A NONLINEAR UNIT ROOT APPROACH TO MODELLING NEW MONETARY POLICY: EVIDENCE FROM TURKEY
Yıl 2020,
, 695 - 719, 28.12.2020
Şiyar Canpolat
Ayşen Sivrikaya
Öz
In this study, we investigate the monetary policy reaction function regarding the post-2008 Global Financial Crisis using Turkish data over the period between 2009-2019. The novelty of this study is that we circumvent the unit root problem by applying the nonlinear unit root test, developed by Leybourne et al. (1998). The results imply that the Central Bank of the Republic of Turkey attaches more importance to price stability than the output gap. Moreover, we find that the Central Bank of the Republic of Turkey reacts to the real effective exchange rate, the gross foreign exchange reserves, the total credit volume of the banking sector, and the economic growth. This result is consistent with the new monetary policy in Turkey in the aftermath of the 2008 Global Financial Crisis.
Kaynakça
- Akyürek, C., A.M. Kutan, H. Yılmazkuday (2011), “Can Inflation Targeting Regimes be Effective in Developing Countries?, The Turkish Experience”, Journal of Asian Economics, 22, 343-355.
- Albayrak, N., Z. Abdioğlu (2015), “Geriye ve İleriye Dönük Para Politikası Reaksiyon Fonksiyonlarının Tahmini: Taylor Kuralı [Estimating backward and forward-looking monetary policy reaction functions: Taylor rule]”, Suleyman Demirel University the Journal of Faculty of Economics and Administrative Sciences, 20(4), 141-163.
- Alioğulları, Z.H., Y.S. Başkaya, Y.E. Bulut, M. Kılınç (2015), The Relationship of Consumer and Commercial Loans with Current Account Deficit in Turkey, CBT Research Notes in Economics 1519, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Bacon, D.W., D.G. Watts (1971), “Estimating the Transition between two Intersecting Straight Lines”, Biometrika, 58(3), 525-534.
- Ball, L.M. (1999), “PolicyRrules for Open Economies”, in J.B. Taylor (ed.), Monetary Policy Rules, University of Chicago Press, Chicago, 127-156.
- Becker, R., W. Enders, J. Lee (2006), “A Stationarity Test in the Presence of an unknown Number of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381-409.
- Bernanke, B. (1990), On the Predictive Power of Interest Rates and Interest Rate Spreads, NBER Working Paper No: 3486.
- Berument, H. (2007), “Measuring Monetary Policy for a Small Open Economy: Turkey”, Journal of Macroeconomics, 29, 411-430.
- Berument, H., K. Malatyalı (2000), “The Implicit Reaction Function of the Central Bank of the Republic of Turkey”, Applied Economics Letters, 7, 425-430.
- Berument, H., H. Taşçı (2004), “Monetary Policy rules in Practice: Evidence from Turkey”, International Journal of Finance and Economics, 9, 33-38.
- Berument, M.H., N.B. Ceylan, B. Doğan (2014), “An Interest-Rate-Spread-Based Measure of Turkish Monetary Policy”, Applied Economics, 46(15), 1804-1813.
- Bierens, H.J. (1997), “Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationarity, with an Application to the US Price Level and Interest Rate”, Journal of Econometrics, 81, 29-64.
- Canzoneri, M.B., R.E. Cumby, B.T. Diba (2007), “Euler Equations and Money Market Interest Rates: A Challenge for Monetary Policy Models”, Journal of Monetary Economics, 54, 1863–1881.
- Castro, V. (2011), “Can Central Banks’ Monetary Policy be Described by a Linear (augmented) Taylor Rule or by a Nonlinear Rule?”, Journal of Financial Stability, 7, 228-246.
- Castro, V., R.M. Sousa (2012), “How do Central Banks React to Wealth Composition and Asset Prices?”, Economic Modelling, 29, 641-653.
- Central Bank of the Republic of Turkey (2012a), 2013 Yılı Para ve Kur Politikası [Monetary and exchange rate policy for 2013], Ankara: Central Bank of the Republic of Turkey. http://www.tcmb.gov.tr, E.T.: 11.04.2020.
- Central Bank of the Republic of Turkey (2012b), Rezerv Opsiyonu Mekanizması [Reserve options mechanism], Bulletin, 28, 2-4, Ankara, http://www.tcmb.gov.tr, E.T.: 11.04.2020.
- Central Bank of the Republic of Turkey (2013), Parasal Aktarım Mekanizması [Monetary transmission mechanism], Ankara: Central Bank of the Republic of Turkey. http://www.tcmb.gov.tr, E.T.: 11.04.2020.
- Central Bank of the Republic of Turkey (2014), Inflation Report 2014-III, Ankara: Central Bank of the Republic of Turkey, http://www.tcmb.gov.tr, E.T.: 11.04.2020.
- Clarida, R., J. Gali, M. Gertler (1998), “Monetary Policy Rules in Practice Some International Evidence”, European Economic Review, 42, 1033-1067.
- Clarida, R., J. Gali, M. Gertler (1999), “The Science of Monetary Policy: A new Keynesian Perspective”, Journal of Economic Literature, 37, 1661-1707.
- Clarida, R., J. Gali, M. Gertler (2000), “Monetary policy rules and macroeconomic stability: Evidence and some theory”, The Quarterly Journal of Economics, 115, 147-180.
- Cukierman, A., Y. Izhakian (2015), “Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System”, Journal of Banking & Finance, 52, 160–179.
- Çamlıca, F. (2016), “Responsiveness of Monetary Policy to Financial Stress in Turkey”, Central Bank Review, 16, 143-150.
- Çebi, C. (2012), “The interaction between monetary and fiscal policies in Turkey: An estimated new Keynesian DSGE model”, Economic Modelling, 29, 1258-1267.
- Çevik, E.İ., D.Ç. Yıldırım (2018), “Para Politikası Tercihleri ile İşsizlik Oranları Arasındaki İlişki [The relation between monetary policy preferences and unemployment rate]”, Ege Academic Review, 18(1), 31-46.
- Dickey, D.A., W.A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366), 427-431.
- Dutkowsky, D.H., D.D. VanHoose (2020), “Equal Treatment under the Fed: Interest on Reserves, the Federal Funds Rate, and the ‘Third Regime’ of Bank Behavior”, Journal of Economics and Business, 107, 105860.
- Ekinci, M.F., F.P. Erdem, Z. Kilinc (2015), “Credit Growth, Current Account and Financial Depth”, Applied Economics, 47(17), 1809-1821.
- Elliott, G., T.J. Rothenberg, J.H. Stock (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64(4), 813-836.
- Enders, W., C.W.J. Granger (1998), “Unit-Root tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates”, Journal of Business & Economic Statistics, 16(3), 304-311.
- Friedman, B.M., K.N. Kuttner (1989), Money, Income and Prices after the 1980s, NBER Working Paper No: 2852.
- Granger, C.W.J., T. Terasvirta (1993), Modelling Nonlinear Economic Relationships, Oxford: Oxford University Press.
- Greenaway, D., S. Leybourne, D. Sapsford (1997), “Modeling Growth (and liberalization) Using Smooth Transitions Analysis”, Economic Inquiry, 35, 798-814.
- Hasanov, M., T. Omay (2008), “Monetary Policy Rules in Practice: Re-examining the Case of Turkey”, Physica A, 387, 4309-4318.
- Hodrick, R.J., E.C. Prescott (1997), “Postwar U.S. Business Cycles: An Empirical Investigation”, Journal of Money, Credit and Banking, 29(1), 1-16.
- Im, K.S., M.H. Pesaran, Y. Shin (2003), “Testing for Unit roots in Heterogeneous Panels”, Journal of Econometrics, 115, 53-74.
- Kapetanios, G., Y. Shin, A. Snell (2003), “Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics, 112, 359-379.
- Kara, H. (2012), Küresel Kriz Sonrası Para Politikası [Monetary policy after the global crisis], CBRT Working Paper No: 12/17, Ankara. http://www.tcmb.gov.tr.
- Kayhan, S., T. Bayat, A. Koçyiğit (2013), “Enflasyon Hedeflemesi Rejiminde Öğrenme Süreci ve Asimetri: Markov Awitching Yaklaşımı [Learning process and asymmetry in inflation targeting regime: Markov switching approach]”, Eskisehir Osmangazi University Journal of Economics and Administrative Sciences, 8(1), 191‐212.
- Komlan, F. (2013), “The Asymmetric Reaction of Monetary Policy to Inflation and the Output Gap: Evidence from Canada”, Economic Modelling, 30, 911-923.
- Kwiatkowski, D., P.C.B. Phillips, P. Schmidt, Y. Shin (1992), “Testing the Null Hypothesis of Stationarity Sgainst the Alternative of a unit root: How Sure are we that Economic Time Series have a Unit Root?”, Journal of Econometrics, 54, 159-178.
- Laurent, R.D. (1988), “An Interest Rate-Based Indicator of Monetary Policy”, Economic Perspectives, 12, 3-14.
- Leybourne, S., P. Newbold, D. Vougas (1998), “Unit Roots and Smooth Transitions”, Journal of Time Series Analysis, 19(1), 83-97.
- Lin, C.F.J., T. Terasvirta (1994), “Testing the Constancy of Regression Parameters Against Continuous Structural Change”, Journal of Econometrics, 62, 211-228.
- Lumsdaine, R.L., D.H. Papell (1997), “Multiple Trend Breaks and the Unit-Root Hypothesis”, The Review of Economics and Statistics, 79(2), 212-218.
- Maddala, G.S. (1977), Econometrics, New York: McGraw-Hill.
- Neuenkirch, M. (2014), “Are Public Preferences Reflected in Monetary Policy Reaction Functions?”, Journal of Macroeconomics, 40, 60-68.
- Omay, T. (2012), The Comparison of Optimization Algorithms on Unit Root Testing with Smooth Transition, Munich Personel RePEc Archive (MPRA) Paper No: 42129.
- Omay, T., M. Hasanov (2006), A Nonlinear Estimation of Monetary Policy Reaction Function for Turkey, Munich Personel RePEc Archive (MPRA) Paper No: 20154.
- Omay, T., D. Yıldırım (2013), Nonlinearity and Smooth Breaks in Unit Root Testing, Munich Personal RePEc Archive (MPRA) Paper No: 62334.
- Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57(6), 1361-1401.
- Perron, P. (1990), “Testing for a Unit root in a Time series with a Changing Mean”, Journal of Business & Economic Statistics, 8(2), 153-162.
- Perron, P. (1997), “Further Evidence on Breaking Trend Functions in Macroeconomic Variables”, Journal of Econometrics, 80, 355-385.
- Perron, P., S. Ng (1996), “Useful Modifications to Some Unit Root tests with Dependent Errors and Their local Asymptotic Properties”, Review of Economic Studies, 63, 435-463.
- Phillips, P.C.B., P. Perron (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), 335-346.
- Phillips, P.C.B., W. Ploberger (1994), “Posterior odds Testing for a Unit Root with Data-Based Model Selection”, Econometric Theory, 10(3/4), 774-808.
- Rappoport, P., L. Reichlin (1989), “Segmented Trends and Non-Stationary Time Series”, The Economic Journal, 99(395), 168-177.
- Sollis, R. (2004), “Asymmetric Adjustment and Smooth Transitions: A Combination of some unit Root Tests”, Journal of Time Series Analysis, 25(3), 409-417.
- Sollis, R. (2009), “A simple unit root test against asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries”, Economic Modelling, 26, 118-125.
- Sollis, R., S. Leybourne, P. Newbold (1999), “Unit Roots and Asymmetric Smooth Transitions”, Journal of Time Series Analysis, 20(6), 671-677.
- Sollis, R., S. Leybourne, P. Newbold (2002), “Tests for Symmetric and Asymmetric Nonlinear Mean Rversion in real Exchange Rates”, Journal of Money, Credit and Banking, 34(3), 686-700.
- Stock, J.H., M.W. Watson (1989), “New Indexes of Coincident and Leading Economic Indicators”, NBER Macroeconomics Annual, 4, 351-394.
- Taylor, J.B. (1993), Discretion Versus Policy Rules in Practice, Carnegie-Rochester Conference Series on Public Policy, 39, 195-214.
- Taylor, J.B., J.C. Williams (2008), A Black Swan in the Money Market, NBER Working Paper No: 13943.
- Taylor, J.B., J.C. Williams (2010), Simple and Robust rules for Monetary policy, NBER Working Paper Series No: 15908.
- Turkay, M. (2017), “Heterogeneity Across Emerging Market Central Bank Reaction Functions”, Central Bank Review, 17, 111-116.
- Uçar, N., T. Omay (2009), “Testing for Unit Root in Nonlinear Heterogeneous Panels”, Economics Letters, 104, 5-8.
- Van Dijk, D. (1999), Smooth Transition Models: Extensions and Outlier Robust Inference, Tinbergen Institute Research Series No: 200.
- Varlik, S., M.H. Berument (2017), “Multiple Policy Interest Rates and Economic Performance in a Multiple Monetary-Policy-Tool Environment”, International Review of Economics and Finance, 52, 107-126.
- Vougas, D.V. (2006), “On Unit Root Testing with Smooth Transitions”, Computational Statistics & Data Analysis, 51, 797-800.
- Vural, U. (2013), Geleneksel Olmayan Para Politikalarının Yükselişi [The rising of unconventional monetary policies], Dissertation, Ankara: Central Bank of the Republic of Turkey Communications and Foreign Relations Department.
- Yazgan, M.E., H. Yılmazkuday (2007), “Monetary policy rules in practice: Evidence from Turkey and Israel”, Applied Financial Economics, 17, 1-8.
- Yüksel, E., K. Metin-Özcan, O. Hatipoğlu (2013), “A Survey on Time-Varying parameter Taylor rule: A Model Modified with Interest Rate Pass-Through”, Economic Systems, 37, 122-134.
- Zivot, E., D.W.K. Andrews (1992), “Further Evidence on the Great Crash, the Oil-Orice Shock, and the Unit-Root Hypothesis”, Journal of Business & Economic Statistics, 10(3), 251-270.
YENİ PARA POLİTİKASININ DOĞRUSAL OLMAYAN BİRİM KÖK YAKLAŞIMI İLE MODELLENMESİ: TÜRKİYE ÖRNEĞİ
Yıl 2020,
, 695 - 719, 28.12.2020
Şiyar Canpolat
Ayşen Sivrikaya
Öz
Bu çalışmanın amacı 2008 Küresel Finansal Krizi sonrası döneme ilişkin Türkiye’nin para politikası reaksiyon fonksiyonunu 2009-2019 dönemi verilerini kullanarak tahmin etmektir. Bu amaçla, politika değişkeni Leybourne vd. (1998) tarafından geliştirilen doğrusal olmayan birim kök testi ile durağan olmayan yapısı dışlanarak durağan hale getirilmiştir. Çalışmada yürütülen reaksiyon fonksiyonu tahminlerine göre Türkiye Cumhuriyet Merkez Bankası (TCMB) fiyat istikrarına çıktı açığına göre daha fazla önem vermektedir. Ayrıca, TCMB’nin reel efektif döviz kuruna, brüt döviz rezervlerine, bankacılık sektörü toplam kredi hacmine ve ekonomik büyümeye tepki verdiği bulgularına ulaşılmıştır. Bu bulgular, 2008 Küresel Finansal Krizi sonrasında Türkiye’de uygulanmaya başlanan yeni para politikası ile tutarlıdır.
Kaynakça
- Akyürek, C., A.M. Kutan, H. Yılmazkuday (2011), “Can Inflation Targeting Regimes be Effective in Developing Countries?, The Turkish Experience”, Journal of Asian Economics, 22, 343-355.
- Albayrak, N., Z. Abdioğlu (2015), “Geriye ve İleriye Dönük Para Politikası Reaksiyon Fonksiyonlarının Tahmini: Taylor Kuralı [Estimating backward and forward-looking monetary policy reaction functions: Taylor rule]”, Suleyman Demirel University the Journal of Faculty of Economics and Administrative Sciences, 20(4), 141-163.
- Alioğulları, Z.H., Y.S. Başkaya, Y.E. Bulut, M. Kılınç (2015), The Relationship of Consumer and Commercial Loans with Current Account Deficit in Turkey, CBT Research Notes in Economics 1519, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Bacon, D.W., D.G. Watts (1971), “Estimating the Transition between two Intersecting Straight Lines”, Biometrika, 58(3), 525-534.
- Ball, L.M. (1999), “PolicyRrules for Open Economies”, in J.B. Taylor (ed.), Monetary Policy Rules, University of Chicago Press, Chicago, 127-156.
- Becker, R., W. Enders, J. Lee (2006), “A Stationarity Test in the Presence of an unknown Number of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381-409.
- Bernanke, B. (1990), On the Predictive Power of Interest Rates and Interest Rate Spreads, NBER Working Paper No: 3486.
- Berument, H. (2007), “Measuring Monetary Policy for a Small Open Economy: Turkey”, Journal of Macroeconomics, 29, 411-430.
- Berument, H., K. Malatyalı (2000), “The Implicit Reaction Function of the Central Bank of the Republic of Turkey”, Applied Economics Letters, 7, 425-430.
- Berument, H., H. Taşçı (2004), “Monetary Policy rules in Practice: Evidence from Turkey”, International Journal of Finance and Economics, 9, 33-38.
- Berument, M.H., N.B. Ceylan, B. Doğan (2014), “An Interest-Rate-Spread-Based Measure of Turkish Monetary Policy”, Applied Economics, 46(15), 1804-1813.
- Bierens, H.J. (1997), “Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationarity, with an Application to the US Price Level and Interest Rate”, Journal of Econometrics, 81, 29-64.
- Canzoneri, M.B., R.E. Cumby, B.T. Diba (2007), “Euler Equations and Money Market Interest Rates: A Challenge for Monetary Policy Models”, Journal of Monetary Economics, 54, 1863–1881.
- Castro, V. (2011), “Can Central Banks’ Monetary Policy be Described by a Linear (augmented) Taylor Rule or by a Nonlinear Rule?”, Journal of Financial Stability, 7, 228-246.
- Castro, V., R.M. Sousa (2012), “How do Central Banks React to Wealth Composition and Asset Prices?”, Economic Modelling, 29, 641-653.
- Central Bank of the Republic of Turkey (2012a), 2013 Yılı Para ve Kur Politikası [Monetary and exchange rate policy for 2013], Ankara: Central Bank of the Republic of Turkey. http://www.tcmb.gov.tr, E.T.: 11.04.2020.
- Central Bank of the Republic of Turkey (2012b), Rezerv Opsiyonu Mekanizması [Reserve options mechanism], Bulletin, 28, 2-4, Ankara, http://www.tcmb.gov.tr, E.T.: 11.04.2020.
- Central Bank of the Republic of Turkey (2013), Parasal Aktarım Mekanizması [Monetary transmission mechanism], Ankara: Central Bank of the Republic of Turkey. http://www.tcmb.gov.tr, E.T.: 11.04.2020.
- Central Bank of the Republic of Turkey (2014), Inflation Report 2014-III, Ankara: Central Bank of the Republic of Turkey, http://www.tcmb.gov.tr, E.T.: 11.04.2020.
- Clarida, R., J. Gali, M. Gertler (1998), “Monetary Policy Rules in Practice Some International Evidence”, European Economic Review, 42, 1033-1067.
- Clarida, R., J. Gali, M. Gertler (1999), “The Science of Monetary Policy: A new Keynesian Perspective”, Journal of Economic Literature, 37, 1661-1707.
- Clarida, R., J. Gali, M. Gertler (2000), “Monetary policy rules and macroeconomic stability: Evidence and some theory”, The Quarterly Journal of Economics, 115, 147-180.
- Cukierman, A., Y. Izhakian (2015), “Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System”, Journal of Banking & Finance, 52, 160–179.
- Çamlıca, F. (2016), “Responsiveness of Monetary Policy to Financial Stress in Turkey”, Central Bank Review, 16, 143-150.
- Çebi, C. (2012), “The interaction between monetary and fiscal policies in Turkey: An estimated new Keynesian DSGE model”, Economic Modelling, 29, 1258-1267.
- Çevik, E.İ., D.Ç. Yıldırım (2018), “Para Politikası Tercihleri ile İşsizlik Oranları Arasındaki İlişki [The relation between monetary policy preferences and unemployment rate]”, Ege Academic Review, 18(1), 31-46.
- Dickey, D.A., W.A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366), 427-431.
- Dutkowsky, D.H., D.D. VanHoose (2020), “Equal Treatment under the Fed: Interest on Reserves, the Federal Funds Rate, and the ‘Third Regime’ of Bank Behavior”, Journal of Economics and Business, 107, 105860.
- Ekinci, M.F., F.P. Erdem, Z. Kilinc (2015), “Credit Growth, Current Account and Financial Depth”, Applied Economics, 47(17), 1809-1821.
- Elliott, G., T.J. Rothenberg, J.H. Stock (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64(4), 813-836.
- Enders, W., C.W.J. Granger (1998), “Unit-Root tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates”, Journal of Business & Economic Statistics, 16(3), 304-311.
- Friedman, B.M., K.N. Kuttner (1989), Money, Income and Prices after the 1980s, NBER Working Paper No: 2852.
- Granger, C.W.J., T. Terasvirta (1993), Modelling Nonlinear Economic Relationships, Oxford: Oxford University Press.
- Greenaway, D., S. Leybourne, D. Sapsford (1997), “Modeling Growth (and liberalization) Using Smooth Transitions Analysis”, Economic Inquiry, 35, 798-814.
- Hasanov, M., T. Omay (2008), “Monetary Policy Rules in Practice: Re-examining the Case of Turkey”, Physica A, 387, 4309-4318.
- Hodrick, R.J., E.C. Prescott (1997), “Postwar U.S. Business Cycles: An Empirical Investigation”, Journal of Money, Credit and Banking, 29(1), 1-16.
- Im, K.S., M.H. Pesaran, Y. Shin (2003), “Testing for Unit roots in Heterogeneous Panels”, Journal of Econometrics, 115, 53-74.
- Kapetanios, G., Y. Shin, A. Snell (2003), “Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics, 112, 359-379.
- Kara, H. (2012), Küresel Kriz Sonrası Para Politikası [Monetary policy after the global crisis], CBRT Working Paper No: 12/17, Ankara. http://www.tcmb.gov.tr.
- Kayhan, S., T. Bayat, A. Koçyiğit (2013), “Enflasyon Hedeflemesi Rejiminde Öğrenme Süreci ve Asimetri: Markov Awitching Yaklaşımı [Learning process and asymmetry in inflation targeting regime: Markov switching approach]”, Eskisehir Osmangazi University Journal of Economics and Administrative Sciences, 8(1), 191‐212.
- Komlan, F. (2013), “The Asymmetric Reaction of Monetary Policy to Inflation and the Output Gap: Evidence from Canada”, Economic Modelling, 30, 911-923.
- Kwiatkowski, D., P.C.B. Phillips, P. Schmidt, Y. Shin (1992), “Testing the Null Hypothesis of Stationarity Sgainst the Alternative of a unit root: How Sure are we that Economic Time Series have a Unit Root?”, Journal of Econometrics, 54, 159-178.
- Laurent, R.D. (1988), “An Interest Rate-Based Indicator of Monetary Policy”, Economic Perspectives, 12, 3-14.
- Leybourne, S., P. Newbold, D. Vougas (1998), “Unit Roots and Smooth Transitions”, Journal of Time Series Analysis, 19(1), 83-97.
- Lin, C.F.J., T. Terasvirta (1994), “Testing the Constancy of Regression Parameters Against Continuous Structural Change”, Journal of Econometrics, 62, 211-228.
- Lumsdaine, R.L., D.H. Papell (1997), “Multiple Trend Breaks and the Unit-Root Hypothesis”, The Review of Economics and Statistics, 79(2), 212-218.
- Maddala, G.S. (1977), Econometrics, New York: McGraw-Hill.
- Neuenkirch, M. (2014), “Are Public Preferences Reflected in Monetary Policy Reaction Functions?”, Journal of Macroeconomics, 40, 60-68.
- Omay, T. (2012), The Comparison of Optimization Algorithms on Unit Root Testing with Smooth Transition, Munich Personel RePEc Archive (MPRA) Paper No: 42129.
- Omay, T., M. Hasanov (2006), A Nonlinear Estimation of Monetary Policy Reaction Function for Turkey, Munich Personel RePEc Archive (MPRA) Paper No: 20154.
- Omay, T., D. Yıldırım (2013), Nonlinearity and Smooth Breaks in Unit Root Testing, Munich Personal RePEc Archive (MPRA) Paper No: 62334.
- Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57(6), 1361-1401.
- Perron, P. (1990), “Testing for a Unit root in a Time series with a Changing Mean”, Journal of Business & Economic Statistics, 8(2), 153-162.
- Perron, P. (1997), “Further Evidence on Breaking Trend Functions in Macroeconomic Variables”, Journal of Econometrics, 80, 355-385.
- Perron, P., S. Ng (1996), “Useful Modifications to Some Unit Root tests with Dependent Errors and Their local Asymptotic Properties”, Review of Economic Studies, 63, 435-463.
- Phillips, P.C.B., P. Perron (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), 335-346.
- Phillips, P.C.B., W. Ploberger (1994), “Posterior odds Testing for a Unit Root with Data-Based Model Selection”, Econometric Theory, 10(3/4), 774-808.
- Rappoport, P., L. Reichlin (1989), “Segmented Trends and Non-Stationary Time Series”, The Economic Journal, 99(395), 168-177.
- Sollis, R. (2004), “Asymmetric Adjustment and Smooth Transitions: A Combination of some unit Root Tests”, Journal of Time Series Analysis, 25(3), 409-417.
- Sollis, R. (2009), “A simple unit root test against asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries”, Economic Modelling, 26, 118-125.
- Sollis, R., S. Leybourne, P. Newbold (1999), “Unit Roots and Asymmetric Smooth Transitions”, Journal of Time Series Analysis, 20(6), 671-677.
- Sollis, R., S. Leybourne, P. Newbold (2002), “Tests for Symmetric and Asymmetric Nonlinear Mean Rversion in real Exchange Rates”, Journal of Money, Credit and Banking, 34(3), 686-700.
- Stock, J.H., M.W. Watson (1989), “New Indexes of Coincident and Leading Economic Indicators”, NBER Macroeconomics Annual, 4, 351-394.
- Taylor, J.B. (1993), Discretion Versus Policy Rules in Practice, Carnegie-Rochester Conference Series on Public Policy, 39, 195-214.
- Taylor, J.B., J.C. Williams (2008), A Black Swan in the Money Market, NBER Working Paper No: 13943.
- Taylor, J.B., J.C. Williams (2010), Simple and Robust rules for Monetary policy, NBER Working Paper Series No: 15908.
- Turkay, M. (2017), “Heterogeneity Across Emerging Market Central Bank Reaction Functions”, Central Bank Review, 17, 111-116.
- Uçar, N., T. Omay (2009), “Testing for Unit Root in Nonlinear Heterogeneous Panels”, Economics Letters, 104, 5-8.
- Van Dijk, D. (1999), Smooth Transition Models: Extensions and Outlier Robust Inference, Tinbergen Institute Research Series No: 200.
- Varlik, S., M.H. Berument (2017), “Multiple Policy Interest Rates and Economic Performance in a Multiple Monetary-Policy-Tool Environment”, International Review of Economics and Finance, 52, 107-126.
- Vougas, D.V. (2006), “On Unit Root Testing with Smooth Transitions”, Computational Statistics & Data Analysis, 51, 797-800.
- Vural, U. (2013), Geleneksel Olmayan Para Politikalarının Yükselişi [The rising of unconventional monetary policies], Dissertation, Ankara: Central Bank of the Republic of Turkey Communications and Foreign Relations Department.
- Yazgan, M.E., H. Yılmazkuday (2007), “Monetary policy rules in practice: Evidence from Turkey and Israel”, Applied Financial Economics, 17, 1-8.
- Yüksel, E., K. Metin-Özcan, O. Hatipoğlu (2013), “A Survey on Time-Varying parameter Taylor rule: A Model Modified with Interest Rate Pass-Through”, Economic Systems, 37, 122-134.
- Zivot, E., D.W.K. Andrews (1992), “Further Evidence on the Great Crash, the Oil-Orice Shock, and the Unit-Root Hypothesis”, Journal of Business & Economic Statistics, 10(3), 251-270.