Eurasian Economists Association

International Conference on Eurasian Economies

11-13 June 2019 – Famagusta, Turkish Republic of Northern Cyprus

Paper properties

Paper ID : 2349
Status : Paper published
Language : Turkish
Topic : Macroeconomics
Presenter: Ph.D. Candidate Fatih Yılmaz
Session : 1A Makroekonomi

Testing The Validity of The Phillips Curve for Turkey With Vector Autoregressive and Markov Switching Models on The Basis of Inflation and Unemployment
İşsizlik ve Enflasyon Çerçevesinde Phillips Eğrisinin Türkiye Üzerindeki Geçerliliğinin Vektör Otoregresif ve Markov Rejim Değişim Modelleriyle Sınanması

Abstract

In this study, we tested the validity of the Phillips Curve for Turkey. We used Markov Switching Model for examine the relationship between two variables in different regime periods, Engle Granger Causality Test for detect the causality between two variables, Johansen Cointegration Test for observe the long term equilibrium relationship and The Impulse Response Analysis and Variance Decomposition Analysis for investigate the explanatory effect of two variables on each other. As a result of the analysis, it was determined that Inflation and Unemployment act together in the short and long term. Between 2010M01 and 2017M10, it was determined that the Phillips Curve is ineffective for Turkey.

JEL codes: E31, E24, C22

Yılmaz, Fatih, Şeker, Onur, Pektaş, Eren (2019). "Testing The Validity of The Phillips Curve for Turkey With Vector Autoregressive and Markov Switching Models on The Basis of Inflation and Unemployment" in Proceedings of International Conference of Eurasian Economies 2019, pp.21-28, Famagusta, Turkish Republic of Northern Cyprus.

DOI: https://doi.org/10.36880/C11.02349

Full paper in PDF format.

Session 1A: Makroekonomi

Eurasian Economists Association Beykent University Eastern Mediterranean University Kyrgyzstan-Turkey Manas University TIKA Central Bank of TRNC