Do real exchange rates contain a unit root? Evidence from Turkish data

Applied Economics

Volumn 37, Issue 17, 2005, Pages 2037-2053

  Tastan, Hüseyin ^a  

^a YILDIZ TECHNICAL UNIVERSITY   (Turkey)

Author keywords

[No Author keywords available]

Indexed keywords

PURCHASING POWER PARITY; REAL EXCHANGE RATE; TESTING METHOD; TRADE FLOW;

EASTERN HEMISPHERE; EURASIA; TURKEY; WORLD;

EID: 27144487654     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840500244584     Document Type: Article

References (59)

1. Achy, L. (2003) Parity reversion persistence in real exchange rates: middle income country case, Applied Economics, 35, 541-53.
2. Alba, J. D. and Park, D. (2003) Purchasing power parity in developing countries: multi-period evidence under the current float, World Development, 31, 2049-60.
3. Caner, M. and Kilian, L. (2001) Size distortions of tests of the null hypothesis stationary: evidence and implications for the PPP debate, Journal of International Money and Finance, 20, 639-57.
4. Caporale, G. M., Pittis, N. and Sakellis, P. (2003) Testing for PPP: the erratic behaviour of unit root tests, Economics Letters, 80, 277-84.
5. Cheung, Y. W. and Lai, K. S. (1998) Economic growth and stationarity real exchange rates: evidence from some fast-growing Asian countries, Pacific-Basin Finance Journal, 6, 61-76.
6. Cheung, Y. W. and Lai, K. S. (2000) On cross-country differences in the persistence of real exchange rates, Journal of International Economics, 50, 375-97.
7. Chiu, R.-L. (2002) Testing the purchasing power parity in panel data, International Review of Economics and Finance, 11, 349-62.
8. Choi, C. (2004) Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff, Journal of International Money and Finance, 23, 1159-86.
9. Choudhry, T. (1999) Purchasing power purity in high-inflation Eastern European countries: evidence from fractional and Harris-Inder cointegration tests, Journal of Macroeconomics, 21, 293-308.
10. Civcir, I. (2003 Before the fall, was the Turkish Lira overvalued?, Eastern European Economics, 41, 69-99.
11. Cizre-Sakallioglu, U. and Yeldan, E. (2000) Politics, society and financial liberalization, Development and Change, 31, 481-508.
12. Cuddington, J. T. and Liang, H. (2000) Purchasing power parity over two centuries?, Journal of International Money and Finance, 19, 753-7.
13. Dickey, D. A. and Fuller, W. (1979) Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-31.
14. Dickey, D. A. and Fuller, W. (1981) Likelihoods ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-72.
15. Doganlar, M. (1999) Testing long-run validity for purchasing power parity for Asian countries, Applied Economics Letters, 6, 147-51.
16. Dornbusch, R. (1976) Expectations and exchange rate dynamics, Journal of Political Economy, 84, 1161-76.
17. Elliott, G., Rothenberg, T. J. and Stock, J. H. (1996) Efficient tests for an autoregressive unit root, Econometrica, 64, 813-36.
18. Engel, C. (2000) Long-run PPP may not hold after all, Journal of International Economics, 57, 243-77.
19. Erlat, H. (2003) The nature of persistence in Turkish real exchange rates, Emerging Markets Finance and Trade, 39, 70-97.
20. Ertugrul, A. and Selcuk, R. (2001) A brief account of the Turkish economy, 1980-2000, Russian and East European Finance and Trade, 37, 6-30.
21. Hall, A. (1994) Testing for a unit root in time series with pretest data-based model selection, Journal of Business and Economic Statistics, 12, 461-70.
22. Hamilton, J. (1994) Time Series Analysis, 1st edn, Princeton University Press, Princeton, NJ.
23. Hegwood, N. D. and Papell, D. H. (1998) Quasi purchasing power parity, International Journal of Finance and Economies, 3, 279-89.
24. Heimonen, K. (1999) Stationarity of the European real exchange rates - evidence from panel data, Applied Economics, 31, 673-77.
25. Holmes, M. (2000) Does purchasing power parity hold in African less developed countires? Evidence from a panel data unit root test, Journal of African Economies, 9, 63-78.
26. Koedijk, K. G., Tims, B. and van Dijk, M. (2004) Purchasing power parity and the Euro area, Journal of International Money and Finance, 23, 1081-107.
27. Kuoa, B.-S. and Mikkola, A. (1999) Re-examining longrun purchasing power parity, Journal of International Money and Finance, 18, 251-66.
28. Kwiatkowsky, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992) Testing the null hypothesis of stationariy against the alternative of a unit root, Journal of Econometrics, 54, 159-78.
29. Leybourne, S. and Newbold, P. (1999) On the size properties of Phillips-Perron tests, Journal of Time Series Analysis, 20, 51-61.
30. Lothian, J. R. (2000) Movements in exchange rates and relative price levels in the Netherlands and Britain over the past four centuries, Rogers Clark Lecture and International Economics Workshop, Graduate School of Business, Fordham University.
31. Lothian, J. R. and Taylor, M. P. (1996) Real exchange rate behaviour: the recent float from the perspective of the past two centuries, Journal of Political Economy, 104, 488-509.
32. MacDonald, G., Allen, D. and Cruickshank, S. (2002) Purchasing power parity - evidence from a new panel test, Applied Economics, 34, 1319-24.
33. Maddala, G. and Kim, I. (1998) Unit Roots Cointegration and Structural Change, 1st edn, Cambridge University Press, Cambridge.
34. Mark, N. C. (2001) International Macroeconomics and Finance, 1st edn, Blackwell, MA.
35. Murray, C. J. and Papell, D. H. (2002) The purchasing power parity persistence paradigm, Journal of International Economics, 56, 1-19.
36. Murray, C. J. and Papell, D. (2005) The purchasing power parity puzzle is worse than you think, Empirical Economics, forthcoming.
37. Newey, W. K. and West, K. D. (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.
38. Ng, S. and Perron, P. (1996) Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag, Journal of the American Statistical Association, 90, 268-81.
39. Ng, S. and Perron, P. (2001) Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69, 1519-54.
40. Ng, S. and Perron, P. (2002) PPP may not hold after all: a further investigation, Annals of Economics and Finance, 3, 43-64.
41. Papell, D. (1997) Searching for stationarity: purchasing power parity under the current float, Journal of International Economics, 43, 313-32.
42. Paya, I. and Peel, D. A. (2004) Nonlinear purchasing power parity under the gold standard, Southern Economic Journal, 71, 302-13.
43. Peel, D. and Venetis, I. A. (2003) Purchasing power parity over two centuries: trends and nonlinearity, Applied Economics, 35, 609-17.
44. Phillips, P. C. B. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-46.
45. Rogoff, K. (1996) The purchasing power parity puzzle, Journal of Economic Literature, 34, 647-68.
46. Sabate, M., Gadea, M. D. and Serrano, J. M. (2003) PPP and structural breaks. The peseta-sterling rate, 50 years of a floating regime, Journal of International Money and Finance, 22, 613-27.
47. Said, S. E. and Dickey, D. A. (1984) Testing for unit roots in autoregressive moving average models of unknown order, Biometrika, 71, 599-607.
48. Salehizadeh, M. and Taylor, R. (1999) A test of purchasing power parity for emerging economics, Journal of International Financial Markets, Institutions and Money, 9, 183-93.
49. Sarno, L. (2000) Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997, Applied Economics Letters, 7, 285-91.
50. Sarno, L. and Taylor, M. (2002) Purchasing power parity and the real exchange rate, IMF Staff Papers, 49, 65-105.
51. Schwert, G. W. (1989) Tests for unit roots: a Monte Carlo investigation, Journal of Business and Economic Statistics, 7, 5-17.
52. Stock, J. (1994) Unit roots, structural breaks and trends, in Handbook Econometrics (Eds) R. Engle and D. McFadden, 1st edn, Vol. IV, chap. 46, pp. 2740-841. Elsevier Science, Amsterdam.
53. Stockman, A. C. (1987) The equilibrium approach to exchange rates, Federal Reserve Bank of Richmond Economic Review, 73, 12-30.
54. Taylor, M. (2003) Purchasing power parity, Review of International Economics, 11, 436-52.
55. Telatar, E. and Kazdagli, H. (1998) Re-examine the long run purchasing power hypothesis for a high inflation country: the case of Turkey 1980-93, Applied Economics Letters, 5, 51-3.
56. Wu, J. and Chen, S. (1999) Are real exchange rates stationary based on panel unit-root tests? Evidence from Pacific Basin countries, International Journal of Finance and Economics, 4, 243-52.
57. Wu, Y. (1996) Are real exchange rates nonstationary? Evidence from a panel-data set, Journal of Money Credit and Banking, 28, 54-63.
58. Yazgan, E. (2002) Is Turkish exchange rate overvalued?, Yapi Kredi Economic Review, 13, 39-54.
59. Yazgan, M. E. (2003) The purchasing power parity hypothesis for a high inflation country: a re-examination of the case of Turkey, Applied Economics Letters, 10, 143-7.