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Türkiye’de Mali Sürdürülebilirliğin Doğrusal Olmayan Bir Analizi: MLSTAR Çoklu Lojistik Yumuşak Geçişli Otoregresif Modeli

Yıl 2011, Cilt: 11 Özel Sayı, 41 - 58, 01.11.2011

Öz

İktisat yazınında mali disiplin yalnız maliye politikaları açısından değil para politikalarının başarısı açısından da merkezi role sahiptir. Bu çalışmada, Türkiye’de mali baskınlığın test edilmesinde zamanlararası bütçe kısıtı dahilindeki mali serilerde durağanlık testlerinden hareket edilen Hamilton ve Flavin (1986), Hakkio ve Rush (1991) ve Trehan ve Walsh (1988) çalışmalarında vurgulanan test yöntemlerinden farklı olarak doğrusal olmayan Yumuşak Geçişli Otoregresif (STAR) modelinin ikiden fazla rejimin modellenmesine olanak verecek şekilde genelleştirildiği Çoklu Lojistik STAR (MLSTAR) modelinden hareket edilmiştir. MLSTAR modelinin kurulum aşamaları Luukkonnen v.d. (1988)’in temel alınarak geliştirilen Teräsvirta (1994) yaklaşımı çerçevesinde ikiden fazla rejimli modele genelleştirilmiştir. Ampirik kısımda, faiz ödemeleri serisi doğrusal ADF, PP testleri, KPSS birim kök testi ve KSS doğrusal olmayan birim kök testi çerçevesinde durağanlık reddedilirken; ilgili örneklem ve veri seti için tahmin edilen MLSTAR modeli, MSE, MAE ve RMSE hata kriterleri ve Diebold–Mariano eşit tahmin tutarlılığı testi çerçevesinde doğrusal model ve iki rejimli LSTAR modeline karşı kabul edilmiştir. Türkiye’de bütçe politikaları açısından önem taşıyan faiz ödemeleri serilerinde rejimler arası asimetri ve eşik etkilerinin önem taşımasına ek olarak, mali baskınlığın ve kamu borç maliyetlerinin özellikle kriz dönemleri öncesinde mali sürdürülebilirliğin sağlanmasında önemli engel teşkil ettiği sonuçlarına varılmıştır

Kaynakça

  • Aiyagari, R. & Gertler, M. (1985) “The Backing of Government Bonds and Monetarism” Journal of Mone- tary Economics, 16:19-44.
  • Anders, U. & Korn, O. (1999) “Model Selection in Neural Networks” Neural Networks, 12: 309–23.
  • Arestis, P., Cipollini, A. & Fattouh, B. (2004) “Threshold Effects in the US Budget” Tor Vergata Uni- versity CEIS Research Papers, No:18.
  • Arghyrou M. & Luintel K. (2005) “Government Solvency, Revisiting Some EMU Countries” Discussion Paper, No:02-24.
  • Bahmani, S. (2007) “Do Budget Deficits Follow A Linear or Non-Linear Path?” Economics Bulletin, 5(14):1-9.
  • Bajo-Rubio, O., Diaz-Roldan, C. & Esteve, V. (2006), “Is the Budget Deficit Sustainable When Fiscal Policy is Non-linear? The Case of Spain” Journal of Mac- roeconomics, 28(3): 596-608.
  • Bildirici, M., Ersin, Ö. (2011) “Fiyat Teorisinin Mali Teorisine Farklı Bir Bakış: MLSTAR ve MLP Modelle- ri” TÜSIAD-Koç University Economic Research Forum Working Papers No:1115.
  • Caner, M. & Hansen, B. (2001) “Threshold Auto- regression with a Unit Root” Econometrica, 69(6):1555- 96.
  • Chortareas, G., Kapetanios, G. & Uctum, M. (2004) “An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests” Studi- es in Nonlinear Dynamics & Econometrics, 8(1).
  • Cipollini, A. (2001) “Testing for Government Inter- temporal Solvency, A Smooth Transition Error Correcti- on Model Approach” The Manchester School, 69 (6):643- 55.
  • Cipollini, A., Fattouh, B., Mouratidis, K. (2009) “Fiscal Readjustments in the United States, a Nonliner Time-Series Analysis” Economic Inquiry, 47(1):34-54.
  • Cochrane, J.H. (1998a) “Long Term Debt and Opti- mal Policy in the Fiscal Theory of the Price Level” Chi- cago University Graduate School of Business Working Papers, No:6771.
  • Cochrane, J.H (1998b) “A Frictionless View of Inf- lation”, Chicago University Graduate School of Business Working Papers, No:6641.
  • Colletaz, G. & Hurlin, C. (2006) “Threshold Effects of the Public Capital Productivity, An International Pa- nel Smooth Transition Approach” HAL Working Paper Series, 2006-01
  • Considine, J. Gallagher,L. (2004) “UK Debt Sustai- nability: Some Nonlinear Evidence and Theoretical Imp- lications” The Manchester Schoo, 76(3):320-35l.
  • Cruz, M. (2005) “A Three-regime Business Cycle Model for an Emerging Economy” Applied Economics Letters, 12:399–402.
  • D’Agostino R.B., Balanger A. & D’Agostino B.Jr. (1990) “A Suggestion for Using Powerful and Informa- tive Tests of Normality” American Statistician, 44:316- 21.
  • Davies, R. (1988) “Hypothesis Testing When a Nui- sance Parameter is Present Only Under The Alternative” Biometrika, 74:33-43.
  • Ersin, Ö. Ö. (2009) “Fiyatlar Genel Düzeyinin Be- lirlenmesine İlişkin Maliye Teorisinin Doğrusal Olmayan Zaman Serisi Bakımından İncelenmesi” Yayımlanmamış Doktora Tezi, Yıldız Teknik Üniversitesi, İstanbul, Sosyal Bilimler Enstitüsü.
  • Fouquau, J., Hurlin, C. & Rabaud, I. (2008) “The Feldstein-Horioka Puzzle, A Panel Smooth Transition Regression Approach” Economic Modelling, 25(2):284- 99.
  • Goldfeld, S.M. & Quandt R.E. (1972) Nonlinear Methods in Econometrics, 1st Edition, Amsterdam North Holland.
  • González, A. & Teräsvirta, T. (2008) “Modelling Au- toregressive Processes with a Shifting Mean” Studies in Nonlinear Dynamics and Econometrics, 12(1):1-28.
  • Granger, C. & Teräsvirta, T. (1993) Modelling Nonli- near Economic Relationships, 1st Edition, Oxford, Oxford University Press.
  • Haberler, G. (1946) Prosperity and Depression: A The- oretical Analysis of Cyclical Movements, 3rd Edition, New York.
  • Hakkio, C. & Rush, M. (1991) “Is The Budget Defi- cit ‘Too Large’?” Economic Inquiry, 429-445.
  • Hamilton, J. & Flavin, M. (1986) “On The Limi- tations of Government Borrowing: A Framework for Empiricial Testing” The American Economic Review, 76(4):808-19.
  • Hansen, B.E. & Seo, B. (2002) “Testing for Two- Regime Threshold Cointegration in Vector Error Correc- tion Models” Journal of Econometrics, 110(2):293-318.
  • Kapetanios, G., Shin, Y. & Snell, A. (2003) “Testing for a Unit Root in the Nonlinear STAR Framework” Jo- urnal of Econometrics, 112(2):359-79.
  • Kesriyeli, M., Osborn, D.R., Sensier, M. (2004) “Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US, UK and Germany” Central Bank of the Republic of Turkey Working Pa- pers, No:0414.
  • Kirchgaessner, G., and Prohl, S. (2006) “Sustainabi- lity of Swiss Fiscal Policy” Forthcoming in Swiss Journal of Economics and Statistics.
  • Leeper, E. (1991) “Equilibria under ‘Active’ and ‘Pas- sive’ Monetary and Fiscal Policies”, Journal of Monetary Economics, 27(1):129-47.
  • Lin, C.J. & Teräsvirta, T. (1994) “Testing the Cons- tancy of Regression Parameters Against Continuous Structural Change” Journal of Econometrics, 62(2):211- 228.
  • Luukkonen, R., Saikkonen, P. & Teräsvirta, T. (1988) “Testing Linearity Against Smooth Transition Autoregressive Models”, Biometrika, 75(3):491-499.
  • Marini G. & Piergallini A. (2008) “Indicators and Tests of Fiscal Sustainability: An Integrated Approach” CEIS Tor Vergata, Research Paper Series, 6(2):1-36
  • Medeiros, M. & Veiga, A. (2001) “Modeling Exc- hange Rates: Smooth Transitions, Neural Networks, and Linear Models” IEEE Transactions on Neural Networks, 12(4):1045–9227.
  • Milas C. & Rothman, P. (2004) “Multivariate STAR Unemployment Rate Forecasts” EconWPA Wor- king Paper Series, No:0502010.
  • Modigliani, F. (1971) “Monetary Policy and Con- sumption: Linkages via Interest Rate and Wealth Effects in the FMP Model” Consumer Spending and Monetary Policy: The Linkages, 94-97.
  • Modigliani, F. (1986) “Life Cycle, Individual Thrift and the Wealth of Nations” American Economic Review, 76(3):297-313.
  • Ando A. (1960) “The Permanent Income and the Life Cycle Hypothesis of Saving Behavior: Comparison andTests” Consumption and Saving, 2.
  • Ando A., Modigliani, F. (1963) “The ‘Life Cycle’ Hypothesis of Saving: Aggregate Implications and Tests” American Economic Review, 53(1):55-84.
  • Obstfeld, M. & Taylor, A.M. (1997) “Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher’s Commodity Points Revisited” Journal of the Japanese and International Economies, 11(4):441–79.
  • Ono, H. (2008) “Searching for Nonlinear Effects and Fiscal Sustainability in G-7 Countries”, Applied Eco- nomics Letters, 15(6):457-60.
  • Öcal, N. (2000) “Nonlinear Models for UK Macroe- conomic Time Series” Studies in Nonlinear Dynamics and Econometrics, 3(3):123-35.
  • Öcal, N. & Osborn, D.R. (2000) “Business Cycle Non-linearites in UK Consumption and Production”, Journal of Applied Econometrics, 15(1):27-43.
  • Patinkin, D. (1965) Money, Interest, and Prices, 2nd Edition, New York, Harper and Row.
  • Pigou, A. (1943) “The Classical Stationary State” Economic Journal, 53(4):343-51.
  • Quandt, R.E. (1958) “The Estimation of the Para- meters of a Linear Regression System Obeying Two Se- parate Regimes” Journal of the American Statistical Asso- ciation, 53:873–80.
  • Quintos, C. E. (1995) “Sustainability of the Deficit Process with Structural Shifts”, Journal of Business and Economic Statistics, 13(4):409-17.
  • Sargent, T. (1982) “The Ends of Four Big Inflations” Inflation: Causes and Effects, (eds.) R.E. Hall, Chicago, University of Chicago Press.
  • Sargent, Thomas J., Wallace, N. (1981) “Some Unp- leasant Monetarist Aritmetic” Federal Reserve Bank of Minneapolis Quarterly Review, 5(3):1-18.
  • Shapiro, S. S & Wilk, M.B. (1965) “An Analysis of Variance Test for Normality (Complete Samples)” Bio- metrika, 52(3-4):591–611.
  • Scitovszky, de T. (1941) “A Note on Welfare Propo- sitions in Economics” Review of Economics and Statistics, 9:77-88.
  • Sensier, M., Osborn, D., Öcal, N. (2002) “Asymmet- ric Interest Rate Effects for the UK Real Economy” Ox- ford Bulletin of Economics and Statistics, 64:315–39.
  • Sichel, D. E. (1993) “Business Cycle Asymmetry: A Deeper Look” Economic Inquiry, 31 (2):224-36.
  • SICHEL, D.E. (1994) “Inventories and the Three Phases of the Business of the Cycles”, Journal of Business and Economics Statistics, 12(3):269–77.
  • Sims, C. (1994) “A Simple Model for the Study of the Determination of the Price Level and the Interac- tion of Monetary and Fiscal Policy” Economic Theory, 4:381-99.
  • Sollis, R. (2004) “Asymmetric Adjustment and Smo- oth Transitions: A Combination of Some Unit Root Tests” Journal of Time Series Analysis, 25 (3):409–17.
  • Tanner, E. & Liu, P. (1994) “Is the Budget Deficit ‘Too Large’?: Some Further Evidence” Economic Inquiry, 32:511-18.
  • Taylor, M.P., Peel, D., Sarno, L. (2001) “Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solu- tion to the Purchasing Power Parity Puzzles” Internatio- nal Economic Review, 42(4):1015-1042.
  • Teräsvirta, T. (1994) “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models” Journal of the American Statistical Association, 89(425):208-18.
  • Teräsvirta, T. (1997a) “Modelling Economic Relati- onships with Smooth Transition Regressions” Working Paper Series in Economics and Finance, No:131.
  • Teräsvirta, T. (1997b) “Smooth Transition Models” System Dynamics in Economics and Financial Markets. (eds.). London, Wiley.
  • Teräsvirta, T., Lin, C., Granger, C. (1993) “Power of the Neural Network Linearity Test” Journal of Time Seri- es Analysis, 14(2):309-23.
  • Teräsvirta, T., Medeiros, M., Rech, G. (2006), “Buil- ding Neural Network Models for Time Series: a Statisti- cal Approach”, Journal of Forecasting, 25(1):49-75.
  • Trehan, B. & Walsh, C. (1988) “Common Trends, the Government Budget Constraint and Revenue Smo- othing” Journal of Economic Dynamics and Control, 12:425-44.
  • Tong, H. (1990) Nonlinear Time Series: A Dynamical System Approach, Oxford, Oxford University Press.
  • Uctum, M. & Wickens, M. (1997) “Debt and Defi- cit Ceilings, and Sustainability of Fiscal Policies: an In- tertemporal Analysis” CEPR Discussion Paper, No:1612.
  • Van Dijk, D., Franses, P. (1999) “Modelling Multip- le Regimes in the Business Cycle” Macroeconomic Dyna- mics, 3(3):311-40.
  • Woodford, M. (1994) “Monetary Policy and Pri- ce Level Determinacy in a Cash-in-Advance Economy” Economic Theory, 4:345-38.

A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth

Yıl 2011, Cilt: 11 Özel Sayı, 41 - 58, 01.11.2011

Öz

In economics literature, fiscal discipline is not only important in light of fiscal policy, but, it also deserves a central role in the success of monetary policies. In this study, the methodology to test fiscal dominancy focuses on the nonlinear Multi Logistic Smooth Transition Autoregression model (MLSTAR), which is different than two regime STAR models by allowing modeling fiscal variables with more than two regimes; and also different than the mainstream linear stationarity testing approach of Hamilton and Flavin (1986), Hakkio and Rush (1991) and Trehan and Walsh (1988). For the modeling steps of MLSTAR model, we generalized the two regime STAR type nonlinearity tests proposed among many by Teräsvirta (1994) based on Luukkonnen et al. (1988) in order to model STAR type additive nonlinearity with more than two regimes. In the empirical section, linear stationarity is rejected for interest payments of domestic and foreign debt ratio by ADF, PP and KPSS unit root tests. Futher, nonlinear KSS unit root test suggests a nonlinear unit root in the series. For the sample and variables analyzed, among nonlinear models, MLSTAR model is accepted vis-a-vis the nonlinear LSTAR model in light of forecast accuracy in terms of MSE, MAE, RMSE error criteria and Diebold-Mariano equal forecast accuracy tests. Accordingly, in addition to accepting the threshold effects and asymetric adjustment between regimes in interest payments on debt series, which deserves special attention on the success of budget policies; the fiscal dominance and high costs on the public debt in Turkey put significant burden on the achievement of fiscal solvency especially before and during the economic crises periods

Kaynakça

  • Aiyagari, R. & Gertler, M. (1985) “The Backing of Government Bonds and Monetarism” Journal of Mone- tary Economics, 16:19-44.
  • Anders, U. & Korn, O. (1999) “Model Selection in Neural Networks” Neural Networks, 12: 309–23.
  • Arestis, P., Cipollini, A. & Fattouh, B. (2004) “Threshold Effects in the US Budget” Tor Vergata Uni- versity CEIS Research Papers, No:18.
  • Arghyrou M. & Luintel K. (2005) “Government Solvency, Revisiting Some EMU Countries” Discussion Paper, No:02-24.
  • Bahmani, S. (2007) “Do Budget Deficits Follow A Linear or Non-Linear Path?” Economics Bulletin, 5(14):1-9.
  • Bajo-Rubio, O., Diaz-Roldan, C. & Esteve, V. (2006), “Is the Budget Deficit Sustainable When Fiscal Policy is Non-linear? The Case of Spain” Journal of Mac- roeconomics, 28(3): 596-608.
  • Bildirici, M., Ersin, Ö. (2011) “Fiyat Teorisinin Mali Teorisine Farklı Bir Bakış: MLSTAR ve MLP Modelle- ri” TÜSIAD-Koç University Economic Research Forum Working Papers No:1115.
  • Caner, M. & Hansen, B. (2001) “Threshold Auto- regression with a Unit Root” Econometrica, 69(6):1555- 96.
  • Chortareas, G., Kapetanios, G. & Uctum, M. (2004) “An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests” Studi- es in Nonlinear Dynamics & Econometrics, 8(1).
  • Cipollini, A. (2001) “Testing for Government Inter- temporal Solvency, A Smooth Transition Error Correcti- on Model Approach” The Manchester School, 69 (6):643- 55.
  • Cipollini, A., Fattouh, B., Mouratidis, K. (2009) “Fiscal Readjustments in the United States, a Nonliner Time-Series Analysis” Economic Inquiry, 47(1):34-54.
  • Cochrane, J.H. (1998a) “Long Term Debt and Opti- mal Policy in the Fiscal Theory of the Price Level” Chi- cago University Graduate School of Business Working Papers, No:6771.
  • Cochrane, J.H (1998b) “A Frictionless View of Inf- lation”, Chicago University Graduate School of Business Working Papers, No:6641.
  • Colletaz, G. & Hurlin, C. (2006) “Threshold Effects of the Public Capital Productivity, An International Pa- nel Smooth Transition Approach” HAL Working Paper Series, 2006-01
  • Considine, J. Gallagher,L. (2004) “UK Debt Sustai- nability: Some Nonlinear Evidence and Theoretical Imp- lications” The Manchester Schoo, 76(3):320-35l.
  • Cruz, M. (2005) “A Three-regime Business Cycle Model for an Emerging Economy” Applied Economics Letters, 12:399–402.
  • D’Agostino R.B., Balanger A. & D’Agostino B.Jr. (1990) “A Suggestion for Using Powerful and Informa- tive Tests of Normality” American Statistician, 44:316- 21.
  • Davies, R. (1988) “Hypothesis Testing When a Nui- sance Parameter is Present Only Under The Alternative” Biometrika, 74:33-43.
  • Ersin, Ö. Ö. (2009) “Fiyatlar Genel Düzeyinin Be- lirlenmesine İlişkin Maliye Teorisinin Doğrusal Olmayan Zaman Serisi Bakımından İncelenmesi” Yayımlanmamış Doktora Tezi, Yıldız Teknik Üniversitesi, İstanbul, Sosyal Bilimler Enstitüsü.
  • Fouquau, J., Hurlin, C. & Rabaud, I. (2008) “The Feldstein-Horioka Puzzle, A Panel Smooth Transition Regression Approach” Economic Modelling, 25(2):284- 99.
  • Goldfeld, S.M. & Quandt R.E. (1972) Nonlinear Methods in Econometrics, 1st Edition, Amsterdam North Holland.
  • González, A. & Teräsvirta, T. (2008) “Modelling Au- toregressive Processes with a Shifting Mean” Studies in Nonlinear Dynamics and Econometrics, 12(1):1-28.
  • Granger, C. & Teräsvirta, T. (1993) Modelling Nonli- near Economic Relationships, 1st Edition, Oxford, Oxford University Press.
  • Haberler, G. (1946) Prosperity and Depression: A The- oretical Analysis of Cyclical Movements, 3rd Edition, New York.
  • Hakkio, C. & Rush, M. (1991) “Is The Budget Defi- cit ‘Too Large’?” Economic Inquiry, 429-445.
  • Hamilton, J. & Flavin, M. (1986) “On The Limi- tations of Government Borrowing: A Framework for Empiricial Testing” The American Economic Review, 76(4):808-19.
  • Hansen, B.E. & Seo, B. (2002) “Testing for Two- Regime Threshold Cointegration in Vector Error Correc- tion Models” Journal of Econometrics, 110(2):293-318.
  • Kapetanios, G., Shin, Y. & Snell, A. (2003) “Testing for a Unit Root in the Nonlinear STAR Framework” Jo- urnal of Econometrics, 112(2):359-79.
  • Kesriyeli, M., Osborn, D.R., Sensier, M. (2004) “Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US, UK and Germany” Central Bank of the Republic of Turkey Working Pa- pers, No:0414.
  • Kirchgaessner, G., and Prohl, S. (2006) “Sustainabi- lity of Swiss Fiscal Policy” Forthcoming in Swiss Journal of Economics and Statistics.
  • Leeper, E. (1991) “Equilibria under ‘Active’ and ‘Pas- sive’ Monetary and Fiscal Policies”, Journal of Monetary Economics, 27(1):129-47.
  • Lin, C.J. & Teräsvirta, T. (1994) “Testing the Cons- tancy of Regression Parameters Against Continuous Structural Change” Journal of Econometrics, 62(2):211- 228.
  • Luukkonen, R., Saikkonen, P. & Teräsvirta, T. (1988) “Testing Linearity Against Smooth Transition Autoregressive Models”, Biometrika, 75(3):491-499.
  • Marini G. & Piergallini A. (2008) “Indicators and Tests of Fiscal Sustainability: An Integrated Approach” CEIS Tor Vergata, Research Paper Series, 6(2):1-36
  • Medeiros, M. & Veiga, A. (2001) “Modeling Exc- hange Rates: Smooth Transitions, Neural Networks, and Linear Models” IEEE Transactions on Neural Networks, 12(4):1045–9227.
  • Milas C. & Rothman, P. (2004) “Multivariate STAR Unemployment Rate Forecasts” EconWPA Wor- king Paper Series, No:0502010.
  • Modigliani, F. (1971) “Monetary Policy and Con- sumption: Linkages via Interest Rate and Wealth Effects in the FMP Model” Consumer Spending and Monetary Policy: The Linkages, 94-97.
  • Modigliani, F. (1986) “Life Cycle, Individual Thrift and the Wealth of Nations” American Economic Review, 76(3):297-313.
  • Ando A. (1960) “The Permanent Income and the Life Cycle Hypothesis of Saving Behavior: Comparison andTests” Consumption and Saving, 2.
  • Ando A., Modigliani, F. (1963) “The ‘Life Cycle’ Hypothesis of Saving: Aggregate Implications and Tests” American Economic Review, 53(1):55-84.
  • Obstfeld, M. & Taylor, A.M. (1997) “Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher’s Commodity Points Revisited” Journal of the Japanese and International Economies, 11(4):441–79.
  • Ono, H. (2008) “Searching for Nonlinear Effects and Fiscal Sustainability in G-7 Countries”, Applied Eco- nomics Letters, 15(6):457-60.
  • Öcal, N. (2000) “Nonlinear Models for UK Macroe- conomic Time Series” Studies in Nonlinear Dynamics and Econometrics, 3(3):123-35.
  • Öcal, N. & Osborn, D.R. (2000) “Business Cycle Non-linearites in UK Consumption and Production”, Journal of Applied Econometrics, 15(1):27-43.
  • Patinkin, D. (1965) Money, Interest, and Prices, 2nd Edition, New York, Harper and Row.
  • Pigou, A. (1943) “The Classical Stationary State” Economic Journal, 53(4):343-51.
  • Quandt, R.E. (1958) “The Estimation of the Para- meters of a Linear Regression System Obeying Two Se- parate Regimes” Journal of the American Statistical Asso- ciation, 53:873–80.
  • Quintos, C. E. (1995) “Sustainability of the Deficit Process with Structural Shifts”, Journal of Business and Economic Statistics, 13(4):409-17.
  • Sargent, T. (1982) “The Ends of Four Big Inflations” Inflation: Causes and Effects, (eds.) R.E. Hall, Chicago, University of Chicago Press.
  • Sargent, Thomas J., Wallace, N. (1981) “Some Unp- leasant Monetarist Aritmetic” Federal Reserve Bank of Minneapolis Quarterly Review, 5(3):1-18.
  • Shapiro, S. S & Wilk, M.B. (1965) “An Analysis of Variance Test for Normality (Complete Samples)” Bio- metrika, 52(3-4):591–611.
  • Scitovszky, de T. (1941) “A Note on Welfare Propo- sitions in Economics” Review of Economics and Statistics, 9:77-88.
  • Sensier, M., Osborn, D., Öcal, N. (2002) “Asymmet- ric Interest Rate Effects for the UK Real Economy” Ox- ford Bulletin of Economics and Statistics, 64:315–39.
  • Sichel, D. E. (1993) “Business Cycle Asymmetry: A Deeper Look” Economic Inquiry, 31 (2):224-36.
  • SICHEL, D.E. (1994) “Inventories and the Three Phases of the Business of the Cycles”, Journal of Business and Economics Statistics, 12(3):269–77.
  • Sims, C. (1994) “A Simple Model for the Study of the Determination of the Price Level and the Interac- tion of Monetary and Fiscal Policy” Economic Theory, 4:381-99.
  • Sollis, R. (2004) “Asymmetric Adjustment and Smo- oth Transitions: A Combination of Some Unit Root Tests” Journal of Time Series Analysis, 25 (3):409–17.
  • Tanner, E. & Liu, P. (1994) “Is the Budget Deficit ‘Too Large’?: Some Further Evidence” Economic Inquiry, 32:511-18.
  • Taylor, M.P., Peel, D., Sarno, L. (2001) “Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solu- tion to the Purchasing Power Parity Puzzles” Internatio- nal Economic Review, 42(4):1015-1042.
  • Teräsvirta, T. (1994) “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models” Journal of the American Statistical Association, 89(425):208-18.
  • Teräsvirta, T. (1997a) “Modelling Economic Relati- onships with Smooth Transition Regressions” Working Paper Series in Economics and Finance, No:131.
  • Teräsvirta, T. (1997b) “Smooth Transition Models” System Dynamics in Economics and Financial Markets. (eds.). London, Wiley.
  • Teräsvirta, T., Lin, C., Granger, C. (1993) “Power of the Neural Network Linearity Test” Journal of Time Seri- es Analysis, 14(2):309-23.
  • Teräsvirta, T., Medeiros, M., Rech, G. (2006), “Buil- ding Neural Network Models for Time Series: a Statisti- cal Approach”, Journal of Forecasting, 25(1):49-75.
  • Trehan, B. & Walsh, C. (1988) “Common Trends, the Government Budget Constraint and Revenue Smo- othing” Journal of Economic Dynamics and Control, 12:425-44.
  • Tong, H. (1990) Nonlinear Time Series: A Dynamical System Approach, Oxford, Oxford University Press.
  • Uctum, M. & Wickens, M. (1997) “Debt and Defi- cit Ceilings, and Sustainability of Fiscal Policies: an In- tertemporal Analysis” CEPR Discussion Paper, No:1612.
  • Van Dijk, D., Franses, P. (1999) “Modelling Multip- le Regimes in the Business Cycle” Macroeconomic Dyna- mics, 3(3):311-40.
  • Woodford, M. (1994) “Monetary Policy and Pri- ce Level Determinacy in a Cash-in-Advance Economy” Economic Theory, 4:345-38.
Toplam 69 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA39ZZ86TV
Bölüm Araştırma Makalesi
Yazarlar

Özgür Ömer Ersin Bu kişi benim

Yayımlanma Tarihi 1 Kasım 2011
Yayımlandığı Sayı Yıl 2011 Cilt: 11 Özel Sayı

Kaynak Göster

APA Ersin, Ö. Ö. (2011). A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth. Ege Academic Review, 11(5), 41-58.
AMA Ersin ÖÖ. A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth. eab. Kasım 2011;11(5):41-58.
Chicago Ersin, Özgür Ömer. “A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth”. Ege Academic Review 11, sy. 5 (Kasım 2011): 41-58.
EndNote Ersin ÖÖ (01 Kasım 2011) A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth. Ege Academic Review 11 5 41–58.
IEEE Ö. Ö. Ersin, “A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth”, eab, c. 11, sy. 5, ss. 41–58, 2011.
ISNAD Ersin, Özgür Ömer. “A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth”. Ege Academic Review 11/5 (Kasım 2011), 41-58.
JAMA Ersin ÖÖ. A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth. eab. 2011;11:41–58.
MLA Ersin, Özgür Ömer. “A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth”. Ege Academic Review, c. 11, sy. 5, 2011, ss. 41-58.
Vancouver Ersin ÖÖ. A Nonlinear Analysis of Fiscal Solvency in Turkey: MLSTAR Multi Logistic Smooth. eab. 2011;11(5):41-58.