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

Yıl 2005, Cilt: 20 Sayı: 2 - Cilt: 20 Sayı: 2, 81 - 94, 25.07.2016

GÜLCAN Önel

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

Kaynakça

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