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Title:
PREVERJANJE VELJAVNOSTI PARITETE KUPNE MOČI NA PRIMERU DRŽAV EVRSKEGA OBMOČJA
Authors:
ID
Horvat, Vesna
(Author)
ID
Bekő, Jani
(Mentor)
More about this mentor...
Files:
MAG_Horvat_Vesna_2014.pdf
(1,62 MB)
MD5: C329BC7C9B0BA38C19A539B7FBD943D4
Language:
Slovenian
Work type:
Master's thesis/paper
Typology:
2.09 - Master's Thesis
Organization:
EPF - Faculty of Business and Economics
Abstract:
Magistrsko delo se ukvarja s problematiko dokazovanja veljavnosti teorije paritete kupne moči (PKM) s pomočjo ekonometričnih testov. Kljub splošni teoretični popularnosti koncepta PKM, je njegova empirična veljavnost pogosto predmet razprav. S to problematiko se ukvarjajo številne študije, ki se preverjanja veljavnosti teorije lotevajo z uporabo različnih vzorcev držav, z različnimi opazovanimi obdobji, z različnimi ekonometričnimi testi oziroma s kombinacijami vsega naštetega. Dejstvo je, da gre za aktualno raziskovalno področje, saj številni ekonomisti in ekonometriki iščejo poti do veljavnosti teorije PKM ter razloge za neuspešno dokazovanje le-te. Dokaze o veljavnosti teorije PKM smo poskušali poiskati tudi v tem magistrskem delu, in sicer za vzorec 12. držav evrskega območja. Časovna serija je potekala od začetka leta 1973 do maja 2014, za namene testiranja pa smo to obdobje razdelili še na dodatna štiri obdobja. Uporabljeno ekonometrično orodje je zajemalo dva linearna testa časovnih serij ter šest tipov panelnih testov. Za namene testiranja smo v nalogi opisali tudi teorijo stacionarnosti ter vse uporabljene teste. Ugotovili smo, da PKM velja izraziteje v celotnem opazovanem obdobju kot v podobdobjih. Več dokazov o veljavnosti PKM smo dobili v obdobju pred uvedbo evra kot v obdobju po tem, še zlasti v obdobju 1992–1998, ko smo za primer bazne valute nemška marka PKM lahko tudi potrdili.
Keywords:
pariteta kupne moči
,
omejitve teorije paritete kupne moči
,
ADF test
,
KPSS test
,
panelni testi enotskega korena
,
Hadri test.
Place of publishing:
Maribor
Publisher:
[V. Horvat]
Year of publishing:
2014
PID:
20.500.12556/DKUM-46669
UDC:
336.74
COBISS.SI-ID:
11857180
NUK URN:
URN:SI:UM:DK:TSVYQGV5
Publication date in DKUM:
17.11.2014
Views:
2309
Downloads:
400
Metadata:
Categories:
EPF
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Vancouver
:
HORVAT, Vesna, 2014,
PREVERJANJE VELJAVNOSTI PARITETE KUPNE MOČI NA PRIMERU DRŽAV EVRSKEGA OBMOČJA
[online]. Master’s thesis. Maribor : V. Horvat. [Accessed 17 April 2025]. Retrieved from: https://dk.um.si/IzpisGradiva.php?lang=eng&id=46669
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Secondary language
Language:
English
Title:
TESTING THE VALIDITY OF PURCHASING POWER PARITY IN THE CASE OF EURO AREA COUNTRIES
Abstract:
The subject of this master's thesis is search for the evidence of purchasing power parity (PPP) theory with several econometric tools. Despite the general theoretical popularity of the PPP concept, the empirical validity is still debatable. The PPP theory is the subject of many scientific studies, which try to crack the problem using different samples of countries, different observation periods, different and well developed econometric tests and combinations of all of the above. The fact is that PPP theory is a hot researching area, as many econometricians and econometrics are trying to find a way towards the validity of the PPP theory and also trying to find reasons for failing to do so. In this master’s thesis we have tried to find the evidence of PPP in the sample of 12 countries, which were first to adopt the new currency, euro. Time series started in 1973 and ended in May 2014 and for the purposes of testing we divided it into four sub-periods. We use several econometric tools, that included two linear time series test and six types of panel tests. For the purposes of testing we also described all of used tests and a theory of stationarity. We have found more evidence of PPP in the whole sample period than in the sub-periods. The evidence of PPP is stronger before the adoption of Euro, than the period after, especially in the sub-period since 1992 to 1998, when we were able to confirm the validity of PPP when German mark was used as the numeraire currency.
Keywords:
purchasing power parity
,
limitations of purchasing power parity theory
,
ADF test
,
KPSS test
,
panel unit root tests
,
Hadri test.
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