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Journals / Anadolu Üniversitesi Sosyal Bilimler Dergisi / 2014 / Cilt: 14 - Sayı: 4

Revisiting Purchasing Power Parity Hypothesis for Russia Using Nonlinear Unit Root Tests

Doğrusal Olmayan Birim Kök Testleriyle Rusya için Satın Alma Gücü Paritesi Hipotezinin İncelenmesi

Doç. Dr. Seymur Ağazade
Pages
15–24
Publication Date
2014-12-01
DOI
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AI Summary & Key Takeaways

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

Findings of unit root tests that allow for asymmetric adjustment support the stationarity of real effective exchange rate series and provide evidences on the validity of PPP hypothesis for Russia.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The article examines the validity of Purchasing Power Parity (PPP) hypothesis for Russia by using the data set belonging to the period November 1993 to April 2013.
📊
Key Findings & Data:Two groups of nonlinear unit root tests are used to investigate the stationarity characteristics of real effective exchange rate series of Russian ruble.
💡
Conclusion & Impact:Findings of unit root tests that allow for asymmetric adjustment support the stationarity of real effective exchange rate series and provide evidences on the validity of PPP hypothesis for Russia.
🔬Design:Modeling & Simulation
📍Scope:2013 Verileri
⚙️Variables:Satın Alma Gücü Paritesi Hipotezi · Reel Efektif Döviz Kuru · Doğrusal Dışılık

Abstract

The article examines the validity of Purchasing Power Parity (PPP) hypothesis for Russia by using the data set belonging to the period November 1993 to April 2013. Two groups of nonlinear unit root tests are used to investigate the stationarity characteristics of real effective exchange rate series of Russian ruble. While the first group of the tests models structural change as a smooth monotonic transition, second group takes into account both structural change and asymmetric adjustment characteristics of real exchange rate. Findings of unit root tests that allow for asymmetric adjustment support the stationarity of real effective exchange rate series and provide evidences on the validity of PPP hypothesis for Russia.

Özet

Bu çalışmada Rusya için Satın Alma Gücü Paritesi (PPP) yaklaşımının geçerliliği Kasım 1993 – Nisan 2013 dönemine ait veri seti kullanılarak araştırılmıştır. Bu amaçla asimetrik intibaka izin veren ve vermeyen doğrusal olmayan birim kök testleri yardımıyla rubleye ait reel efektif döviz kuru serisinin durağanlık özellikleri incelenmiştir. Doğrusal dışılığın yanı sıra reel döviz kurunun asimetrik intibakına da izin veren yöntemler ruble reel efektif kurunun durağan olduğuna ilişkin bulgular sunmakta ve Rusya için PPP yaklaşımının geçerliliğini desteklemektedir.

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Cite This Article

Ağazade, D. D. S. (2014). Revisiting Purchasing Power Parity Hypothesis for Russia Using Nonlinear Unit Root Tests. Anadolu Üniversitesi Sosyal Bilimler Dergisi, Cilt: 14 - Sayı: 4, 15–24. https://ajindex.com/articles/9377

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