Analysing Unit Root Properties of Macro-Economic Variables for Turkey
Öz
This paper will analyse the unit root properties of main macro-economic variables of Turkey. These macro-economic variables are always in demand by policy makers. This is why we have chosen 10 variables for investigation. This study will try to see whether these macro-economic variables are level stationary or first difference stationary. We applied traditional unit root and newly generated unit root tests which takes structural breaks into account for macro-economic variables of Turkey. Gross domestic product, real money supply of M1, Borsa Istanbul stock exchange index and non-agricultural unemployment rates seems to be non-stationary at their level; However, we found some mixed results for long term interest rates and interest rate spread. They appear to be either level stationary or first difference stationary. Though in most cases they are level stationary according to test results. Unemployment rate and capacity utilization rates are stationary in their level formation. Consumer Price Index of Turkey appears to be non-stationary both at level and when first differenced.
Bu çalışma, bazı önemli makro-ekonomik değişkenlerin birim kök özelliklerini inceleyecektir. Söz konusu makro-ekonomik değişkenler merkez bankaları tarafından sadece ekonomik analiz için değil, aynı zamanda üzerinde en çok durulan veri grupları arasında da yer alır. Türkiye Cumhuriyet Merkez Bankası’nın kullanmış olduğu önemli makro-ekonomik zaman serilerinin seviyede mi durağan oldukları yahut birinci dereceden farkları alındığında durağanlaştıklarını geleneksel zaman serisi birim kök testleri ve yapısal kırılmaları dikkate alan yeni nesil birim kök testleri kullanılarak araştırılmıştır. Reel GSMH, Reel M1 para arzı, BIST 100 endeksi ve Tarım-dışı işsizlik serileri seviyelerinde durağan değilken, işsizlik serisi seviyede durağan çıkmıştır. Bununla birlikte, faiz oranları vade farkı ve uzun vadeli faiz serilerinde ise karmaşık sonuçlar görülmüş ancak, daha çok seviyede durağanlığa yatkın oldukları tespit edilmiştir. Kapasite kullanım oranı serisi seviyede durağan görülmüştür. İlginç olan bulgu ise, Türkiye’ye ait Tüketici Fiyat Endeksi serisinin hem seviyede hem birinci farkları alındığında durağanlaşmadığı sonucuna ulaşılmıştır
Anahtar Kelimeler
Tam Metin:
PDFReferanslar
Beechey, M. & Österholm, P. (2008). Revisiting the uncertain unit root in GDP and CPI: Testing for non-linear trend reversion. Economics Letters, 100 (2008) 221–223.
Brooks, C., (2004). Introductory Econometrics for Finance, (5th edition), Cambridge University Press, Cambridge.
Carrera, J. E., Féliz, M., & Panigo, D. T. (2000). Unit roots and cycles in the main macroeconomic variables for Argentina. Documentos de Trabajo.
Cerrato, M., Kim, H. & MacDonald, R. (2013). Nominal Interest Rates and Stationarity. Review of Quantitative Finance and Accounting, May 2013, Volume 40, Issue 4, pp 741–745.
Chen, S.S. (2011). Lack of consumer confidence and stock returns. Journal of Empirical Finance 18 (2011) 225–236.
Cuestas, J.C. & Harrison, B. (2008). Testing for Stationarity of Inflation in Central and Eastern European Countries. Discussion Papers in Economics, Nottingham Trent University. No. 2008/13 ISSN 1478-9396.
Dickey, D.A. and Fuller, W.A., Likelihood ratio statistics for autoregressive time series with a Unit Root, Econometrica, 49, 1057-1072, 1981.
Elliott, G., Rothenberg, T. J., & Stock, J. H. (1992). Efficient tests for an autoregressive unit root.
Enders, W., Lee, J., 2012. “A unit root test using a Fourier series to approximate smooth breaks”, Oxford Bulletin of Economics and Statistics, 74(4), 574-599.
Enders, W., Lee, J., 2012. “The flexible Fourier form and Dickey-Fuller type unit root tests”, Economics Letters, 117, 196-199.
Im, K. S., Lee, J., & Tieslau, M. A. (2014). More powerful unit root tests with non-normal errors. In Festschrift in Honor of Peter Schmidt (pp. 315-342). Springer New York.
Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of econometrics, 54(1-3), 159-178.
Lee, J., Strazicich, M.C., 2003. Minimum Lagrange multiplier unit root test with two structural breaks. The Review Economics and Statistics 85, 1082–1089.
Lee, J., Strazicich, M.C., 2013. Minimum LM unit root test one two structural breaks. The Review Economics and Statistics 85, 1082–1089.
Mackinnon, J. G. (1991). Critical Values for Cointegration Tests”, R. F. Engle and C. W. J. Granger (Eds), Long-Run Economic Relationship: Readings in Cointegration. Oxford University Press, New York.
Narayan, P.K., Popp, S. (2010). A new unit root test with two structural breaks in level and slope at unknown time, Journal of Applied Statistics, 37:9, 1425-1438.
Omay, T. (2015). Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing. Economics letters, 134 (2015) 123–126.
Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
Rodrigues, P., Taylor, A.M.R., 2012. “The flexible Fourier form and local GLS de-trending unit root tests”, Oxford Bulletin of Economics and Statistics, 74(5), 736-759.
Salisu, A.A., Ndako, U.B., Oloko, T.F., & Akanni, L.O. (2016). Unit root modeling for trending stock market series. Borsa Istanbul Review, Volume 16, Issue 2, June 2016, pages 82-91.
Sarı, R., Hammoudeh, S., & Ewing, B. T. (2007). Dynamic Relationships Between Oil and Metal Commodity Futures Prices. Geopolitics of Energy, vol.29 no.17.
Subha, M.V. (2013). A study on stationarity of global stock market indices. Journal of Contemporary Research in Management, April - June, 2010.
Zivot, E., Andrews, W.K. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit root Hypothesis, Journal of Business and Economic Statistics 10(3), 251-270.
Refback'ler
- Şu halde refbacks yoktur.
Bu eser Creative Commons Atıf 4.0 Uluslararası Lisansı ile lisanslanmıştır.