The Stability Of The Turkish Phillips Curve And Alternative Regime Shifting Models
AbstractThis paper presents empirical evidence supporting instability of the Phillips curve in Turkey. We employ the multiple structural break models and the Markov switching models and then evaluate the performance of the two models. The data pertains to the monthly inflation rate in Turkey for the period of 1987-2004. The results show that the Turkish Phillips curve is not linear. There exists no evidence on the asymmetry in the inflation response to output gap. The persistence of inflation is found to be much lower than in linear models. After 2001 slight decline in persistence of inflation is observed.
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Bibliographic InfoPaper provided by Ege University, Department of Economics in its series Working Papers with number 0602.
Length: 23 pages
Date of creation: Mar 2006
Date of revision:
Phillips curve; multiple structural change models; Markov switching models;
Other versions of this item:
- A. Ozlem Onder, 2009. "The stability of the Turkish Phillips curve and alternative regime shifting models," Applied Economics, Taylor & Francis Journals, vol. 41(20), pages 2597-2604.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-18 (All new papers)
- NEP-CBA-2006-11-18 (Central Banking)
- NEP-CWA-2006-11-18 (Central & Western Asia)
- NEP-MAC-2006-11-18 (Macroeconomics)
- NEP-MON-2006-11-18 (Monetary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- A. Özlem Önder, 2004. "Forecasting Inflation in Emerging Markets by Using the Phillips Curve and Alternative Time Series Models," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 40(2), pages 71-82, March.
- Christopher Martin & A. Nazif Çatik & A. Özlem Onder, 2011.
"Relative price variability and the Phillips Curve: evidence from Turkey,"
Journal of Economic Studies,
Emerald Group Publishing, vol. 38(5), pages 546-561, November.
- A. Nazif Catik & Christopher Martin & A. Özlem Önder, 2008. "Relative Price Variability and the Philips Curve: Evidence from Turkey," Working Papers 0807, Ege University, Department of Economics.
- Islam, Faridul & Shahbaz, Muhammad & Shabbir, Muhammad, 2011. "Phillips curve in a small open economy: A time series exploration of North Cyprus," MPRA Paper 28397, University Library of Munich, Germany.
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