IS INFLATION RATE OF TURKEY STATIONARY? EVIDENCE FROM UNIT ROOT TESTS WITH AND WITHOUT STRUCTURAL BREAKS
IS INFLATION RATE OF TURKEY STATIONARY? EVIDENCE FROM UNIT ROOT TESTS WITH AND WITHOUT STRUCTURAL BREAKS
Author(s): UĞUR SIVRISubject(s): National Economy, Economic policy, Financial Markets
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: Structural Breaks; Unit Root; Stationarity; Inflation Rate; Turkey;
Summary/Abstract: Turkey has high inflation experience and in order to bring inflation rate down as well as maintaining macroeconomic stability many policy changes and reforms have been implemented. Despite some success, decreasing inflation rate is still an aim of monetary policy and price stability is still faraway. This article investigates time series properties of Turkish CPI inflation rate in both seasonally unadjusted and adjusted forms. Results of various unit root tests without structural breaks generally show that inflation rate is a nonstationary variable. This article also uses one and two breaks minimum LM unit root tests due to Lee and Strazicich (2004, 2003), respectively. In this case, test results show that inflation rate is a stationary variable with breaks. Although selected break points differ with respect to models and variables to some extent, it is observed that one break occurred around March 1994, and the second break occurred around April 2001.
Journal: Review of Economic and Business Studies (REBS)
- Issue Year: 2017
- Issue No: 20
- Page Range: 29-52
- Page Count: 24
- Language: English
