THE VALIDITY OF PURCHASING POWER PARITY HYPOTHESIS IN MIDDLE EAST AND NORTHERN AFRICA COUNTRIES

Kalyoncu H., Kula F., Aslan A.

ROMANIAN JOURNAL OF ECONOMIC FORECASTING, cilt.13, sa.4, ss.125-131, 2010 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 13 Sayı: 4
  • Basım Tarihi: 2010
  • Dergi Adı: ROMANIAN JOURNAL OF ECONOMIC FORECASTING
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.125-131
  • Anahtar Kelimeler: Purchasing Power Parity (PPP), Real exchange rate, Black market Exchange rates, Unit-root test, Structural break, EXCHANGE-RATES, REAL
  • Erciyes Üniversitesi Adresli: Evet

Özet

This paper re-examines the Purchasing Power Parity (PPP) hypothesis in which the endogenously determined break points are incorporated in thirteen major Middle East and Northern Africa (MENA) countries by using official and black market exchange rates data over 1970-1998. We utilize Lagrange Multiplier (LM) unit root test that endogenously determines structural breaks in level and trend. We find evidence of PPP for all countries using official and/or black market real exchange rates at the 10% level or better.