The Validity of Purchasing Power Parity for Azerbaijan, Kazakhstan, and Kyrgyzstan: Evidence from Unit Root and Co-integration Tests
Turhan Korkmaz, Emrah Ismail Cevik, Nuket Kirci Cevik
article (Uluslararası, Hakemli) | Yazar(lar): Turhan Korkmaz, Emrah Ismail Cevik, Nuket Kirci Cevik | Yıl: 2013 | Dergi/Kurum: BILIG | İndeks: WOS.SSCI | Anahtar Kelimeler: Purchasing Power Parity, Unit Root, Co-integration, Structural Break — Özet: In this study, we examine the validity of purchasing power parity by a
In this study, we examine the validity of purchasing power parity by applying unit root and co-integration tests which allow structural breaks in Azerbaijan, Kazakhstan, and Kyrgyzstan. Although conventional unit root and co-integration tests results indicate that purchasing power parity does not hold in these countries, we determine the validity of purchasing power parity according to unit root and co-integration tests which allow structural breaks. Also, we conclude that the exchange rate of these countries has been affected by the Russian financial crises of 1998 and that the crisis in question has led to structural breaks in the exchange rates of these countries.