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Industrija
2014, vol. 42, br. 2, str. 93-113
jezik rada: engleski
vrsta rada: izvorni naučni članak
doi:10.5937/industrija42-4911


Ispitivanje hipoteze pariteta kupovnih snaga - rezultati testova jediničnog korena i kointegracione analize na dinar/evro i dinar/dolar deviznom kursu
Institut društvenih nauka, Beograd

e-adresa: ppetrovic@idn.org.rs

Projekat

Društvene transformacije u procesu evropskih integracija - multidisciplinarni pristup (MPNTR - 47010)

Sažetak

U radu smo prikazali rezultate empirijske analize relativne varijante pariteta kupovnih snaga (PKS) za dinar-evro i dinar-dolar devizni kurs. Istraživanje je sprovedeno za period januar 2007-avgust 2013. i obuhvata testiranje empirijske zasnovanosti snažne i slabe forme PKS. Prvi deo testiranja snažne forme PKS svodi se na ispitivanje nestacionarnosti vremenskih serija realnog deviznog kursa dinara prema evru i dolaru primenom standardnih testova jediničnog korena (ADF, PP, KPSS, DF-GLS). Budući da se dobijeni rezultati razlikuju od testa do testa, konačan zaključak o nestacionarnosti pomenutih serija izveden je na osnovu njihovog korelograma i običnih i parcijalnih autokorelacionih funkcija. Imajući u vidu smanjenu moć i pristrasnost standardnih testova jediničnog korena u prisustvu strukturnih lomova, prethodne nalaze proverili smo upotrebom LS (Lee and Strazicich) testa jediničnog korena za modele A i C sa jednim i dva strukturna loma. Nalazi do kojih smo došli potvrdili su nestacionarnost realnih deviznih kurseva. Testiranje slabe forme PKS sprovedeno je primenom Johansenovog i Engl-Grejndžerovog testa kointegracije s ciljem da se ispita prisustvo dugoročne ravnotežne relacije između nominalnih deviznih kurseva i inflacionih diferencijala, odnosno odgovarajućih indeksa cena. Rezultati testiranja pokazuju da pomenute serije nisu kointegrisane. Nestacionarnost realnih kurseva i odsustvo kointegracije između pomenutih serija pokazuju da PKS, bez obzira na formu, nema empirijsku podršku. Ovakvi rezultati ne iznenađuju, budući da se analiza odnosi na prilično kratak period, a da su i najtvrdokorniji zagovornici PKS prihvatili da PKS nije kratkoročna relacija.

Ključne reči

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