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Title:Empirično preverjanje veljavnosti paritete kupne moči v izbranih državah Evropske Unije
Authors:ID Plošinjak, Jelko (Author)
ID Festić, Mejra (Mentor) More about this mentor... New window
Files:.pdf MAG_Plosinjak_Jelko_2020.pdf (1,87 MB)
MD5: 36E0948ECC7C1DD9E56AB0ED3ACA0205
PID: 20.500.12556/dkum/d6f11fab-b327-480b-84de-dc2049700a1a
 
Language:Slovenian
Work type:Master's thesis/paper
Typology:2.09 - Master's Thesis
Organization:EPF - Faculty of Business and Economics
Abstract:V magistrskem delu empirično preverjamo veljavnost paritete kupne moči za Slovenijo, Hrvaško, Češko, Slovaško in Avstrijo. V teoretičnem delu smo predstavili temeljne teorije določanja deviznih tečajev in dejavnike, ki povzročajo odstopanja od teorije paritete kupne moči. S pomočjo in natančnim pregledom relevantnih empiričnih študij se seznanimo z uporabljeno metodologijo preverjanja teorije paritete kupne moči in rezultati empiričnih študij, ki dajejo mešane rezultate glede podpore teorije paritete kupne moči, kar je značilno za nekdanje tranzicijske države. Pred empiričnim delom smo še z makroekonomsko analizo analizirali gibanje izbranih makroekonomskih spremenljivk. V empiričnem delu smo v prvem koraku preverjali stacionarnost logaritma realnega deviznega tečaja, v drugem kointegracijo med nominalnim deviznim tečajem in domačo ter tujo ravnjo cen, v tretjem koraku pa smo z VECM preverili, ali so predznaki posameznih spremenljivk ekonomsko in ekonometrično ustrezni; izkazalo se je, da so. Nato smo še preverjali z uvedbo omejitev simetričnost in proporcionalnost koeficientov. Ugotavljamo stacionarnost časovne vrste logaritma realnega deviznega tečaja za vse države in kointegracijo med vsemi spremenljivkami za vse države; predznaki koeficientov so statistično značilni za vse spremenljivke pri vseh države, izkazalo pa se je, da omejitve glede koeficientov veljajo v treh državah.
Keywords:PKM, stacionarnost, kointegracija, ADF test, Johansenov test
Place of publishing:Maribor
Publisher:[J. Plošinjak]
Year of publishing:2020
PID:20.500.12556/DKUM-76723 New window
UDC:336.748
COBISS.SI-ID:34312707 New window
NUK URN:URN:SI:UM:DK:KVBCUHTB
Publication date in DKUM:27.10.2020
Views:940
Downloads:150
Metadata:XML DC-XML DC-RDF
Categories:EPF
:
PLOŠINJAK, Jelko, 2020, Empirično preverjanje veljavnosti paritete kupne moči v izbranih državah Evropske Unije [online]. Master’s thesis. Maribor : J. Plošinjak. [Accessed 17 April 2025]. Retrieved from: https://dk.um.si/IzpisGradiva.php?lang=eng&id=76723
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Licences

License:CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Link:http://creativecommons.org/licenses/by-nc-nd/4.0/
Description:The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.
Licensing start date:26.06.2020

Secondary language

Language:English
Title:Empirical Testing of Purchasing Power Parity Validity in Selected European Union Countries
Abstract:In master thesis, we empirical analyzing purchasing power parity validity in Slovenia, Croatia, Czech Republic, Slovakia and Austria. In theoretical part we present fundamental exchange rate theories and factors, which cause deviations of purchasing power parity. With thorough overview of relevant empirical studies we familiarise with used methodology for empirical analyzing of purchasing power parity validity and their resulsts that provide mixed support of purchasing power parity validity, which is tipical for ex-transition economies. Before empirical part of master thesis we analyzed with macroeconomic analysis movement of selected macroeconomic variables. In first step of empirical part we test stationarity of real exchange rate logarithm, in second step we test cointegration of nominal exchange rate, domestic and foreign price levels and in third step we use VECM to test if the signs of variables are in accordance with economics and econometrics theory, it turned out that they are. In final step we impose restrictions for symetry and proportionality of coefficients. The empirical resulsts suggest that all real exchange rate time series are stationary, additionally cointegration exists among all variables for all countries, signs of coefficients are statistical significant for all variables in all countries, but coefficients restrictions are statistical significant in three countries.
Keywords:PPP, stationarity, cointegration, ADF test, Johansen test.


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