Kırılgan Beşli Ülkelerinde Faiz Oranı Paritesi: Kırılmalı Birim Kök Testlerinden Kanıtlar

Özet

This study analyzes the validity of the uncovered interest rate parity forBrazil, India, Indonesia, South Africa, and Turkey, which are grouped asThe Fragile Five countries within the literature. The econometric analysissection of the study benefits from unit root tests, a common methodthat researchers have started to utilize recently. For this reason, we usedDickey and Fuller (1979), Augmented Dickey and Fuller (1981), Philips andPerron (1988), Kwiatkowski et al. (1992), Perron (1989) unit root test withone break, Zivot and Andrews (1992) unit root test with one break, andEnders and Lee (2012) Fourier-ADF unit root tests. In line with the resultsof the analysis, we obtained strong evidence regarding the validity of theuncovered interest rate parity for Brazil, Indonesia, and Turkey. Results forIndia vary according to the structure of the break and where the structuralbreak is taken into consideration. This shows that structural breaks andthe economic circumstances of the period that the data set is from shouldbe considered. Although results for South Africa show that interest rateparity is generally valid, results for the Fourier-ADF test, which allows forsmooth breaks, offered evidence that the interest rate parity was not validin these countries.