TÜRKİYE’DE SATIN ALMA GÜCÜ PARİTESİ HİPOTEZİNİN GEÇERLİLİĞİ: UZUN HAFIZA TESTLERİNDEN KANITLAR
Journal Title: Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi - Year 2018, Vol 5, Issue 2
Abstract
Esnek kur rejiminin küresel anlamda yaygınlaşmasıyla birlikte döviz kuru öngörüsü de önem kazanmaya başlamıştır. Döviz kurları, başta dış ticaret dengesi olmak üzere, yatırım kararlarının alınmasında ve küresel gelirden daha fazla pay alabilmek için merkez bankalarının yürüttükleri kur politikalarında önemli bir rol oynamaktadır. Özellikle satın alma gücü paritesi (SAGP) hipotezinin sınandığı çalışmalarda, reel döviz kurlarının uzun dönem için kendi ortalamasına dönüp dönmediği ekonomik istikrar, yapısal uyumlanma ve ekonomik reform uygulamaları açısından önem kazanmaktadır. SAGP hipotezinin test edildiği bu çalışmada, reel döviz kurlarının uzun hafıza testleri ile sınanması amaçlanmıştır. Analiz için, 2002:10-2017:12 dönemi esas alınarak A.B.D doları ve euro bazında iki farklı reel döviz kuru serisi oluşturulmuştur. Reel kur serileri ARFIMA modeli çerçevesinde ele alınarak test edilmiştir. Araştırma sonuçlarına göre hem dolar hem de euro reel kur serilerinin uzun hafıza özelliği sergiledikleri bulgusuna ulaşılmıştır. Reel döviz kurlarının uzun dönemde ortalamaya geri dönmesi, Türkiye için ilgili dönemde SAGP hipotezinin geçerli olduğunu göstermektedir. EXTENDED SUMMARY Background: With the spread of the flexible exchange rate regime in the global sense, the exchange rate forecast has begun to gain importance. Exchange rates play an important role especially in foreign trade balance, to make investment decisions, and in exchange rate policies carried out by central banks in order to gain more share from global inflows. In particular, the study of the purchasing power parity (SAGP) hypothesis gained importance in terms of economic stability, structural adjustment and economic reform programs in which real exchange rates mean-reversion behaviour for the long term. Purpose: The changes in the nominal exchange rates are explained by the difference in the inflation rates between the two countries. If the SAGP hypothesis is present, the real exchange rate remains stable in the long run, suggesting that deviations from the real exchange curve may deviate from the SAGP. Looking at this framework, the SAGP suggests the existence of long-term relationships theoretically between countries' price levels. In this study where the SAGP hypothesis is tested, it is aimed to test real exchange rates with long memory tests. Literature Review: When a large part of the studies in the literature are examined, the observation of large and resistant deviations from the SAGP frequently indicates that the hypothesis is focused on a longer duration. However, it would be more appropriate to investigate whether the deviations from the SAGP are temporary or permanent. Therefore, most of the empirical tests are the testing of the stability of the real exchange rate. If deviations from the SAGP are temporary, the real exchange rate time series is expected to be stable. In other words, if the real exchange rate series includes a unit root, that is, a non-stationary feature, this means that deviations from the SAGP are permanent. Data and Methodology: Analysis used in 2002: 10-2017: 12 period, the monthly data for the Organization for Economic Co-operation and Development (OECD) database and the Central Bank of the Republic of Turkey from the Electronic Data Dissemination System (EDDS) was obtained. In the real exchange rate series, 2010 = 100 based consumer price index as the domestic price index, 2010 = 100 for the dollar as the foreign price index and 2010 = 100 based average consumer price index for the 19 European countries in the euro area. Traditional unit root tests can only determine if a series is stationary in I (0) - I (1). However, these tests are insufficient to determine whether the series are long-lasting or temporary. The hyperbolic proportions of autocorrelation functions of high frequency time series are defined as long memory dependence, long term dependence and tendency to return to slow average. Hence, if the real exchange rate series is a series with long memory capability, the unitary root tests can more accurately determine the reaction to shocks. To summarize, the piecewise unit root tests allow fractional exponents to be differentiated by extending the process by which I (1) is tested against I (0). Therefore, the ARFIMA-FIGARCH model was used in the study. Results and Conclusions: As a result of ADF, PP and KPSS unit root tests, it was observed that both real series exhibited stationary processes at the same level and GPH, LoM-R / S and M-GPH unit root tests were applied considering that these could be unit root in the series. The GPH and Lo M-R / S tests on the real series have resulted in the rejection of the null hypothesis that "there is no long memory", meaning that the series have a unit root. According to the M-GPH test modified for the case of d0 = d = 1, the "no long memory" zero hypothesis was rejected in the real dollar rate series at 0.65 and the real euro rate at 0.55, 0.6 and 0.65. In order to further test the long-term equilibrium relationship between national price levels, the explanatory variable of the domestic price index; a regression equation was established in which the foreign price index converted into domestic currency is the announced variable (two simple regression equations for dollar and euro). Residual unit root and long memory tests obtained from the aforementioned regression equations were applied. The test results of the residue series were found to be in agreement with the test results of the real series, and the d parameter was estimated within the framework of the ARFIMA model and found that the real series had a degree of integration of d < 1. In this framework, the impact on the real exchange rates of the shocks that have occurred in the related period has reached the end over time. In light of the findings of the analysis, it said that the PPP hypothesis with another statement followed a process of returning to the long-term average real exchange rate is valid for Turkey's economy in the period in question.
Authors and Affiliations
Harun KAYA, İsmail ÇELİK
Keywords
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- EP ID EP441728
- DOI 10.30798/makuiibf.406276
- Views 187
- Downloads 0
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