TESTING FOR MULTIPLE STRUCTURAL BREAKS: AN APPLICATION OF BAI-PERRON TEST TO THE NOMINAL INTEREST RATES AND INFLATION IN TURKEY

Öz

This paper aims to tests for multiple structural breaks in the nominal interest rate and inflation rate using the methodology developed by Bai and Perron (1998). The monthly data on Turkish 90 days time-deposits interest rate and consumer price index inflation rate over the period of 1980:1-2004:12 are used. The empirical results give little evidence of mean breaks in the interest rate series. However, the data on inflation rates is consistent with two breaks that are located at 1987:9 and 2000:2.

Anahtar Kelimeler

• Structural breaks, multiple breaks, Hypothesis Testing, Model selection, Bai-Perron Test

Öz

Bu çalışmada, Bai ve Perron’un (1998) yöntemi kullanılarak, nominal faiz oranları ve enflasyon oranları için birden fazla yapısal kırılmanın test edilmesi amaçlanmaktadır. Türkiye’nin 1980:1-2004:12 dönemini kapsayan, aylık, 90 günlük mevduat faiz oranları ve tüketici fiyatları endeksinden oluşturulan enflasyon oranları serileri kullanılmaktadır. Ampirik bulgular, faiz oranları serisinde bir yapısal kırılma bulunduğu yolunda zayıf sonuçlar vermektedir. Ancak, enflasyon oranları serisinde, 1987:9 ve 2000:2 dönemlerinde olmak üzere, iki adet ortalama kırılması bulunduğu doğrulanmaktadır.

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