Research Article


DOI :10.26650/JEPR.937488   IUP :10.26650/JEPR.937488    Full Text (PDF)

The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks

Mehmet Altuntaş

This study analyzes the validity of the uncovered interest rate parity for Brazil, India, Indonesia, South Africa, and Turkey, which are grouped as The Fragile Five countries within the literature. The econometric analysis section of the study benefits from unit root tests, a common method that researchers have started to utilize recently. For this reason, we used Dickey and Fuller (1979), Augmented Dickey and Fuller (1981), Philips and Perron (1988), Kwiatkowski et al. (1992), Perron (1989) unit root test with one break, Zivot and Andrews (1992) unit root test with one break, and Enders and Lee (2012) Fourier-ADF unit root tests. In line with the results of the analysis, we obtained strong evidence regarding the validity of the uncovered interest rate parity for Brazil, Indonesia, and Turkey. Results for India vary according to the structure of the break and where the structural break is taken into consideration. This shows that structural breaks and the economic circumstances of the period that the data set is from should be considered. Although results for South Africa show that interest rate parity is generally valid, results for the Fourier-ADF test, which allows for smooth breaks, offered evidence that the interest rate parity was not valid in these countries

JEL Classification : B26 , C22 , F31
DOI :10.26650/JEPR.937488   IUP :10.26650/JEPR.937488    Full Text (PDF)

Kırılgan Beşli Ülkelerinde Faiz Oranı Paritesi: Kırılmalı Birim Kök Testlerinden Kanıtlar

Mehmet Altuntaş

Bu çalışmada literatürde Kırılgan Beşli ülkeleri olarak gruplandırılan Brezilya, Hindistan, Endonezya, Güney Afrika ve Türkiye için kapsanmamış faiz oranı paritesinin geçerliliği araştırılmıştır. Çalışmanın ekonometrik analiz bölümünde son dönemlerde araştırmacılar tarafından yaygın olarak kullanılan birim kök testlerinden yararlanılmıştır. Bu noktada Dickey ve Fuller (1979), Genişletilmiş Dickey ve Fuller (1981), Philips ve Perron (1988), Kwiatkowski, Phillips, Schmidt ve Shin (1992), Perron (1989) tek kırılmalı birim kök, Zivot ve Andrews (1992) tek kırılmalı birim kök ve Enders ve Lee (2012) Fourier-ADF birim kök testleri kullanılmıştır. Analiz sonuçları doğrultusunda Brezilya, Endonezya ve Türkiye için kapsanmamış faiz oranı paritesinin geçerliliğine dair güçlü kanıtlar elde edilmiştir. Hindistan ilişkin sonuçlar yapısal kırılmanın dikkate alındığı durum ve dikkate alınan yapısal kırılmanın yapısına göre değişiklik göstermektedir. Bu durumda yapısal kırılmaların dikkate alınması ve veri setine ilişkin dönemin konjonktürel yapısının iyi bilinmesi konusunu gündeme getirmektedir. Güney Afrika’da ise sonuçlar çoğunlukla faiz oranı paritesinin geçerli olduğu yönünde olmasına rağmen, yumuşak kırılmalara izin veren Fourier-ADF testine ilişkin sonuçlar bu ülkelerde faiz oranı paritesinin geçersiz olduğuna dair kanıtlar sunmuştur. 

JEL Classification : B26 , C22 , F31

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APA

Altuntaş, M. (2021). The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks. Journal of Economic Policy Researches, 8(2), 327-349. https://doi.org/10.26650/JEPR.937488


AMA

Altuntaş M. The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks. Journal of Economic Policy Researches. 2021;8(2):327-349. https://doi.org/10.26650/JEPR.937488


ABNT

Altuntaş, M. The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks. Journal of Economic Policy Researches, [Publisher Location], v. 8, n. 2, p. 327-349, 2021.


Chicago: Author-Date Style

Altuntaş, Mehmet,. 2021. “The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks.” Journal of Economic Policy Researches 8, no. 2: 327-349. https://doi.org/10.26650/JEPR.937488


Chicago: Humanities Style

Altuntaş, Mehmet,. The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks.” Journal of Economic Policy Researches 8, no. 2 (Sep. 2021): 327-349. https://doi.org/10.26650/JEPR.937488


Harvard: Australian Style

Altuntaş, M 2021, 'The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks', Journal of Economic Policy Researches, vol. 8, no. 2, pp. 327-349, viewed 24 Sep. 2021, https://doi.org/10.26650/JEPR.937488


Harvard: Author-Date Style

Altuntaş, M. (2021) ‘The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks’, Journal of Economic Policy Researches, 8(2), pp. 327-349. https://doi.org/10.26650/JEPR.937488 (24 Sep. 2021).


MLA

Altuntaş, Mehmet,. The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks.” Journal of Economic Policy Researches, vol. 8, no. 2, 2021, pp. 327-349. [Database Container], https://doi.org/10.26650/JEPR.937488


Vancouver

Altuntaş M. The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks. Journal of Economic Policy Researches [Internet]. 24 Sep. 2021 [cited 24 Sep. 2021];8(2):327-349. Available from: https://doi.org/10.26650/JEPR.937488 doi: 10.26650/JEPR.937488


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Altuntaş, Mehmet. The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks”. Journal of Economic Policy Researches 8/2 (Sep. 2021): 327-349. https://doi.org/10.26650/JEPR.937488



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Submitted15.05.2021
Accepted13.06.2021

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