You are here

TESTING FOR MULTIPLE STRUCTURAL BREAKS: AN APPLICATION OF BAI-PERRON TEST TO THE NOMINAL INTEREST RATES AND INFLATION IN TURKEY

Journal Name:

Publication Year:

Author NameUniversity of Author
Abstract (2. Language): 
This paper aims to tests for multiple structural breaks in the nominal interest rate and inflation rate using the methodology developed by Bai and Perron (1998). The monthly data on Turkish 90 days time-deposits interest rate and consumer price index inflation rate over the period of 1980:1-2004:12 are used. The empirical results give little evidence of mean breaks in the interest rate series. However, the data on inflation rates is consistent with two breaks that are located at 1987:9 and
Abstract (Original Language): 
Bu çalışmada, Bai ve Perron'un (1998) yöntemi kullanılarak, nominal faiz oranları ve enflasyon oranları için birden fazla yapısal kırılmanın test edilmesi amaçlanmaktadır. Türkiye'nin 1980:1-2004:12 dönemini kapsayan, aylık, 90 günlük mevduat faiz oranları ve tüketici fiyatları endeksinden oluşturulan enflasyon oranları serileri kullanılmaktadır. Ampirik bulgular, faiz oranları serisinde bir yapısal kırılma bulunduğu yolunda zayıf sonuçlar vermektedir. Ancak, enflasyon oranları serisinde, 1987:9 ve 2000:2 dönemlerinde olmak üzere, iki adet ortalama kırılması bulunduğu doğrulanmaktadır.
81-93

REFERENCES

References: 

ANDREWS, D.W.K., (1993), "Tests for Parameter Instability and Structural Change with Unknown Change Point", Econometrica (61), 821- 856.
ANDREWS, D.W.K. and PLOBERGER, W., (1994), "Optimal Tests When a Nuisance Parameter is Present Only Under The Alternative", Econometrica (62), 1383-1414.
BAI, J. and P. PERRON (1998), "Estimating and Testing Linear Models with Multiple Structural Changes", Econometrica, (66), 47-78.
BAI, J. and P. PERRON (2003a), "Computation and Analysis of Multiple
Structural Change Models", Journal of Applied Econometrics, (18),
1-22.
92
BAI, J. and P. PERRON (2003b), "Critical Values for Multiple Structural Change Tests", Econometrics Journal, (1), 1-7.
BAI, J. and P. PERRON (2004), "Multiple Structural Change Models: A
Simulation Analysis". In: Corbea, D., Durlauf, S., Hansen, B.E. (Eds.), Econometric Essays. Cambridge University Press. In press.
BEN ARISSA, M.S. and JOUINI, J., (2003). "Structural Breaks in The US
Inflation Process", Applied Economics Letters (10), 633-636.
BEN ARISSA, M.S., M. BOUTAHAR and JOUINI J. (2004), "Bai and
Perron's and Spectral Density Methods for Structural Change Detection in the US Inflation Process". Applied Economics Letters, (11), 109- 115.
CHOW, G.C. (1960), "Tests of Equality between Sets of Coefficients in Two Linear Regressions". Econometrica, (28), 591-605.
JOUINI, J. and M. BOUTAHAR (2005), "Evidence on Structural Changes in
US. Time Series", Economic Modelling, (22), 391-422.
LIU, J., S. WU and J.V. ZIDEK (1997), "On Segmented Multivariate Regressions", Statistica Sinica, (7), 497-525.
PERRON, P. (1989), "The Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis", Econometrica, (57), 1361- 1401.
QUANDT, R.E. (1958), "The Estimation of Parameters of a Linear Regression System Obeying Two Separate Regimes", Journal of the American Statistical Association, (55), 873- 880.
QUANDT, R.E. (1960), "Tests of The Hypothesis that a Linear Regression Obeys Two Separate Regimes", Journal of the American Statistical Association, (55), 324- 330.
YAO, Y.C. (1988), "Estimating the Number of Change-Points via Schwarz' Criterion", Statistics & Probability Letters, (6), 181- 189.
YAO, Y.C. and S.T. AU (1989), "Least Squares Estimation of a Step Function", Sankhya Series A, (51), 370-381.
YIN, Y.Q. (1988), "Detection of the Number, Locations and Magnitudes of Jumps", Communications in Statistics, Stochastic Models, (4), 445¬455.
ZIVOT, E. and D.W.K. ANDREWS (1992), "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis", Journal of Business and Economic Statistics, (10), 251-270.

Thank you for copying data from http://www.arastirmax.com