Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and Brazil
The inflation targeting (IT) strategy may create structural changes in macroeconomic variables. This study analyzes the effect of the IT strategy on the price-money supply relationship in Turkey and Brazil by Kejriwal-Perron cointegration analysis with structural breaks. The analysis aims to determ...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2015-07-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/1161 |
| _version_ | 1797918173288202240 |
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| author | Cuneyt Dumrul Yasemin Dumrul |
| author_facet | Cuneyt Dumrul Yasemin Dumrul |
| author_sort | Cuneyt Dumrul |
| collection | DOAJ |
| description |
The inflation targeting (IT) strategy may create structural changes in macroeconomic variables. This study analyzes the effect of the IT strategy on the price-money supply relationship in Turkey and Brazil by Kejriwal-Perron cointegration analysis with structural breaks. The analysis aims to determine whether the IT strategy leads to regime shifts in the price index-money supply relationship in Turkey and Brazil. The Kejriwal-Perron tests reveal a structural break in the price-money supply relationship as a result of the IT strategy. In both countries, the implementation of this strategy leads to a decrease in the regime coefficients for Turkey while it creates an increase for Brazil. When Turkey and Brazil are compared in terms of money-price relationship after the IT strategy, the study reveals that it has weakened more in Brazil.
Keywords: Monetary Inflation; Inflation Targeting; Kejriwal-Perron Cointegration Analysis; Regime Shifts.
JEL Classifications: C32; E51; E52; E58
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| first_indexed | 2024-04-10T13:25:16Z |
| format | Article |
| id | doaj.art-f39f098f589a4302a99225e71216b0da |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T13:25:16Z |
| publishDate | 2015-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-f39f098f589a4302a99225e71216b0da2023-02-15T16:11:52ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382015-07-0153Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and BrazilCuneyt Dumrul0Yasemin Dumrul1Erciyes UniversityErciyes University The inflation targeting (IT) strategy may create structural changes in macroeconomic variables. This study analyzes the effect of the IT strategy on the price-money supply relationship in Turkey and Brazil by Kejriwal-Perron cointegration analysis with structural breaks. The analysis aims to determine whether the IT strategy leads to regime shifts in the price index-money supply relationship in Turkey and Brazil. The Kejriwal-Perron tests reveal a structural break in the price-money supply relationship as a result of the IT strategy. In both countries, the implementation of this strategy leads to a decrease in the regime coefficients for Turkey while it creates an increase for Brazil. When Turkey and Brazil are compared in terms of money-price relationship after the IT strategy, the study reveals that it has weakened more in Brazil. Keywords: Monetary Inflation; Inflation Targeting; Kejriwal-Perron Cointegration Analysis; Regime Shifts. JEL Classifications: C32; E51; E52; E58 https://econjournals.com/index.php/ijefi/article/view/1161 |
| spellingShingle | Cuneyt Dumrul Yasemin Dumrul Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and Brazil International Journal of Economics and Financial Issues |
| title | Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and Brazil |
| title_full | Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and Brazil |
| title_fullStr | Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and Brazil |
| title_full_unstemmed | Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and Brazil |
| title_short | Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and Brazil |
| title_sort | price money relationship after inflation targeting cointegration test with structural breaks for turkey and brazil |
| url | https://econjournals.com/index.php/ijefi/article/view/1161 |
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