SavedAdd your journal

Journals / Business and Economics Research Journal / 2018 / Cilt: 9 - Sayı: 4

The Validity of Purchasing Power Parity Hypothesis in E-7 Countries: Panel Data Analysis

ALİ ALTINER
EDA BOZKURT
Pages
735–747
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Then, the validity of PPPhypothesis was tested using SURADF (Seemingly Unrelated Augmented Dickey Fuller)panel unit root test developed by Breuer et al. (2001) and Carrion-i-Silvestre et al. (2005)panel unit root test (PANKPSS), which takes the structural breaks into consideration.According to the results of SURADF test, it was determined that the PPP is holds only inRussia and Turkey, but not in the other countries.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The exchange rates are one of the most important macroeconomic variablesinfluencing the economic activities of any country such as foreign trade, money andcapital markets.
📊
Key Findings & Data:From this aspect, examining the changes in exchange rates, which areconsidered as one of the indicators of economic stability, is of significant importance.The aim of this study is to test the purchasing power parity (PPP) hypothesis for E-7countries between 1994 and 2017.
💡
Conclusion & Impact:Then, the validity of PPPhypothesis was tested using SURADF (Seemingly Unrelated Augmented Dickey Fuller)panel unit root test developed by Breuer et al. (2001) and Carrion-i-Silvestre et al. (2005)panel unit root test (PANKPSS), which takes the structural breaks into consideration.According to the results of SURADF test, it was determined that the PPP is holds only inRussia and Turkey, but not in the other countries.
🔬Design:Research Article
📍Scope:2017 Verileri
⚙️Variables:Domain Parameters

Özet

The exchange rates are one of the most important macroeconomic variablesinfluencing the economic activities of any country such as foreign trade, money andcapital markets. From this aspect, examining the changes in exchange rates, which areconsidered as one of the indicators of economic stability, is of significant importance.The aim of this study is to test the purchasing power parity (PPP) hypothesis for E-7countries between 1994 and 2017. Within the scope of this analysis, firstly thedependence between the cross-sections was examined. Then, the validity of PPPhypothesis was tested using SURADF (Seemingly Unrelated Augmented Dickey Fuller)panel unit root test developed by Breuer et al. (2001) and Carrion-i-Silvestre et al. (2005)panel unit root test (PANKPSS), which takes the structural breaks into consideration.According to the results of SURADF test, it was determined that the PPP is holds only inRussia and Turkey, but not in the other countries. According to the results of PANKPSSunit root test considering the structural breaks, however, it was found that PPP is holdsin all the countries.

🔖

Cite This Article

ALTINER, A., BOZKURT, E. (2018). The Validity of Purchasing Power Parity Hypothesis in E-7 Countries: Panel Data Analysis. Business and Economics Research Journal, Cilt: 9 - Sayı: 4, 735–747. https://ajindex.com/articles/352167

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (13)

  1. Ağayev, S. (2013). Satın alma gücü paritesi hipotezinin Kazakistan için geçerliliği. International Conference on Eurasian Economies, 372. Alba, J. D., & Park, D. (2005). An empirical investigation of purchasing power parity (PPP) for Turkey. Journal of Policy Modeling, 27(8), 989-1000.
  2. Aliyeva, B., & Hüseynov, A. (2017). Satın alma gücü paritesinin Azerbaycan Cumhuriyeti için geçerliliğin analizi. Yönetim, Ekonomi, Edebiyat, İslami ve Politik Bilimler Dergisi, 2(1), 73-86.
  3. Alves, D. C. O., Cati, R. C., & Fava, V. L. (2001). Purchasing power parity in Brazil: A test for fractional cointegration. Applied Economics, 33(9), 1175-1185.
  4. Aslan, N., & Kanbur, N. (2007). Türkiye’de 1980 sonrası satın alma gücü paritesi yaklaşımı. Marmara Üniversitesi İ.İ.B.F. Dergisi, 23 (2), 9-43.
  5. Bahmani-Oskooee, M. (1995). Real effective exchange rates and the purchasing power parity: Experiences of 19 industrial countries. Economic Notes, 24, 239-250.
  6. Bahmani-Oskooee, M. (1998). Do exchange rates follow a random walk process in Middle Eastern countries? Economics Letters, 58(3), 339-344.
  7. Baum C. F., Barkoluas, J. T., & Çağlayan M. (1999). Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float? Journal of International Financial Markets Intuitions and Money, 9(4), 359-376. Bjørnland, H. C., & Hungnes, H. (2002). Fundamental determinants of the long run real exchange rate: The case of Norway. Memorandum. Department of Economics University of Oslo, Working Paper, 23, 1.36. Bozoklu, Ş., & Yılancı, V. (2010). Reel döviz kurlarının durağanlığı: E7 ülkeleri için ampirik bir inceleme. Maliye Dergisi, 158, 587-606.
  8. Breuer, B., Mcnown, R., & Wallace, M. (2002). Series specific unit root test with panel data. Oxford Bulletin of Economics and Statistics, 64(5), 527-546.
  9. Breuer, J. B., McNown, R., & Wallace, M. (2001). Misleading inferences from panel unit root tests with an illustration from purchasing power parity. Review of International Economics, 9, 482–93.
  10. Carrion-i-Silvestre, J. L. (2005). Health care expenditure and GDP: Are they broken stationary? Journal of Health Economics, 24(5), 939-854.
  11. Carrion-i-Silvestre, J. L., Barrio-Castro, T. D., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8(2), 159-175.
  12. Cevıs, I., Ceylan, R. (2015). Kırılgan beşlide satın alma gücü paritesi (SAGP) hipotezinin test edilmesi. Journal of Yaşar University, 10(37), 6381-6393.
  13. Coakley, J., & F