Yapisal Kirilma Altinda Para Talebinin Istikrari: Türkiye Örnegi
Abstract(This paper is in Turkish) This study investigates the stability of the relationship between demand for real money, real income, and interest rates in Turkey using quarterly data for the period from 1988:I to 2005: IV. According to conventional stability tests the demand for money is subject to serious parameter instabilities, especially during the periods of economic crises. Zivot and Andrews (1992) unit root tests show the existence of structural breaks in the variables, but the existence of breaks do not change the results obtained from the conventional ADF tests. Although the standard multivariate cointegration analysis reveals a longrun relationship between variables, the evidence of cointegration is not present when a structural break is found in the relationship using Gregory and Hansen (1996) methodology. These findings show that Central Bank of Turkey must be cautious in using monetary aggregates as a potential indicator of monetary policy.
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Bibliographic InfoPaper provided by Ege University, Department of Economics in its series Working Papers with number 0611.
Length: 15 pages
Date of creation: Dec 2006
Date of revision:
Money Demand; Structural Break; Zivot-Andrews Unit Root Test; Gregory-Hansen Cointegration Test; Para Talebi; Yapisal Kirilma; Zivot-Andrews Birim Kök Testi; Gregory-Hansen Esbütünlesme Testi;
Other versions of this item:
- A. Nazif ÇATIK, 2007. "Yapısal kırılma altında para talebinin istikrarı: Türkiye örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 22(251), pages 103-113.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-14 (All new papers)
- NEP-CWA-2007-01-14 (Central & Western Asia)
- NEP-MAC-2007-01-14 (Macroeconomics)
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