Fai̇z Orani Pari̇tesi̇ Geçerli̇li̇ği̇ni̇n Test Edi̇lmesi̇: Kirilgan Beşli̇ Ülkeler Üzeri̇ne Ampi̇ri̇k Bi̇r Uygulama

Abstract

In this study, the validity of uncovered interest rate parity was aimed to be tested using historical data for montly basis from 2009-2019 by forming the cointegration and asymmetric causalty models with time series method in countries called "Fragile Five" (Brazil, Indonesia, South Africa, India, Turkey). The validity of the interest rate parity in Fragile Five countries was tested with both cointegration tests with structural break and without structural break. According to the findings obtained, without structural break unit root tests and Engle & Granger (EG) (1987) cointegration test results showed that the interest rate parity was not valid in all countries analyzed. When the same tests were repeated with unit root model with structural break and Gregory & Hansen (GH) (1996) cointegration model with structural break, it was seen that analysis results could differ. According to the models that did not take into account the structural break, cointegration was not detected in any country, while the results of the models with structural break showed cointegration in Brazil and the interest rate parity was valid. Therefore, this result showed that the models with structural break should be taken into consideration in the studies. According to the results of the Hatemi-J (2012) asymmetric causality test, causality relationship findings were obtained in Brazil,