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

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

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

asymmetrynon-normal errorsquantile unit rootstructural breaksTurkey

Saban Nazlioglu、Sinem Pinar Gurel、Sevcan Gunes、Cagin Karul

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Department of International Trade and Finance,Pamukkale University,Denizli,Turkey||Department of Economics and Finance,Nisantasi University,Istanbul,Turkey

Department of Economics,Pamukkale University,Denizli,Turkey

Department of Econometrics,Pamukkale University,Denizli,Turkey

2024

10.1002/ijfe.2855

International journal of finance & economics

International journal of finance & economics

ISSN：1076-9307
年,卷(期)：2024.29(4)
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