Türkiye İçin Önemli Bazı Makro-Ekonomik Değişkenlerin Birim Kök Testleri ile Sınanması

Year 2018, Issue: 39, 181 - 190, 01.02.2018

Erkan Kara Fatih Azman Oğuzhan Kodalak

Abstract

Bu çalışma, bazı önemli makro-ekonomik değişkenlerin birim kök özelliklerini inceleyecektir. Söz konusu makro-ekonomik değişkenler merkez bankaları tarafından sadece ekonomik analiz için değil, aynı zamanda üzerinde en çok durulan veri grupları arasında da yer alır. Türkiye Cumhuriyet Merkez Bankası’nın kullanmış olduğu önemli makro-ekonomik zaman serilerinin seviyede mi durağan oldukları yahut birinci dereceden farkları alındığında durağanlaştıklarını geleneksel zaman serisi birim kök testleri ve yapısal kırılmaları dikkate alan yeni nesil birim kök testleri kullanılarak araştırılmıştır. Reel GSMH, Reel M1 para arzı, BIST 100 endeksi ve Tarım-dışı işsizlik serileri seviyelerinde durağan değilken, işsizlik serisi seviyede durağan çıkmıştır. Bununla birlikte, faiz oranları vade farkı ve uzun vadeli faiz serilerinde ise karmaşık sonuçlar görülmüş ancak, daha çok seviyede durağanlığa yatkın oldukları tespit edilmiştir. Kapasite kullanım oranı serisi seviyede durağan görülmüştür. İlginç olan bulgu ise, Türkiye’ye ait Tüketici Fiyat Endeksi serisinin hem seviyede hem birinci farkları alındığında durağanlaşmadığı sonucuna ulaşılmıştır.

Keywords

Makro-ekonomik değişkenler, Birim kök, Yapısal kırılmalı, Merkez Bankası

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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