Deviations from PPP and UIP in a financially open economy the Turkish evidence.pdf英文资料.pdfVIP

Applied Financial Economics, 2004, 14, 779–784 Deviations from PPP and UIP in a financially open economy: the Turkish evidence ¨ ¨ ERDAL O ZMEN* and AYSUN GO KCAN Middle East Technical University, Department of Economics, 06531, Ankara, Turkey This paper investigates the interrelations between purchasing power parity (PPP) 3 and uncovered interest parity (UIP) in Turkey using Johansen cointegration analysis 1 0 for a system containing Turkish and US inflation rates, interest rates, and exchange 2 h rate. The results of a structural model obtained by data-acceptable over-identifying c r a restrictions over the cointegration space suggest the existence of two cointegration M 4 vectors representing UIP and PPP with proportionality and symmetry conditions, 0 7 respectively. Consistent with the capital enhanced equilibrium exchange rates 0 : (CHEERs) approach, each of the international parity hypotheses is rejected when 0 2 t formulated independently. This is a theory-consistent result for a financially open a ] economy for which equilibrium conditions of asset and commodity markets may not y t i be independent of each other. s r e v i n U l l e n I. INTRODUCTION Johansen and Juselius (1992) and Juselius (1995) propose r o an approach combining both international parities. This C [ y The purchasing power parity (PPP) and uncovered approach allowing for interactions among prices, interest b d interest parity (UIP) hypotheses are among the most con