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Journals / Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi / 2015 / Cilt: 15 - Sayı: 4

AN EMPRICAL ANALYSIS ON AS TO WHETHER PURCHASING POWER PARITY THEORY IS AN EXCHANGE RATE DETERMINATION MODEL: THE CASE OF TURKEY

SATINALMA GÜCÜ PARİTESİ TEORİSİNİN DÖVİZ KURU BELİRLEME MODELİ OLABİLİRLİĞİ ÜZERİNE AMPİRİK BİR İNCELEME: TÜRKİYE ÖRNEĞİ

Ahmet GÜNEY
Halil TUNALI
Pages
1–34
Publication Date
2022-10-11
DOI
—
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AI Summary & Key Takeaways

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

On the other hand, cointegration and unit root tests (with constant) results show that only PPI-based analyses are in favour of PPP.

📌 3 Key Takeaways

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Objective & Hypothesis:In this study, validity of Purchasing Power Parity (PPP) theory for the USD/TL exchange rates is tested for the period of 1990:01-2014:12.
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Key Findings & Data:Firstly, to exhibit whether the PPP is a valid exchange rate determination model in Turkey.
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Conclusion & Impact:On the other hand, cointegration and unit root tests (with constant) results show that only PPI-based analyses are in favour of PPP.
🔬Design:Modeling & Simulation
📍Scope:2014 Verileri
⚙️Variables:Domain Parameters

Abstract

In this study, validity of Purchasing Power Parity (PPP) theory for the USD/TL exchange rates is tested for the period of 1990:01-2014:12. The study has two main objectives. Firstly, to exhibit whether the PPP is a valid exchange rate determination model in Turkey. And secondly, to demonstrate whether or not price index preferences and used econometric methods affect the validity of PPP. In this context, for the Consumer Price Index (CPI) - Based Real Exchange Rate and Producer Price Index (PPI) - Based Real Exchange Rate ADF, DF-GLS and PP unit root tests, and for the nominal exchange rate and intercountry price differences Engel-Grange (1987) and Johansen (1988) cointegration tests are applied. Results of unit root tests (with constant+trend) indicate that PPP is not a valid approach for either the CPI or the PPI. On the other hand, cointegration and unit root tests (with constant) results show that only PPI-based analyses are in favour of PPP. Considering the results, although it displays short-term fluctuations PPP is a valid theory for USD/TL exchange rates in the long-run, in other words, it presents a general tendency for exchange rate movements

Özet

Bu çalışmada, 1990:01-2014:12 dönemi USD/TL döviz kuru için satınalma gücü paritesi teorisinin geçerliliği test edilmiştir. Çalışmanın iki temel amacı bulunmaktadır. İlk olarak, Türkiye'de PPP'nin geçerli bir döviz kuru belirleme modeli olup olmadığını tespit etmek. İkinci olarak ise, fiyat endeks tercihlerinin ve kullanılan ekonometrik yöntemlerin PPP'nin geçerliliğini etkileyip etkilemediğini ortaya koymaktır. Bu kapsamda, Tüketici ve Üretici Fiyat Endeksine dayalı reel döviz kuru için; ADF, DF-GLS ve PP birim kök testleri ve nominal döviz kuru ve ülkeler arası fiyat farkı değişkenleri için Engle-Granger (1987) ve Johansen (1988) koentegrasyon testleri uygulanmıştır. Birim kök test sonuçları (sabitli+trendli), Türkiye'de PPP'nin hem üretici fiyat endeksine göre geçersiz bir yaklaşım olduğunu göstermiştir. Diğer taraftan koentegrasyon ve birim kök testleri (sabitli) ise, sadece PPI'a dayalı analizlerin PPP lehine sonuçlar verdiğini göstermiştir. Bu sonuçlar altında PPP'nin, her nekadar kısa dönemli sapmalar gösterse de uzun dönemde USD/TL döviz kuru için geçerli bir teori olduğu diğer bir ifadeyle kur hareketleri için genel bir eğilim sunduğu düşünülmektedir

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Cite This Article

GÜNEY, A., TUNALI, H. (2022). AN EMPRICAL ANALYSIS ON AS TO WHETHER PURCHASING POWER PARITY THEORY IS AN EXCHANGE RATE DETERMINATION MODEL: THE CASE OF TURKEY. Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt: 15 - Sayı: 4, 1–34. https://ajindex.com/articles/426907

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