econometrics, 60, pp. 203-33.
GRANGER, C.W.J, and P. NEWBOLD; (1974), "Spurious Regressions in Economics", Journal of Econometrics, 2(2), pp. 111-20.
HARRIS, R.I.D.; (1995). Using Cointegration Analysis in Econometric Modelling, Prentice Hall.
JOHANSEN, S.; (1988), "Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamics and Control, 12, pp. 231-54.
JOHANSEN, S.; (1992), "Determination of Cointegration Rank in the Presence of a Linear Trend", Oxford Bulletin of Economics and Statistics, 54(3), pp. 383-97.
JOHANSEN, S.; (1995), Likelihood-based Inference in Co-integrated Vector Auto regressive Models, Oxford University Press, 1995.
JOHANSEN, S. and K. JUSELIUS; (1990), "Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money", Oxford Bulletin of Economics and Statistics, 52, pp. 169-210.
JOHANSEN, S. and K. JUSELIUS ; (1992), "Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK", Journal of Econometrics, 53, pp. 211-44.
JUSELIUS, K.; (1995), "Do Purchasing Power Parity and Uncovered Interest Rate Parity Hold in the
Long Run? An Example of Likelihood Inference in a Multivariate Time-series Model", Journal of Econometrics, 69, pp. 211-40.
MACDONALD, R.; (2000), "Concepts to Calculate Equilibrium Exchange Rates: An Overview", Economic Research Group of the Deutsche Bundesbank Discussion Paper, No. 3/00.
PERRON, P.; (1989). "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis", Econometrica, 57, pp. 1361-1401.
PERRON, P.; (1990). "Testing for a Unit Root in a Time Series with Changing Mean", Journal of Business and Economic Statistics, 8, pp. 153¬62.
ZIVOT, E. and D.W.K. ANDREWS; (1992), "Further Evidence of Great Crash, the Oil Price Shock and the Unit Root Hypothesis", Journal of Business and Economic Statistics, 10, pp. 251¬70.

Thank you for copying data from http://www.arastirmax.com