Araştırma Makalesi
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Does Purchasing Power Parity Hypothesis Hold for Latin American Countries?

Yıl 2016, Cilt: 20 Sayı: 2, 167 - 177, 30.12.2016

Öz

This paper investigates the validity of Purchasing Power Parity utilizing Fourier unit root tests for the period of
2000m1-2015m2 for Brazil, Chile, Colombia and Mexico. The findings show that the Purchasing Power Parity is valid
in Brazil and Colombia in case of considering structural breaks. Additionally, Purchasing Power Parity holds for all
countries in case of structural breaks and nonlinearity.

Kaynakça

  • Baharumshah, A. Z., Lau, E. and Nzıramasanga M.T. (2010). Purchasing Power Parity in African countries: Evidence from Panel SURADF Test. South African Journal of Economics, 78(1):40-56.
  • Bahmani-Oskooee, M., Chang, T., and Hung, K. (2013). Revisiting purchasing power parity in Latin America: sequential panel selection method. Applied Economics, 45(32) :4584-4590.
  • Becker, R., Endes, W. and Lee, J. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 3(5):381-409.
  • Chang, T., Liu, W. C., Yu, C. P., and Kang, S. (2010). Purchasing power parity for 10 Latin American integration association countries: panel SURKSS tests. Applied Economics Letters, 17(16) :1575-1580.
  • Cheng, S. Y., Wei, J. S., and Hou, H. (2008). A cointegration analysis of purchasing power parity and country risk. International Journal of Business and Economics, 7(3):199.
  • Christopoulos, D. K. and Leon-Ledesma, M.A. (2010). Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29(6):1076-1093.
  • Divino, J. A., Teles, V. K., and De Andrade, J. P. (2009). On the purchasing power parity for Latin-American countries. Journal of Applied Economics, 12(1):33- 54.
  • Doğanlar, M. (1999). Testing long-run validity of purchasing power parity for Asian countries. Applied Economic Letters, 6:147–51.
  • Gümüş, F. B., and Zeren, F., (2015). Analyzing the Efficient Market Hypothesis with the Fourier Unit Root Tests: Evidence from G-20 Countries. Ekonomski Horizonti, 16(3):225-237.
  • He, H., Chou, M. C., and Chang, T. (2014). Purchasing power parity for 15 Latin American countries: Panel SURKSS test with a Fourier function. Economic Modelling, 36:37-43.
  • Kapetanios, G., Shin, Y. and Snell, A. (2003). Testing for a Unit Root in the Nonlinear STAR Framework. Journal of Econometrics, 112:359-379.
  • Liu, S. and Chang, T. (2013). Purchasing power parity for 15 Latin American countries. Linear and nonlinear unit root tests with stationary covariates Economic Computation & Economic Cybernetics Studies & Research, 47(4).
  • Lothian, J. R. and Taylor, M. P. (2000). Purchasing power parity over two centuries: strengthening the case for real exchange rate stability reply to Cuddington and Liang. Journal of International Money and Finance, 19: 759–764.
  • Lothian, J. R. and Taylor, M. P. (2008). Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod‐Balassa‐Samuelson Effect?. The Economic Journal, 118(532):1742-1763.
  • Maddala, G.S. and Wu, S. (1999). A Comparative Study Of Unit Root Tests With Panel Data And A New Simple Test. Oxf. Bull. Econ. Stat. 61: 631–665.
  • Macdonald, R. and Taylor, M. P. (1992). Exchange rate economics: a survey. Staff Papers – International Monetary Fund, 39:1–57.
  • Pesaran, M.H. (2007). A Simple Panel Unit Root Test in The Presence of Cross Section Dependence. J. Appl. Econ., 22:265–312.
  • Ralph Lu, Y. C., Chang, T., Chiu, C. C., and Tzeng, H. W. (2011). Revisiting purchasing power parity for 16 Latin American countries: panel SURADF tests. Applied Economics Letters, 18(3):251-255.
  • Sarno, L. and Taylor, M.P. (2002). Purchasing power parity and the real exchange rate. IMF Staff Papers, 49:65–105.
  • Sarno and Taylor, M. P. (2003). The Economics of Exchange Rates. New York: Cambridge University Press.
  • Schwert, G.W. (1989). Why Does Stock Market Volatility Change Over Time? Journal of Finance, 44:1115–1153.
  • Taylor, M. P. (1995). The economics of exchange-rates. Journal of Economic Literature, 33:13–47.
  • Taylor, A. M. and Taylor, M. P. (2004). The purchasing power parity debate. Journal of Economic Perspectives, 18:135–58.
  • Taylor, M. P. (2004). Is Official Exchange Rate Intervention Effective? Economica, 71(281):1-11.
  • Taylor, M. P. (2005). Official Foreign Exchange Intervention as a Coordinating Signal in the Dollar-Yen Market. Pacific Economic Review, 10(1):73-82.
  • Taylor, M.P. and Sarno, L. (1998). The Behavior of Real Exchanges During The PostBretton Woods Period. J. Int. Econ., 46:281–312.
  • Vasconcelos, C. R. F. and Junior, L. A. L. (2016). Validity of Purchasing Power Parity for Selected Latin American Countries: Linear and Non-linear Unit Root Tests. EconomiA.
  • Yang‐Cheng, L., Tsangyao, C., Chia‐Hao, L., and Chi‐Wei, S. (2013). Revisiting purchasing power parity for 15 Latin American countries: threshold unit root test. International Journal of Finance & Economics, 18(2):165-174.
  • Yılancı, V. and Erıs Z. A. (2013). Purchasing Power Parity in African Countries: Further Evidence From Fourier Unit Root Tests Based on Linear And Nonlinear Models. South African Journal of Economics, 81(1) :20-34.
Yıl 2016, Cilt: 20 Sayı: 2, 167 - 177, 30.12.2016

Öz

Kaynakça

  • Baharumshah, A. Z., Lau, E. and Nzıramasanga M.T. (2010). Purchasing Power Parity in African countries: Evidence from Panel SURADF Test. South African Journal of Economics, 78(1):40-56.
  • Bahmani-Oskooee, M., Chang, T., and Hung, K. (2013). Revisiting purchasing power parity in Latin America: sequential panel selection method. Applied Economics, 45(32) :4584-4590.
  • Becker, R., Endes, W. and Lee, J. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 3(5):381-409.
  • Chang, T., Liu, W. C., Yu, C. P., and Kang, S. (2010). Purchasing power parity for 10 Latin American integration association countries: panel SURKSS tests. Applied Economics Letters, 17(16) :1575-1580.
  • Cheng, S. Y., Wei, J. S., and Hou, H. (2008). A cointegration analysis of purchasing power parity and country risk. International Journal of Business and Economics, 7(3):199.
  • Christopoulos, D. K. and Leon-Ledesma, M.A. (2010). Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29(6):1076-1093.
  • Divino, J. A., Teles, V. K., and De Andrade, J. P. (2009). On the purchasing power parity for Latin-American countries. Journal of Applied Economics, 12(1):33- 54.
  • Doğanlar, M. (1999). Testing long-run validity of purchasing power parity for Asian countries. Applied Economic Letters, 6:147–51.
  • Gümüş, F. B., and Zeren, F., (2015). Analyzing the Efficient Market Hypothesis with the Fourier Unit Root Tests: Evidence from G-20 Countries. Ekonomski Horizonti, 16(3):225-237.
  • He, H., Chou, M. C., and Chang, T. (2014). Purchasing power parity for 15 Latin American countries: Panel SURKSS test with a Fourier function. Economic Modelling, 36:37-43.
  • Kapetanios, G., Shin, Y. and Snell, A. (2003). Testing for a Unit Root in the Nonlinear STAR Framework. Journal of Econometrics, 112:359-379.
  • Liu, S. and Chang, T. (2013). Purchasing power parity for 15 Latin American countries. Linear and nonlinear unit root tests with stationary covariates Economic Computation & Economic Cybernetics Studies & Research, 47(4).
  • Lothian, J. R. and Taylor, M. P. (2000). Purchasing power parity over two centuries: strengthening the case for real exchange rate stability reply to Cuddington and Liang. Journal of International Money and Finance, 19: 759–764.
  • Lothian, J. R. and Taylor, M. P. (2008). Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod‐Balassa‐Samuelson Effect?. The Economic Journal, 118(532):1742-1763.
  • Maddala, G.S. and Wu, S. (1999). A Comparative Study Of Unit Root Tests With Panel Data And A New Simple Test. Oxf. Bull. Econ. Stat. 61: 631–665.
  • Macdonald, R. and Taylor, M. P. (1992). Exchange rate economics: a survey. Staff Papers – International Monetary Fund, 39:1–57.
  • Pesaran, M.H. (2007). A Simple Panel Unit Root Test in The Presence of Cross Section Dependence. J. Appl. Econ., 22:265–312.
  • Ralph Lu, Y. C., Chang, T., Chiu, C. C., and Tzeng, H. W. (2011). Revisiting purchasing power parity for 16 Latin American countries: panel SURADF tests. Applied Economics Letters, 18(3):251-255.
  • Sarno, L. and Taylor, M.P. (2002). Purchasing power parity and the real exchange rate. IMF Staff Papers, 49:65–105.
  • Sarno and Taylor, M. P. (2003). The Economics of Exchange Rates. New York: Cambridge University Press.
  • Schwert, G.W. (1989). Why Does Stock Market Volatility Change Over Time? Journal of Finance, 44:1115–1153.
  • Taylor, M. P. (1995). The economics of exchange-rates. Journal of Economic Literature, 33:13–47.
  • Taylor, A. M. and Taylor, M. P. (2004). The purchasing power parity debate. Journal of Economic Perspectives, 18:135–58.
  • Taylor, M. P. (2004). Is Official Exchange Rate Intervention Effective? Economica, 71(281):1-11.
  • Taylor, M. P. (2005). Official Foreign Exchange Intervention as a Coordinating Signal in the Dollar-Yen Market. Pacific Economic Review, 10(1):73-82.
  • Taylor, M.P. and Sarno, L. (1998). The Behavior of Real Exchanges During The PostBretton Woods Period. J. Int. Econ., 46:281–312.
  • Vasconcelos, C. R. F. and Junior, L. A. L. (2016). Validity of Purchasing Power Parity for Selected Latin American Countries: Linear and Non-linear Unit Root Tests. EconomiA.
  • Yang‐Cheng, L., Tsangyao, C., Chia‐Hao, L., and Chi‐Wei, S. (2013). Revisiting purchasing power parity for 15 Latin American countries: threshold unit root test. International Journal of Finance & Economics, 18(2):165-174.
  • Yılancı, V. and Erıs Z. A. (2013). Purchasing Power Parity in African Countries: Further Evidence From Fourier Unit Root Tests Based on Linear And Nonlinear Models. South African Journal of Economics, 81(1) :20-34.
Toplam 29 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Araştırma Makaleleri
Yazarlar

Harun Bal

Müge Manga Bu kişi benim

Esra Ballı Bu kişi benim

Mehmet Akif Destek

Yayımlanma Tarihi 30 Aralık 2016
Gönderilme Tarihi 1 Haziran 2016
Yayımlandığı Sayı Yıl 2016 Cilt: 20 Sayı: 2

Kaynak Göster

APA Bal, H., Manga, M., Ballı, E., Destek, M. A. (2016). Does Purchasing Power Parity Hypothesis Hold for Latin American Countries?. Çukurova Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 20(2), 167-177.