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Journals / İ M K B Dergisi / 2007 / Cilt: 9 - Sayı: 35

Purchasing Power Parity and Arıma Models in Forecasting Exchange Rates: The Case of Turkey

Döviz Kurları Öngörüsünde Satınalma Gücü Paritesi ve Arıma Modelleri: Türkiye Örneği

Hasan VERGİL
Filiz ÖZKAN
Pages
41–55
Publication Date
2022-10-18
DOI
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AI Summary & Key Takeaways

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

The conclusions based on the error terms statistics and the regression coefficients suggest that, compared to the PPP models, the ARIMA models have better forecasting powers.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study aims to forecast the exchange rates of Turkey by using the Purchasing Power Parity theory (PPP) and its competitor the ARIMA models and compare their forecasting powers.
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Key Findings & Data:In doing so, the models are estimated using the monthly real exchange rate data between Turkish Lira and Turkey's five biggest trading partners (The USA, Germany, England, France and Italy) for the period 1980-2003 and using the monthly real exchange rate data between Turkish Lira and European Union for the period 1999-2005.
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Conclusion & Impact:The conclusions based on the error terms statistics and the regression coefficients suggest that, compared to the PPP models, the ARIMA models have better forecasting powers.
🔬Design:Modeling & Simulation
📍Scope:2003 Verileri
⚙️Variables:Domain Parameters

Abstract

This study aims to forecast the exchange rates of Turkey by using the Purchasing Power Parity theory (PPP) and its competitor the ARIMA models and compare their forecasting powers. In doing so, the models are estimated using the monthly real exchange rate data between Turkish Lira and Turkey's five biggest trading partners (The USA, Germany, England, France and Italy) for the period 1980-2003 and using the monthly real exchange rate data between Turkish Lira and European Union for the period 1999-2005. The conclusions based on the error terms statistics and the regression coefficients suggest that, compared to the PPP models, the ARIMA models have better forecasting powers.

Özet

Bu çalışma ile döviz kuru öngörüsü için geliştirilen, yapısal modellerin temelini oluşturan Satınalma Gücü Paritesi (SGP) teorisi ile yapısal modellere rakip olan zaman serisi analizi yöntemlerinden ARIMA modeli kullanılarak Türkiye için döviz kuru öngörü tahmini yapılması ve bu iki yöntemin öngörü güçlerinin karşılaştırılması amaçlanmıştır. Bunu gerçekleştirmek için 1980-2003 dönemi için Türkiye'nin en fazla ticaret yaptığı beş ülke (A.B.D., Almanya, ingiltere, Fransa, İtalya) ve 1999-2005 dönemi için Avrupa Birliği ile Türk lirasına ilişkin reel döviz kurunun aylık verileri kullanılarak modellerin öngörüleri tahmin edilmiştir. Hata terimi istatistikleri ve regresyonların katsayıları incelenerek yapılan analizler neticesinde ARIMA modelinin SGP modeline göre daha başarılı öngörü gücüne sahip olduğu sonucuna varılmıştır.

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Cite This Article

VERGİL, H., ÖZKAN, F. (2022). Purchasing Power Parity and Arıma Models in Forecasting Exchange Rates: The Case of Turkey. İ M K B Dergisi, Cilt: 9 - Sayı: 35, 41–55. https://ajindex.com/articles/546405

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