Analysing Unit Root Properties of Macro-Economic Variables for Turkey
Abstract
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
Keywords
Macro-economic variables,Unit root,Structural breaks,Central bank
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