Empirical Testing of Purchasing Power Parity Validity in Selected European Union Countries
Povzetek
V tem članku empirično analiziramo veljavnost paritete kupne moči v Sloveniji, na Hrvaškem, Češkem, Slovaškem in v Avstriji. Rezultati kažejo mešano podporo paritete kupne moči, kar je značilno za nekdanje tranzicijske države. V prvem koraku empiričnega dela smo preverili stacionarnost realnega deviznega tečaja v logaritmu, v drugem koraku smo preizkusili kointegracijo med nominalnim deviznim tečajem in domačo ter tujo ravnjo cen, v tretjem koraku pa smo uporabili model za vektorsko popravljanje napak (VECM), da bi preverili, ali so predznaki spremenljivk v skladu z ekonomsko in ekonometrično teorijo. V zadnjem koraku smo uvedli omejitve simetričnosti in sorazmernosti koeficientov. Za Slovenijo veljajo omejitve simetričnosti in sorazmernosti koeficientov, kar pomeni veljavnost tako absolutne kot relativne različice teorije paritete kupne moči. Za Hrvaško velja omejitev simetričnosti, ne pa tudi omejitev sorazmernosti koeficientov, kar pomeni veljavnost relativne različice teorije paritete kupne moči. V primeru Češke, Slovaške in Avstrije pa omejitve simetričnosti in sorazmernosti koeficientov ne veljajo, kar posledično pomeni, da sta obe različici neveljavni. Če upoštevamo Liuja (1992), pa ta navaja, da je pomembneje preveriti prisotnost kointegracije kot simetričnost in sorazmernost koeficientov, saj obstaja kointegracija med nominalnim deviznim tečajem in tujimi ter domačimi cenami, torej teorija paritete kupne moči velja za vse izbrane države. Empirični rezultati kažejo, da so vse časovne vrste realnih deviznih tečajev stacionarne, poleg tega obstaja kointegracija med vsemi spremenljivkami za vse države, znaki koeficientov so statistično pomembni za vse spremenljivke v vseh državah, omejitve koeficientov pa so statistično pomembne le v Sloveniji in na Hrvaškem.
Prenosi
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