Policy regime change and structural break in the velocity of money: the Turkish evidence

Date

2002-09-01

Author

Cakan, E
Ozmen, E

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

2
views

0
downloads

The integration properties of Turkish velocity series are investigated by employing recently developed procedures (Zivot and Andrews (1992) and Perron (Journal of Econometrics, 80, 355-85, 1997)) which allows stationarity around an endogenously estimated structural break point under the alternative hypothesis. The evidence suggests that real currency balances and currency velocity are stationary around a broken trend. The estimated break point coincides with a major policy regime change in Turkey. Broad money velocity and real broad money balances are found to be nonstationary even after allowance for a broken mean and trend.

Subject Keywords

Trend Functions, Unit-Root, Time-Series, Long-Run Behavior

URI

https://hdl.handle.net/11511/65799

Collections

Department of Economics, Article