Additional evidence of long-run purchasing power parity with black and official exchange rates

Aslan A., KULA F., Kalyoncu H.

APPLIED ECONOMICS LETTERS, cilt.17, sa.14, ss.1379-1382, 2010 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 17 Sayı: 14
  • Basım Tarihi: 2010
  • Doi Numarası: 10.1080/13504850902967522
  • Dergi Adı: APPLIED ECONOMICS LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.1379-1382
  • Erciyes Üniversitesi Adresli: Evet

Özet

In this study, the validity of Purchasing Power Parity (PPP) hypothesis is investigated by using unit root test on official and black market exchange rates for Turkey. When we used the classical unit root test, we found poor evidence for the validity of PPP in classical PP test but no evidence for PPP in the augmented Dickey-Fuller test. However, by using Zivot-Andrews test allowing for one structural break in the series of PPP, we find stronger evidence for both official and black market exchange rates. Our findings illustrate that the unit root test with structural break is powerful than classical ones for long-run PPP.