A thresold regression estimation of Philips Curve: Turkey case
Yıl: 2012 Cilt: 7 Sayı: 2 Sayfa Aralığı: 29 - 47 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022
A thresold regression estimation of Philips Curve: Turkey case
Öz: Bu çalışmada, Hansen (1996, 2000) tarafından geliştirilen eşik regresyon modeli kullanılarak, enflasyonun oluşumunda önemli role sahip değişkenlerle genişletilmiş bir Phillips Eğrisi ilişkisi tahmin edilmiştir. Ayrıca, Hamilton (2001)in esnek doğrusal olmayan çıkarım yaklaşımıyla doğrusal dışılığın varlığı ve eşik regresyon modelinin uygunluğu test edilmiştir. Bulgularımıza göre, Kapasite Kullanım Oranları değişkeni için %75lik bir eşik değere sahip olan model Türkiyedeki Phillips eğrisi ilişkisi için oldukça uygundur. Bu sonuç, yüksek ve düşük Kapasite Kullanım Oranlarının enflasyon üzerinde farklı etkilere sahip olduğu yönündeki iddiaları desteklemektedir. Ayrıca, Phillips Eğrisi konusunda Türkiye ekonomisi için yapılan diğer çalışmalardan farklı olarak, çalışmamız reel ekonomik aktivite ve enflasyon arasında istikrarlı bir doğrusal dışı ilişki sunmaktadır.
Anahtar Kelime: Konular:
Philips Eğrisinin eşik regresyon ile tahmini: Türkiye örneği
Öz: In this paper, using the threshold regression model developed by Hansen (1996, 2000), we estimated an extended Phillips curve relationship with variables playing an important role in the formation of inflation. We also used Hamilton s (2001) flexible nonlinear inference approach to test whether nonlinearity existed and if the threshold model was appropriate. According to our findings, the model in which the estimated threshold value for capacity utilization rate is equal to 75% is quite reasonable for modeling the Turkish Phillips curve. This result supports the idea that high and low capacity measures may have different impacts on inflation. Moreover, unlike other studies in Turkish Phillips Curve literature, it presents a stable nonlinear relationship between the real economic activity and inflation in Turkish economy.
Anahtar Kelime: Konular:
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
- Alvarez-Lois, P., (2000), Capacity Utilization and Monetary Policy, Working Paper Series Banco de Espana Documento de Trabajo No:0306.
- Bauer, P.W., (1990), A Re-examination of the relat ionship between Capacity Utilization and Inflation, Economic Review, Federal Re serve Bank of Cleveland 26 (3),2-12.
- Belton, W. J. J., Cebula, R. J., (2000), Capacity Utilization Rates and Unemployment Rates: Are They Complements or Substitutes in Warning about Future Inflation?, Applied Economics 32 (12), 1521-1532.
- Corrado, C. and Mattey, J., (1997), Capacity Utilization, Journal of Economic Perspectives 11, 151-167.
- Dave, C. (2006), Why is High Capacity Utilization No Longer In.ationary in Canada?, Department of Finance Canada Working Paper Series No. 2006-02.
- Demers, F., (2003), The Canadian Phillips Curve and Regime Shifting, Working Paper, Bank of Canada No. 32.
- Diebold, F. X. and Mariano, R. S., (1995), Comparing Predictive Accuracy, Journal of Business & Economic Statistics 13 (3), 253-263.
- Dupasquier, C. and Ricketts N., (1998), Non-Linearities in the Output-Infation Relationship: Some Empirical Results for Canada, Bank of Canada Working Paper No. 9814.
- Eliasson A. C., (2001), Is the Short-run Phillips Curve Nonlinear? Empirical Evidence for Australia, Sweden and the United States, Working Paper, Sveriges Risk Bank No.124.
- Finn, M. G., (1995), Is High Capacity Utilization Inflationary?, Economic Quarterly, Federal Reserve Bank of Richmond No.81.
- Garner, A. C., (1994), Capacity utilization and US Inflation, Economic Review, Federal Reserve Bank of Kansas City, 5-21.
- Gittings, T. A., (1998), Capacity Utilization and Inflation, Economic Perspectives, Federal Reserve Bank of Chicago, 2-9.
- Gordon, R.J., (1997), The Time-Varying NAIRU and Its Implications for Economic Policy, Journal of Economic Perspectives 11 (1), 11-32.
- Hamilton, J. D. (2001), A Parametric Approach to Flexible Nonlinear Inference, Econometrica 68, 537573.
- Hansen, B., (1996), Inference when a Nuisance Parameters Is not Identified under the Null Hypothesis, Econometrica 64, no. 2, 4 13-430.
- Hansen, B., (2000), Sample Splitting and Threshold Estimation, Econometrica 68, no. 3, 575-603.
- Kandil, M., (1998), Supply-Side Asymmetry and the Non-Neutrality of Demand Fluctuations, Journal of Macroeconomics, vol. 20(4), 785-809.
- Kibritcioglu, A., (1999), Turkiye'deki Ham Petrol ve Akaryakit Fiyat Artislari Ne Olcude Enflasyonisttir?, PetroGas no.13, 28-32.
- Kibritcioglu, A. and Kibritcioglu, B., (1999), Türkiyede Uzun-Donem Reel Doviz Kuru Dengesizligi, 1987-2003, Ankara: Hazine Mustesarligi Ekonomik Arastirmalar Gen. Mud., Arastirma ve Inceleme Dizisi 38.
- Kuştepeli, Y., (2005), A comprehensive Short-run Analysis of a (Possible) Turkish Phillips Curve, Applied Economics 37 no. 5, 581-591.
- Lee, J. and Strazicich, M. C., (2001), Break Point Estimation and Spurious Rejections with Endogenous Unit Root Tests, Oxford Bull etin of Economics and Statistics 63, 535-558.
- Lee, J. and Strazicich, M. C., (2003), Minimum Lagrange Multiplier Unit root Test with Two Structural Breaks, Review of Economics an d Statistics 85, 1082-1089.
- Mankiw, G., (2001), The Inexorable and Mysterious Tradeoff between Inflation and Unemployment, The Economic Journal 111 no. 47 1, C45-C61.
- McElhattan, R., (1978), Estimating a Stable Inflation rate of Capacity Utilization, Economic Review, Federal Reserve Bank of San Franci sco, 20-30.
- McElhattan, R., (1985), Inflation, Supply Shocks and the Stable Inflation Rate of Capacity Utilization, Economic Review, Federal Reserve Bank of San Francisco, 45-63.
- Onder, A. O., (2004), Forecasting Inflation in Emerging Markets by Using the Phillips Curve and Alternative Time Series Models, Emerging Markets Finance and Trade, 40 no. 2, 71-82.
- Onder, A. O., (2009), The stability of the Turkish Phillips curve and alternative regime shifting models, Applied Economics 41 (20), 2597-2604.
- Svensson L. E. O. (1999), Inflation Targeting as a Monetary Policy Rule , Journal of Monetary Economics, 43 no.3, 607-654.
- Shapiro, M. D., (1989), Assessing the Federal Reserve Measure of Capacity and Utilization, Brooking Papers on Economic Activity 1, 181-241.
- Staiger, D., Stock, J.H. and Watson, M., (1997), The NAIRU, Unemployment and Monetary Policy , Journal of Economic Perspectives 11 (1), 33-49.
- Telatar, E., Hasanov, M., (2006), The asymmetric effects of monetary shocks: the case of Turkey , Applied Economics, 38, 21992208.
- Tong, H., (1978), On a Threshold Model, in: C. H. Chen (Ed.) Pattern Recognition and Signal Processing, Amsterdam: Sijthoff and Noor dhoff, 575-586.
- Turner, P., (1997), The Phillips Curve, Parameter Instability and the Lucas Critique, Applied Economics, 29, 710.
| APA | ARABACI O, ERYİĞİT K (2012). A thresold regression estimation of Philips Curve: Turkey case. , 29 - 47. |
| Chicago | ARABACI OZER,ERYİĞİT Kadir Yasin A thresold regression estimation of Philips Curve: Turkey case. (2012): 29 - 47. |
| MLA | ARABACI OZER,ERYİĞİT Kadir Yasin A thresold regression estimation of Philips Curve: Turkey case. , 2012, ss.29 - 47. |
| AMA | ARABACI O,ERYİĞİT K A thresold regression estimation of Philips Curve: Turkey case. . 2012; 29 - 47. |
| Vancouver | ARABACI O,ERYİĞİT K A thresold regression estimation of Philips Curve: Turkey case. . 2012; 29 - 47. |
| IEEE | ARABACI O,ERYİĞİT K "A thresold regression estimation of Philips Curve: Turkey case." , ss.29 - 47, 2012. |
| ISNAD | ARABACI, OZER - ERYİĞİT, Kadir Yasin. "A thresold regression estimation of Philips Curve: Turkey case". (2012), 29-47. |
| APA | ARABACI O, ERYİĞİT K (2012). A thresold regression estimation of Philips Curve: Turkey case. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 7(2), 29 - 47. |
| Chicago | ARABACI OZER,ERYİĞİT Kadir Yasin A thresold regression estimation of Philips Curve: Turkey case. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 7, no.2 (2012): 29 - 47. |
| MLA | ARABACI OZER,ERYİĞİT Kadir Yasin A thresold regression estimation of Philips Curve: Turkey case. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol.7, no.2, 2012, ss.29 - 47. |
| AMA | ARABACI O,ERYİĞİT K A thresold regression estimation of Philips Curve: Turkey case. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2012; 7(2): 29 - 47. |
| Vancouver | ARABACI O,ERYİĞİT K A thresold regression estimation of Philips Curve: Turkey case. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2012; 7(2): 29 - 47. |
| IEEE | ARABACI O,ERYİĞİT K "A thresold regression estimation of Philips Curve: Turkey case." Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 7, ss.29 - 47, 2012. |
| ISNAD | ARABACI, OZER - ERYİĞİT, Kadir Yasin. "A thresold regression estimation of Philips Curve: Turkey case". Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 7/2 (2012), 29-47. |
