{"title":"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","authors":"Saban Nazlioglu, Sinem Pinar Gurel, Sevcan Gunes, Cagin Karul","doi":"10.1002/ijfe.2855","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"3831-3839"},"PeriodicalIF":2.8000,"publicationDate":"2023-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Asymmetric persistence in Turkish interest and inflation rates: New evidence from quantile unit root test with structural shifts\",\"authors\":\"Saban Nazlioglu, Sinem Pinar Gurel, Sevcan Gunes, Cagin Karul\",\"doi\":\"10.1002/ijfe.2855\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>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.</p>\",\"PeriodicalId\":47461,\"journal\":{\"name\":\"International Journal of Finance & Economics\",\"volume\":\"29 4\",\"pages\":\"3831-3839\"},\"PeriodicalIF\":2.8000,\"publicationDate\":\"2023-07-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Finance & Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2855\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Finance & Economics","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2855","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Asymmetric persistence in Turkish interest and inflation rates: New evidence from quantile unit root test with structural shifts
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.