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

Yıl 2014, Cilt: 14 Sayı: 4, 15 - 24, 01.12.2014

Doç. Dr. Seymur Ağazade

https://doi.org/10.18037/ausbd.07117
Cited By: 2

Öz

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.

Anahtar Kelimeler

Satın Alma Gücü Paritesi Hipotezi Reel Efektif Döviz Kuru Doğrusal Dışılık Rusya

Kaynakça

  • Ağayev, S. (2013). Satın Alma Gücü Paritesi Hipotezi- nin Kazakistan İçin Geçerliliği. Uluslararası Avras- ya Ekonomileri Konferansı, 17-18 Eylül 2013, St. Petersburg, Rusya.
  • Baharumshah, A.Z. ve Borsic, D. (2008). Purchasing Power Parity in Central and Eastern European Countries. Economics Bulletin, 6(32), 1–8.
  • Bahmani-Oskooee, M., Kutan, A.M. ve Zhou, S. (2008). Do Real Exchange Rates Follow a Nonlinear Mean Reverting Process in Developing Countries? Southern Economic Journal, 74(4), 1049–1062.
  • Bahmani-Oskooee, M., Kutan, A.M. ve Zhou, S. (2009). Towards Solving The PPP Puzzle: Evidence From 113 Countries. Applied Economics, 41(24), 3057–3066.
  • CBR: The Central Bank of the Russian Federation Monetary Policy Measures http://cbr.ru/eng/ dkp/print.aspx?file=standart_system/policy_e. html&pid=dkp&sid=ITM_32899#03 (Erişim: 12.05.2013)
  • Chang, T., Lee, C.H. ve Hung, K. (2012). Can The PPP Sand On The BRICS? The ADL Test for Threshold Cointegration. Applied Economics Letters, 19(12), 1123–1127.
  • Chang, H.L., Liu, D.C. ve Su, C.W. (2012) Purchasing Power Parity with Flexible Fourier Stationary Test for Central and Eastern European Countries. Ap- plied Economics, 44(32), 4249–4256.
  • Chang, T. ve Liu, W.C. (2010). Long-run Purchas- ing Power Parity with Asymmetric Adjustment: Evidence From Nine Major Oil-Exporting Coun- tries. International Journal of Finance & Economics, 15(3), 263–274.
  • Chang, H.L., Su, C.W., Zhu, M.N. ve Liu, P. (2010). Long-run Purchasing Power Parity and Asymmet- ric Adjustment in BRICs. Applied Economics Let- ters, 17(11), 1083–1087.
  • Chang, H.L., Su, C.W., Zhu, M.N. ve Liu, P. (2011). Re- examining Long-run Purchasing Power Parity for Central and Eastern European Countries: Nonlin- ear Panel Unit Root Tests. Applied Economics Let- ters, 18(5), 411–415.
  • Chang, T. ve Tzeng, H.W. (2011). Long-run Purcha- sing Power Parity with Asymmetric Adjustment: Further Evidence From Nine Transition Countries. Economic Modelling, 28(3), 1383–1391.
  • Choudhry, T. (1999). Purchasing Power Parity in High- Inflation Eastern European Countries: Evidence From Fractional and Harris-Inder Cointegration Tests. Journal of Macroeconomics, 21(2), 293–308.
  • Cuestas, J.C. ve Ordóñez, J. (2012). Smooth Transitions, Asymmetric Adjustment and Unit Roots. Sheffield Economics Research Paper No. 2012012, Depart- ment of Economics, University of Sheffield.
  • Dickey, D.A. ve Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical As- sociation, 74(336a), 427–431.
  • EBRD, Transition Report, European Bank for Recon- struction and Development, London (1998-2008 sayıları).
  • IMF, World Economic Outlook Database April 2013.
  • Kapetanios, G., Shin, Y. ve Snell, A. (2003). Testing for a Unit Root in the Nonlinear STAR Framework. Jo- urnal of Econometrics, 112(2), 359–379.
  • Kruse, R. (2011). A New Unit Root Test against ESTAR Based On a Class of Modified Statistics. Statistical Papers, 52(1), 71–85.
  • Leybourne, S., Newbold, P. ve Vougas, D. (1998). Unit Roots and Smooth Transitions. Journal of Time Se- ries Analysis, 19(1), 83–97.
  • Liu, S., Zhang, D. ve Chang, D. (2012). Purchasing Power Parity – Nonlinear Threshold Unit Root Test for Transition Countries. Applied Economics Letters, 19(18), 1781–1785.
  • Lu, Y.C.R., Chang, T. ve Lee, C.H. (2012). Nonlinear AdC- justment to Purchasing Power Parity in Transition Countries: The ADL Test for Threshold Cointegra- tion. Applied Economics Letters, 19(7), 629–633.
  • Nusair, S.A. (2013). Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis. International Journal of Finance and Economics, 18(2), 188–204.
  • Sideris, D. (2006). Purchasing Power Parity in Econo- mies in Transition: Evidence from Central and East European Countries. Applied Financial Economics, 16(1–2), 135–143.
  • Solakoglu, E.G. (2006). Testing Purchasing Power Par- ity Hypothesis for Transition Economies. Applied Financial Economics, 16(7), 561–568.
  • Sollis, R. (2004). Asymmetric Adjustment and Smooth Transitions: A Combination of Some Unit Root Tests. Journal of Time Series Analysis, 25(3), 409–417.
  • Su, C.W. ve Chang, H.L. (2011). Revisiting Purchas- ing Power Parity for Central and East European Countries Using Rank Tests for Nonlinear Cointe- gration. Eastern European Economics, 49(1), 5–12.
  • Su, C.W., Chang, H.L., Chang, T. ve Lee, C.H. (2012). Purchasing Power Parity for BRICS: Linear and Nonlinear Unit Root Tests with Stationary Covari- ates. Applied Economics Letters, 19(16), 1587–1591.
  • Telatar, E. ve Hasanov, M. (2009). Purchasing Power Parity in Transition Economies: Evidence from the Commonwealth of Independent States. Post- Communist Economies, 21(2), 157–173.
  • Yotopoulos, P.A. ve Sawada, Y. (2006). Exchange Rate Misalignment: A New Test of Long-run PPP Based on Cross-Country Data. Applied Financial Eco- nomics, 16(1–2), 127–134.
  • WB, World Bank Global Economic Monitor, 2013.

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

Yıl 2014, Cilt: 14 Sayı: 4, 15 - 24, 01.12.2014

Doç. Dr. Seymur Ağazade

https://doi.org/10.18037/ausbd.07117
Cited By: 2

Öz

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.

Anahtar Kelimeler

Purchasing Power Parity Hypothesis Real Effective Exchange Rate Nonlinearity Russia

Kaynakça

  • Ağayev, S. (2013). Satın Alma Gücü Paritesi Hipotezi- nin Kazakistan İçin Geçerliliği. Uluslararası Avras- ya Ekonomileri Konferansı, 17-18 Eylül 2013, St. Petersburg, Rusya.
  • Baharumshah, A.Z. ve Borsic, D. (2008). Purchasing Power Parity in Central and Eastern European Countries. Economics Bulletin, 6(32), 1–8.
  • Bahmani-Oskooee, M., Kutan, A.M. ve Zhou, S. (2008). Do Real Exchange Rates Follow a Nonlinear Mean Reverting Process in Developing Countries? Southern Economic Journal, 74(4), 1049–1062.
  • Bahmani-Oskooee, M., Kutan, A.M. ve Zhou, S. (2009). Towards Solving The PPP Puzzle: Evidence From 113 Countries. Applied Economics, 41(24), 3057–3066.
  • CBR: The Central Bank of the Russian Federation Monetary Policy Measures http://cbr.ru/eng/ dkp/print.aspx?file=standart_system/policy_e. html&pid=dkp&sid=ITM_32899#03 (Erişim: 12.05.2013)
  • Chang, T., Lee, C.H. ve Hung, K. (2012). Can The PPP Sand On The BRICS? The ADL Test for Threshold Cointegration. Applied Economics Letters, 19(12), 1123–1127.
  • Chang, H.L., Liu, D.C. ve Su, C.W. (2012) Purchasing Power Parity with Flexible Fourier Stationary Test for Central and Eastern European Countries. Ap- plied Economics, 44(32), 4249–4256.
  • Chang, T. ve Liu, W.C. (2010). Long-run Purchas- ing Power Parity with Asymmetric Adjustment: Evidence From Nine Major Oil-Exporting Coun- tries. International Journal of Finance & Economics, 15(3), 263–274.
  • Chang, H.L., Su, C.W., Zhu, M.N. ve Liu, P. (2010). Long-run Purchasing Power Parity and Asymmet- ric Adjustment in BRICs. Applied Economics Let- ters, 17(11), 1083–1087.
  • Chang, H.L., Su, C.W., Zhu, M.N. ve Liu, P. (2011). Re- examining Long-run Purchasing Power Parity for Central and Eastern European Countries: Nonlin- ear Panel Unit Root Tests. Applied Economics Let- ters, 18(5), 411–415.
  • Chang, T. ve Tzeng, H.W. (2011). Long-run Purcha- sing Power Parity with Asymmetric Adjustment: Further Evidence From Nine Transition Countries. Economic Modelling, 28(3), 1383–1391.
  • Choudhry, T. (1999). Purchasing Power Parity in High- Inflation Eastern European Countries: Evidence From Fractional and Harris-Inder Cointegration Tests. Journal of Macroeconomics, 21(2), 293–308.
  • Cuestas, J.C. ve Ordóñez, J. (2012). Smooth Transitions, Asymmetric Adjustment and Unit Roots. Sheffield Economics Research Paper No. 2012012, Depart- ment of Economics, University of Sheffield.
  • Dickey, D.A. ve Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical As- sociation, 74(336a), 427–431.
  • EBRD, Transition Report, European Bank for Recon- struction and Development, London (1998-2008 sayıları).
  • IMF, World Economic Outlook Database April 2013.
  • Kapetanios, G., Shin, Y. ve Snell, A. (2003). Testing for a Unit Root in the Nonlinear STAR Framework. Jo- urnal of Econometrics, 112(2), 359–379.
  • Kruse, R. (2011). A New Unit Root Test against ESTAR Based On a Class of Modified Statistics. Statistical Papers, 52(1), 71–85.
  • Leybourne, S., Newbold, P. ve Vougas, D. (1998). Unit Roots and Smooth Transitions. Journal of Time Se- ries Analysis, 19(1), 83–97.
  • Liu, S., Zhang, D. ve Chang, D. (2012). Purchasing Power Parity – Nonlinear Threshold Unit Root Test for Transition Countries. Applied Economics Letters, 19(18), 1781–1785.
  • Lu, Y.C.R., Chang, T. ve Lee, C.H. (2012). Nonlinear AdC- justment to Purchasing Power Parity in Transition Countries: The ADL Test for Threshold Cointegra- tion. Applied Economics Letters, 19(7), 629–633.
  • Nusair, S.A. (2013). Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis. International Journal of Finance and Economics, 18(2), 188–204.
  • Sideris, D. (2006). Purchasing Power Parity in Econo- mies in Transition: Evidence from Central and East European Countries. Applied Financial Economics, 16(1–2), 135–143.
  • Solakoglu, E.G. (2006). Testing Purchasing Power Par- ity Hypothesis for Transition Economies. Applied Financial Economics, 16(7), 561–568.
  • Sollis, R. (2004). Asymmetric Adjustment and Smooth Transitions: A Combination of Some Unit Root Tests. Journal of Time Series Analysis, 25(3), 409–417.
  • Su, C.W. ve Chang, H.L. (2011). Revisiting Purchas- ing Power Parity for Central and East European Countries Using Rank Tests for Nonlinear Cointe- gration. Eastern European Economics, 49(1), 5–12.
  • Su, C.W., Chang, H.L., Chang, T. ve Lee, C.H. (2012). Purchasing Power Parity for BRICS: Linear and Nonlinear Unit Root Tests with Stationary Covari- ates. Applied Economics Letters, 19(16), 1587–1591.
  • Telatar, E. ve Hasanov, M. (2009). Purchasing Power Parity in Transition Economies: Evidence from the Commonwealth of Independent States. Post- Communist Economies, 21(2), 157–173.
  • Yotopoulos, P.A. ve Sawada, Y. (2006). Exchange Rate Misalignment: A New Test of Long-run PPP Based on Cross-Country Data. Applied Financial Eco- nomics, 16(1–2), 127–134.
  • WB, World Bank Global Economic Monitor, 2013.
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Doç. Dr. Seymur Ağazade

Yayımlanma Tarihi 1 Aralık 2014
Gönderilme Tarihi 13 Ocak 2016
Yayımlandığı Sayı Yıl 2014 Cilt: 14 Sayı: 4

Kaynak Göster

APA Ağazade, D. D. S. . (2014). Doğrusal Olmayan Birim Kök Testleriyle Rusya için Satın Alma Gücü Paritesi Hipotezinin İncelenmesi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 14(4), 15-24. https://doi.org/10.18037/ausbd.07117

Cited By

Reel Döviz Kurları Üzerindeki Şoklar Geçici Mi, Kalıcı Mı? Dalgacık Tabanlı Birim Kök Testleri İle Kırılgan Sekizli Ülkeleri İçin Bir Uygulama
Süleyman Demirel Üniversitesi Vizyoner Dergisi
Memduh Alper DEMİR
https://doi.org/10.21076/vizyoner.832853
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Uluslararası İktisadi ve İdari İncelemeler Dergisi
Seymur Ağazade
https://doi.org/10.18092/ulikidince.441278

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