Asymmetric persistence in Turkish interest and inflation rates: New evidence from quantile unit root test with structural shifts

IF 2.8 3区 经济学 Q2 BUSINESS, FINANCE
Saban Nazlioglu, Sinem Pinar Gurel, Sevcan Gunes, Cagin Karul
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Abstract

This study investigates the persistence in Turkish interest and inflation rates since the implementation of inflation-targeting monetary policy, covering the period from January 2006 to July 2022. We focus on accounting for asymmetric persistence by benefiting from recent developments in quantile unit root analysis. The findings indicate that while the conventional unit root tests support the persistence of shocks to interest rates and inflation, the quantile unit root test demonstrates an asymmetric behaviour of the persistence,  implying a time-varying structure with mean reversion (persistency) of the shocks in low (high) inflation periods. Furthermore, the half-lives increase with the positive shocks, indicating a longer speed of adjustment in the high inflation regime. These findings provide new insights into the relationship between interest rates and inflation and have sound policy implications.

土耳其利率和通货膨胀率的非对称持续性:带有结构转变的量子单位根检验的新证据
本研究调查了土耳其自 2006 年 1 月至 2022 年 7 月实施通胀目标货币政策以来利率和通胀率的持续性。受益于量化单位根分析的最新发展,我们重点分析了非对称持续性。研究结果表明,虽然传统的单位根检验支持利率和通胀冲击的持续性,但量化单位根检验显示了持续性的非对称行为,这意味着在低通胀(高通胀)时期,冲击具有均值回归(持续性)的时变结构。此外,半衰期随着正向冲击的增加而增加,表明在高通胀制度下调整速度更快。这些发现为了解利率与通货膨胀之间的关系提供了新的视角,并具有合理的政策含义。
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来源期刊
CiteScore
5.70
自引率
6.90%
发文量
143
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