VALIDITY OF PURCHASING POWER PARITY IN SELECTED EASTERN EUROPEAN COUNTRIES

Poglavitni namen magistrskega dela je analiza veljavnosti teorije paritete kupne moči (PKM) v izbranih evropskih tranzicijskih državah. Čeprav teorija PKM velja za preprosto teorijo, je le-ta v realnosti težko uresničljiva, saj obstajajo številne omejitve, ki nasprotujejo njeni veljavnosti. Poleg osnovnih omejitvenih dejavnikov, ki izhajajo iz mednarodne menjave, obstajajo številni drugi, za tranzicije države, specifični dejavniki. Te države se namreč razlikujejo od ostalih držav zahodne Evrope, saj so opravile prehod iz strogo centraliziranih držav v tržno usmerjene, zato so kot take doživele številne gospodarske spremembe. Tako so realni šoki, ki izhajajo iz narave njihove gospodarske preobrazbe, vplivali na gibanje realnega deviznega tečaja in s tem pripomogli k odstopanjem od veljavnosti PKM. Analizo veljavnosti teorije PKM smo opravili za šest držav članic Evropske unije, ki za zdaj še niso sprejele evra kot svoje valute, in sicer: Bolgarija, Češka, Hrvaška, Madžarska, Poljska in Romunija. Uporabili smo teste stacionarnosti časovne vrste, in sicer ADF in KPSS test. Osnovo analize predstavljajo izračunane serije podatkov o realnih deviznih tečajih. Pri tem smo za bazno valuto uporabili tako ameriški dolar kot evro. Veljavnost PKM smo sprva preverjali za celotno obdobje opazovanja, ki je zajemalo mesečne podatke od leta 1995 do leta 2015 v primeru uporabe ameriškega dolarja in od leta 1996 do leta 2015 v primeru uporabe evra. Celotno obdobje opazovanja smo razčlenili še na dve podobdobji, odvisni od vstopa posamezne države v Evropsko unijo – tako je prvo obdobje zajemalo čas od začetka opazovanja do vstopa države v Unijo in drugo obdobje od vstopa države v Unijo do konca obdobja opazovanja. Pri upoštevanju celotnega obdobja opazovanja nismo uspeli najti obsežnih dokazov v korist veljavnosti PKM v izbranih državah, zlasti to velja pri uporabi bazne valute ameriški dolar. Rezultati so nekoliko spodbudnejši v podobdobjih, saj nam je uspelo dokazati veljavnost PKM v nekaterih primerih. Ugotovili smo tudi, da ima evro kot referenčna valuta pri PKM pomembnejšo vlogo od ameriškega dolarja, še posebej po vstopu teh držav v Evropsko unijo.The main purpose of the master´s thesis is to analyse the validity of purchasing power parity (PPP) in the chosen European transition countries. Although the PPP theory is considered a simple theory, it is difficult to actualize it in reality, since there are many restrictions contradicting its validity. In addition to basic restriction factors arising from international trade, there are numerous other factors, specific for transition countries. These countries distinguish from other West European countries because they carried out a transition from strictly centralized countries to market-oriented countries. Therefore, they experienced numerous economic changes. Thus, the actual shocks originating in the nature of their economic transformation, influenced the movement of the real exchange rate, and therefore contributed to deviation from validity of the PPP. Analysis of validity of the PPP theory was performed for six EU Member States, which so far have not adopted Euro as their currency, namely Bulgaria, the Czech Republic, Croatia, Hungary, Poland, and Romania. We used time series stationarity tests, namely ADF and KPSS tests. The basis of the analysis is represented by the calculated data series on the real exchange rates. The basic currencies used were US dollar and Euro. At first, the validity of the PPP was checked for the entire period of observation, which encompassed monthly data from 1995 to 2015 in the case of use of US dollar, and from 1996 to 2015 in the case of use of Euro. The entire period was divided into two sub periods dependent on individual country´s entrance in the European Union. The first period therefore included the period from the beginning of the observation to the country´s entrance in the European Union, and the second period included the period from country´s entrance in the Union to the end of the observation period. When considering the entire observation period, we did not manage to find extensive evidence in favour of the PPP´s validity in the chosen countries, in particular in the period of the use of US dollar as a basic currency. The results are somewhat more encouraging in the sub periods, since we were able to prove validity of the PPP in some cases. We also established that Euro as a reference currency in the PPP plays a more important role than US dollar, especially after entrance of these countries in the European Union