Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
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
Testing the long-run validity of purchasing power parity for Eastern and Southern Europe Countries
Download
index.pdf
Date
2013
Author
Neslihan, Can
Metadata
Show full item record
Item Usage Stats
134
views
67
downloads
Cite This
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 employs the threshold unit root test developed by Caner and Hansen (2001), which allows for a simultaneous search for non-linearity and non-stationarity. The empirical results reveal strong evidences of non-linearity for all of the real exchange rate series. Moreover, it is observed that PPP holds for all countries with the exceptions being Albania and Macedonia. More specifically, the real exchange rates of Croatia, Moldova, Serbia and Ukraine are characterized by local non-stationarity, that is, PPP holds in one threshold regime, but not in another
Subject Keywords
Foreign exchange.
,
Foreign exchange rates.
,
Purchasing power.
,
Purchasing power parity.
URI
http://etd.lib.metu.edu.tr/upload/12616270/index.pdf
https://hdl.handle.net/11511/22956
Collections
Graduate School of Social Sciences, Thesis
Suggestions
OpenMETU
Core
Modeling of exchange rates by multivariate adaptive regression splines and comparison with classical statistical methods
Köksal, Ece; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2017)
Economic factors like inflation, interest rates and exchange rates are among the leading indicators of a country’s relative level of economic health. With the help of technological improvements and global requirements, trading volume and a wide range of commerce network, exchange rates play a vital role in economics and finance since a higher exchange rate may result in a lower trade balance of a country, whereas a lower rate may cause an increase. Inflation, interest rates, domestic money supply growth, a ...
The validity of the relative purchasing power parity and the uncovered interest rate parity theories for the dollar/Euro exchange rate
Berberoğlu, Pınar; Güner, Zehra Nuray; Department of European Studies (2004)
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 Januar...
The Relationship between unemployment rate and growth: time series approach for Turkey
Akpiliç, Ferdi; Yozgatlıgil, Ceylan; Department of Statistics (2016)
This study analyzes the relationship of economic growth and unemployment by using quarterly data for the period 2005:Q1-2016:Q1 for Turkish Economy. Three different versions of Okun’s law which are difference, gap and dynamic versions are investigated in the study. According to results, it is found that Okun’s Law is valid for Turkey. In addition, productivity variable is added to dynamic models to test effect of productivity on unemployment rate and models results reveal positive relationship between produ...
Forecasting direction of exchange rate fluctuations with two dimensional patterns and currency strength
Özorhan, Mustafa Onur; Toroslu, İsmail Hakkı; Department of Computer Engineering (2017)
This thesis presents a method to predict the direction and magnitude of movement of currency pairs in the foreign exchange market. The method uses clustering and classification methods with a combination of two dimensional chart patterns, processed price data and technical indicator data. The input data is adapted to each trading day with a moving time-frame. The accuracy of the prediction models are tested across several different currency pairs. The experimental results suggest that using two dimensional ...
The role of foreign investors in the İstanbul Stock Exchange
Usta, Murat; Güner, Zehra Nuray; Department of Business Administration (2003)
This master thesis examines the role of foreign investors in the Istanbul Stock Exchange in three dimensions: differences among sectors and subsectors in terms of foreign trading activity, the effect of November 2000 ا February 2001 crisis on returns and foreign trading activity, and the relationship between return and foreign trading activity. Data used in this thesis covers 72 months between January 1997 and December 2002. Significant differences among sectors and subsectors in terms of foreign trading ac...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
C. Neslihan, “Testing the long-run validity of purchasing power parity for Eastern and Southern Europe Countries,” M.S. - Master of Science, Middle East Technical University, 2013.
