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Panel unit root tests of purchasing power parity hypothesis: Evidence from Turkey

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  • Gozgor, Giray

Abstract

In this paper, we employ some front page panel unit root tests to examine the validity of the purchasing power parity hypothesis in Turkey. Using monthly observations panel data of nine major county’s currency dates January 2003 through April 2010, we find that panel unit root tests are not rejected the mean-reversion of real exchange rates. Thus, the empirical results indicate significant support for the purchasing power parity holds in Turkey

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 34370.

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Date of creation: 01 Jan 2011
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Handle: RePEc:pra:mprapa:34370

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Keywords: Purchasing Power Parity; Real Exchange Rates; Panel Unit Root Tests; Floating Exchange Rates;

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  1. Jörg Breitung & Bertrand Candelon, 2005. "Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 141(1), pages 124-140, April.
  2. Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers, Wisconsin Madison - Social Systems 9220, Wisconsin Madison - Social Systems.
  3. Kilian, Lutz & Taylor, Mark P., 2003. "Why is it so difficult to beat the random walk forecast of exchange rates?," Journal of International Economics, Elsevier, Elsevier, vol. 60(1), pages 85-107, May.
  4. Juan Carlos Cuestas, 2009. "Purchasing power parity in Central and Eastern European countries: an analysis of unit roots and nonlinearities," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(1), pages 87-94.
  5. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, Elsevier, vol. 108(1), pages 1-24, May.
  6. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9526, Faculty of Economics, University of Cambridge.
  7. Jaroslava Hlouskova & Martin Wagner, 2006. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(1), pages 85-116.
  8. Peter Anker, 1999. "Pitfalls in panel tests of purchasing power parity," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 135(3), pages 437-453, September.
  9. Sabate, Marcela & Gadea, Maria Dolores & Serrano, Jose Maria, 2003. "PPP and structural breaks. The peseta-sterling rate, 50 years of a floating regime," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(5), pages 613-627, October.
  10. Kalyoncu, Huseyin & Kalyoncu, Kahraman, 2008. "Purchasing power parity in OECD countries: Evidence from panel unit root," Economic Modelling, Elsevier, Elsevier, vol. 25(3), pages 440-445, May.
  11. Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 3(2), pages 148-161.
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Cited by:
  1. Arthur Grimes & Sean Hyland, 2013. "Passing the Buck: Impacts of Commodity Price Shocks on Local Outcomes," Working Papers, Motu Economic and Public Policy Research 13_10, Motu Economic and Public Policy Research.

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