Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
The validity of the relative purchasing power parity and the uncovered interest rate parity theories for the dollar/Euro exchange rate
Download
index.pdf
Date
2004
Author
Berberoğlu, Pınar
Metadata
Show full item record
Item Usage Stats
486
views
166
downloads
Cite This
This study analyzes validity of the relative purchasing power parity (PPP) and the uncovered interest rate parity (IRP) theories for the dollar/euro exchange rate. The period of analysis is from 1990 to 2003. The dollar/euro exchange rate represents the currencies of a country, the USA, and a region, the Euro Area. The basic data needed for this study are the dollar/euro exchange rate, and the inflation and the interest rates for the USA and the Euro Area. Since the Euro Area was officially formed on January 1st, 1999, we had difficulty in finding the data for the Euro Area. For the lacking Euro Area data, synthetic values are created by using the individual data of Euro Area countries. These synthetic values are treated as the equivalents of the actual values and are used in the parity implied dollar/euro exchange rate calculations. The parity implied dollar/euro exchange rates are compared with the actual dollar/euro exchange rates. Our results indicate that the parity implied dollar/euro exchange rates are statistically significantly different from the actual dollar/euro exchange rates. In other words, both the PPP and the IRP theories do not hold for the dollar/euro exchange rate.
Subject Keywords
International currency.
URI
http://etd.lib.metu.edu.tr/upload/2/12605635/index.pdf
https://hdl.handle.net/11511/14912
Collections
Graduate School of Social Sciences, Thesis
Suggestions
OpenMETU
Core
Testing the long-run validity of purchasing power parity for Eastern and Southern Europe Countries
Neslihan, Can; Yıldırım Kasap, Dilem; Department of Economics (2013)
This study examines the long-run validity of the Purchasing Power Parity, namely stationarity of real exchange rates for six Eastern and Southern Europe countries over the period of January 1994- December 2012. Despite extensive research to date, the empirical evidence on the PPP hypothesis remains inconclusive. A number of very recent studies ascribe this to the low power of the standard unit root tests in identifying stationarity of potentially nonlinear real exchange rates. In this sense, this study empl...
The impact of international capital flows in a three-sector open economy: a dynamic general equilibrium analysis
Akgül, Zeynep; Saraçoğlu, Dürdane Şirin; Department of Economics (2009)
This thesis examines the effects of international capital flows on economic growth by using a dynamic general equilibrium framework based on a three-sector Ramsey Model. In order to detect the impact of financial integration on production, allocation of resources across three sectors and consumption, two different economic environments are modelled. While the first model represents a closed economy with financial autarky, the second model examplifies a financially integrated open economy with partial capita...
An Empirical model of the international cost of equity
Uzunkaya, Mehmet; Küçükkaya, Halit Engin; Department of Business Administration (2015)
The aim of the study is to propose an empirical model of the international cost of equity by investigating and analyzing the long-run relation between disaggregated country risk ratings and country stock market index returns for a large panel of countries. The study tests the hypothesis that, given the available theoretical and empirical evidence, country risk ratings and country stock market index returns should move together in the long-run and there should be a long-run equilibrium between them; thus cou...
Leading indicators of currency crises: the case of Turkey
Ant, Müge; Ekinci, Nazım; Department of Economics (2002)
This thesis examines the 1994 and 2001 currency crises in Turkey from the perspective of the leading indicators of currency crises. By applying a methodology proposed by Kaminsky, Lizondo and Reinhart in 1998, the study examines the behaviour of the leading indicators in Turkey in the 1990s and determines whether fundamentals were deteriorated on the eve of the crises. The thesis also attempts to identify the variables that are most useful in predicting possible currency crises in Turkey.
A Comparative study for nonlinear structure of the interest rate pass through
Değer, Osman; Yıldırım Kasap, Dilem; Department of Economics (2012)
This study investigates the interest rate pass through from the money market rate to the lending rate by utilizing monthly data of fifteen countries, grouped as high income, upper middle income and lower middle income, over the period 1999:01-2011:09. Taking the linear cointegration test of Engle-Granger as benchmark, we employ threshold cointegration tests of Enders and Siklos (2001) in order to account for the possible nonlinearities in the pass-through process. Empirical results reveal that the pass thro...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
P. Berberoğlu, “The validity of the relative purchasing power parity and the uncovered interest rate parity theories for the dollar/Euro exchange rate,” M.S. - Master of Science, Middle East Technical University, 2004.
