PDF Zotero Mendeley EndNote BibTex Kaynak Göster

Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations

Yıl 2010, Cilt 2, Sayı 1, 3 - 10, 01.04.2010

Öz

The differing dynamics of the inflations of the services and goods sectors has been of major concern in Turkey. The persistence of the services sector inflation during disinflation periods hampered the efforts of the Central Bank of Turkey of hitting inflation targets in a country with long-lasting high inflation experience. In search of a possible long-run relationship between the services and goods sectors inflations, this paper employs a method based on periodograms of the series in addition to time series tools. A periodogram-based test has pros over conventional tests; this test is model-free, seasonally robust and mean invariant. Empirical findings obtained from the methods employed in this study, Engle-Grangers and Johansens conventional long-run time series tools as well as periodogram based test, suggest that services and goods sector inflations in Turkey are not cointegrated.

Kaynakça

  • Akdi, Y. (1995). Periodogram analysis for unit roots. Ph.D. diss., NCSU.
  • Akdi, Y. and D.A. Dickey (1998). Periodograms of unit root time series: Distributions and tests, Communications in Statistics : Theory and Methods, 27(1), 69-87.
  • Akdi, Y., H. Berument and S.Y. Cilasun (2006). The relationship between different price indices: Evidence from Turkey. Physica A, Statistical Mechanics and its Applications, 360, 483-492.
  • Balke, N.S. and T.B. Fomby (1997). Threshold cointegration. International Economic Review, 38, 627-45.
  • Berument, H. , Y. Akdi and C. Atakan (2005). An empirical analysis of Istanbul Stock Exchange sub-indexes. Studies in Nonlinear Dynamics and Econometrics, 9(3), 1-12.
  • Clark T. (2004). An evaluation of the decline in goods inflation. Federal Reserve Bank of Kansas City Economic Review, 2nd Quarter, 19-51. http://www.kc.frb.org/PUBLICAT /ECONREV/PDF/2Q04Clar.pdf (accessed June 16, 2010).
  • Dickey, D. and W.A. Fuller (1979). Distribution of the estimates for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-31.
  • Esteve, V., S. Gil-Pareja, J.A. Martinez-Serrano and R. Llorca-Vivero (2006). Threshold cointegration and nonlinear adjustment between goods and services inflation in the United States. Economic Modelling, 23, 1033-39
  • Gagnon, E., P. Sabourin and S. Lavoie (2004). The comparative growth of goods and services prices. Bank of Canada Review, 2003-2004 Winter, 3-10. http://www.bankofcanada.ca/ en/review/winter03-04/gagnone1.pdf (accessed June 16, 2010).
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-254.
  • King, R.G. (2000). The new IS-LM model: Language, logic, and limits. Federal Reserve Bank of Richmond Economic Quarterly, 86(3), 45-103.
  • Metin-Ozcan, K. and K. Kalafatcilar (2009). Factors influencing relative price of goods and services sectors in Turkey: An econometric analysis. Bilkent University, Department of Economics, Discussion Paper No.09-01. http://www.bilkent.edu.tr/~economics/papers /09-01 DP_KivilcimMetin-Ozcan.doc
  • Peach, R.W., R. Rich and A. Antoniades (2004). The historical and recent behavior of goods and services inflation. FRBNY Economic Policy Review. December, 19-31. http://www.newyorkfed.org/research/epr/04v10n3/0412peac.html (accessed June 16, 2010).
  • Svensson, L.E.O. (1999). Inflation targeting as a monetary policy rule. Journal of Monetary Economics, 43607-54.

Yıl 2010, Cilt 2, Sayı 1, 3 - 10, 01.04.2010

Öz

Kaynakça

  • Akdi, Y. (1995). Periodogram analysis for unit roots. Ph.D. diss., NCSU.
  • Akdi, Y. and D.A. Dickey (1998). Periodograms of unit root time series: Distributions and tests, Communications in Statistics : Theory and Methods, 27(1), 69-87.
  • Akdi, Y., H. Berument and S.Y. Cilasun (2006). The relationship between different price indices: Evidence from Turkey. Physica A, Statistical Mechanics and its Applications, 360, 483-492.
  • Balke, N.S. and T.B. Fomby (1997). Threshold cointegration. International Economic Review, 38, 627-45.
  • Berument, H. , Y. Akdi and C. Atakan (2005). An empirical analysis of Istanbul Stock Exchange sub-indexes. Studies in Nonlinear Dynamics and Econometrics, 9(3), 1-12.
  • Clark T. (2004). An evaluation of the decline in goods inflation. Federal Reserve Bank of Kansas City Economic Review, 2nd Quarter, 19-51. http://www.kc.frb.org/PUBLICAT /ECONREV/PDF/2Q04Clar.pdf (accessed June 16, 2010).
  • Dickey, D. and W.A. Fuller (1979). Distribution of the estimates for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-31.
  • Esteve, V., S. Gil-Pareja, J.A. Martinez-Serrano and R. Llorca-Vivero (2006). Threshold cointegration and nonlinear adjustment between goods and services inflation in the United States. Economic Modelling, 23, 1033-39
  • Gagnon, E., P. Sabourin and S. Lavoie (2004). The comparative growth of goods and services prices. Bank of Canada Review, 2003-2004 Winter, 3-10. http://www.bankofcanada.ca/ en/review/winter03-04/gagnone1.pdf (accessed June 16, 2010).
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-254.
  • King, R.G. (2000). The new IS-LM model: Language, logic, and limits. Federal Reserve Bank of Richmond Economic Quarterly, 86(3), 45-103.
  • Metin-Ozcan, K. and K. Kalafatcilar (2009). Factors influencing relative price of goods and services sectors in Turkey: An econometric analysis. Bilkent University, Department of Economics, Discussion Paper No.09-01. http://www.bilkent.edu.tr/~economics/papers /09-01 DP_KivilcimMetin-Ozcan.doc
  • Peach, R.W., R. Rich and A. Antoniades (2004). The historical and recent behavior of goods and services inflation. FRBNY Economic Policy Review. December, 19-31. http://www.newyorkfed.org/research/epr/04v10n3/0412peac.html (accessed June 16, 2010).
  • Svensson, L.E.O. (1999). Inflation targeting as a monetary policy rule. Journal of Monetary Economics, 43607-54.

Ayrıntılar

Konular Sosyal, İşletme
Diğer ID JA66PG65DN
Bölüm Makaleler
Yazarlar

Yilmaz AKDİ Bu kişi benim


Koray KALAFATCİLAR Bu kişi benim


Kivilcim METİN-OZCAN Bu kişi benim

Yayımlanma Tarihi 1 Nisan 2010
Yayınlandığı Sayı Yıl 2010, Cilt 2, Sayı 1

Kaynak Göster

Bibtex @ { ier278054, journal = {International Econometric Review}, issn = {1308-8793}, eissn = {1308-8815}, address = {Şairler Sokak, No:32/C, Gaziosmanpaşa, Ankara}, publisher = {Ekonometrik Araştırmalar Derneği}, year = {2010}, volume = {2}, pages = {3 - 10}, doi = {}, title = {Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations}, key = {cite}, author = {Akdi, Yilmaz and Kalafatcilar, Koray and Metin-ozcan, Kivilcim} }
APA Akdi, Y. , Kalafatcilar, K. & Metin-ozcan, K. (2010). Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations . International Econometric Review , 2 (1) , 3-10 . Retrieved from https://dergipark.org.tr/tr/pub/ier/issue/26405/278054
MLA Akdi, Y. , Kalafatcilar, K. , Metin-ozcan, K. "Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations" . International Econometric Review 2 (2010 ): 3-10 <https://dergipark.org.tr/tr/pub/ier/issue/26405/278054>
Chicago Akdi, Y. , Kalafatcilar, K. , Metin-ozcan, K. "Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations". International Econometric Review 2 (2010 ): 3-10
RIS TY - JOUR T1 - Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations AU - Yilmaz Akdi , Koray Kalafatcilar , Kivilcim Metin-ozcan Y1 - 2010 PY - 2010 N1 - DO - T2 - International Econometric Review JF - Journal JO - JOR SP - 3 EP - 10 VL - 2 IS - 1 SN - 1308-8793-1308-8815 M3 - UR - Y2 - 2021 ER -
EndNote %0 International Econometric Review Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations %A Yilmaz Akdi , Koray Kalafatcilar , Kivilcim Metin-ozcan %T Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations %D 2010 %J International Econometric Review %P 1308-8793-1308-8815 %V 2 %N 1 %R %U
ISNAD Akdi, Yilmaz , Kalafatcilar, Koray , Metin-ozcan, Kivilcim . "Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations". International Econometric Review 2 / 1 (Nisan 2010): 3-10 .
AMA Akdi Y. , Kalafatcilar K. , Metin-ozcan K. Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations. IER. 2010; 2(1): 3-10.
Vancouver Akdi Y. , Kalafatcilar K. , Metin-ozcan K. Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations. International Econometric Review. 2010; 2(1): 3-10.
IEEE Y. Akdi , K. Kalafatcilar ve K. Metin-ozcan , "Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations", International Econometric Review, c. 2, sayı. 1, ss. 3-10, Nis. 2010