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Reel Efektif Döviz Kurunun Durağanlığının Yapısal Kırılmalı Panel Birim Kök Testleri Kullanılarak Sınanması = Analyzing the Stationarity of Reel Effective Exchange Rates Using Panel Unit Root Tests with Structural Breaks

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Author(s): Ferda YERDELEN TATOĞLU

Journal: Dogus University Journal
ISSN 1302-6739

Volume: 10;
Issue: 2;
Start page: 310;
Date: 2009;
Original page

Keywords: Satın Alma Gücü Paritesi | Reel Döviz Kuru | Panel Birim Kök Testi | Yapısal Kırılma | Purchasing Power Parity | Real Exchange Rates | Panel Unit Root Tes | Structural Break

ABSTRACT
In the last years, many studies have analyzed the stationarity of reel exchange rates which gives important knowledge about economic stability of countries. The panel unit root tests which include both pooled and individual unit root tests are used frequently to analyze the stationarity of real exchange rates. Generally, structural breaks issue have taken place in macroeconomic time series for some years. If unit root tests are used without taking account these structural breaks, stationarity hypothesis can be rejected mistakenly. In this study, panel unit root tests with and without structural breaks were used to analyze the validity of Purchasing Power Parity hypothesis in 25 OECD countries. According to the results, while in panel unit root tests with no break, PPP theory is valid for only 10 countries; it is valid for all countries in panel unit root tests with structural breaks.

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