Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations
The differing dynamics of the inflations of the services and goods sectors has been of major concern in Turkey. The persistence of the services sector inflation during disinflation periods hampered the efforts of the Central Bank of Turkey of hitting inflation targets in a country with long-lasting high inflation experience. In search of a possible long-run relationship between the services and goods sectors’ inflations, this paper employs a method based on periodograms of the series in addition to time series tools. A periodogram-based test has pros over conventional tests; this test is model-free, seasonally robust and mean invariant. Empirical findings obtained from the methods employed in this study, Engle-Granger’s and Johansen’s conventional long-run time series tools as well as periodogram based test, suggest that services and goods sector inflations in Turkey are not cointegrated.
Volume (Year): 2 (2010)
Issue (Month): 1 (April)
|Contact details of provider:|| Postal: Sairler Sokak, No:32/C, Gaziosmanpasa, Ankara, Turkey|
Phone: + 90 312 447 51 95
Fax: + 90 312 447 51 95
Web page: http://www.era.org.tr/
More information through EDIRC
References listed on IDEAS
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.:
- Balke, Nathan S & Fomby, Thomas B, 1997.
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
- Balke, Nathan S. & Fomby, Thomas B., 1992. "Threshold cointegration," Working Papers 9209, Federal Reserve Bank of Dallas.
- Svensson, Lars E. O., 1999. "Inflation targeting as a monetary policy rule," Journal of Monetary Economics, Elsevier, vol. 43(3), pages 607-654, June.
- Svensson, L.E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Papers 646, Stockholm - International Economic Studies.
- Lars E.O. Svensson, 1998. "Inflation Targeting as a Monetary Policy Rule," NBER Working Papers 6790, National Bureau of Economic Research, Inc.
- Svensson, Lars E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Seminar Papers 646, Stockholm University, Institute for International Economic Studies.
- Svensson, Lars E O, 1998. "Inflation Targeting as a Monetary Policy Rule," CEPR Discussion Papers 1998, C.E.P.R. Discussion Papers.
- Svensson, Lars E. O., 1998. "Inflation targeting as a monetary policy rule," CFS Working Paper Series 1998/16, Center for Financial Studies (CFS).
- Robert G. King, 2000. "The new IS-LM model : language, logic, and limits," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 45-103.
- Berument Hakan & Akdi Yilmaz & Atakan Cemal, 2005. "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(3), pages 1-14, September.
- Hakan Berument & Yilmaz Akdi & Cemal Atakan, 2006. "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Working Papers 0602, Department of Economics, Bilkent University.
- Esteve, Vicente & Gil-Pareja, Salvador & Martinez-Serrano, Jose Antonio & Llorca-Vivero, Rafael, 2006. "Threshold cointegration and nonlinear adjustment between goods and services inflation in the United States," Economic Modelling, Elsevier, vol. 23(6), pages 1033-1039, December.
- Kıvılcım METİN-ÖZCAN & Koray KALAFATCILAR, 2009. "Factors influencing relative price of goods and services sectors in Turkey: An econometric analysis," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 24(285), pages 48-72.
- Kivilcim Metin-Ozcan & Koray Kalafatcilar, 2009. "Factors Influencing Relative Price of Goods and Services Sectors in Turkey : An Econometric Analysis," Working Papers 0901, Department of Economics, Bilkent University.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:erh:journl:v:2:y:2010:i:1:p:3-10. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. F. Cosar)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.