Hide/Show Apps

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

Cakan, E
Ozmen, E
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.