BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Burcu Kiran (Istanbul University, Turkey)
The Impact of Structural Breaks on the Long Memory Behaviour of External Vulnerability Indicator : Evidence from Turkey
Argumenta Oeconomica, 2012, nr 1 (28), s. 119-138, rys., tab., bibliogr. 28 poz.
Słowa kluczowe
Polityka gospodarcza, Zmiany strukturalne, Zadłużenie zagraniczne
Economic policy, Structural changes, Foreign debt
This paper investigates the long memory behaviour of the ratio of international reserves to short term external debt as an external vulnerability indicator by using classical R/S analysis, modified R/S analysis, GPH test and Robinson test over the period from 1990:01 through 2010:02. In the first part of the analysis, we ignore potential structural breaks in the data. In the second part, the structural breaks identified by Bai and Perron multiple structural break test are taken into account. In both cases, the results of the classical R/S analysis, modified R/S analysis and Robinson test show significant evidence of long memory while the results of GPH test indicate no evidence of long memory. Another finding of the paper is that taking into account structural breaks reduces the integration order.(original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
  1. Agiakloglou, C., Newbold, P., Wohar, M., Bias in an Estimator of the Fractional Difference Parameter, "Journal of Time Series Analysis", 14, pp. 235-246, 1993.
  2. Bai, J., Perron, P., Estimating and Testing Linear Models with Multiple Structural Changes, "Econometrica", 66, pp. 47-78, 1998.
  3. Bai, J., Perron, P., Computation and Analysis of Multiple Structural Change Models, "Journal of Applied Econometrics", 18, pp. 1-22, 2003.
  4. Barkoulas, J. W, Labys, C., Onochie, J., Fractional Dynamics in International Commodity Prices, "Journal of Futures Markets", 17, pp. 161-189, 1997.
  5. Bussiere, M., Mulder, C., External Vulnerability in Emerging Market Economies: How High Liquidity Can Offset Weak Fundamentals and the Effects of Contagion, "IMF Working Papers", 99/88, 1999.
  6. Qepni, E., Kose, N., Assessing the Currency Crises in Turkey, "Central Bank Review", 1, pp. 37-64, 2006.
  7. De Beaufort Wijnholds, J. O., Kapteyn, A., Reserve Adequacy in Emerging Market Economies, "IMF Working Papers", 01/143, 2001.
  8. Diebold, F. X., Inoue, A., Long Memory and Regime Switching, "Journal of Econometrics", 105, pp. 131-159, 2001.
  9. Furman, J., Stiglitz, J., Economic Crisis: Evidence and Insights from East Asia, "Brooking Papers on Economic Activity", 98, pp. 1-114, 1998.
  10. Geweke, J., Porter-Hudak, S., The Estimation and Application of Long Memory Time Series Models, "Journal of Time Series Analysis", 2, pp. 221-238, 1983.
  11. Giraitis, L., Kokoszka, P., Leipus, R., Teyssiere, G., Rescaled Variance and Related Tests for Long Memory in Volatility and Levels, "Journal of Econometrics", 112, pp. 265-294, 2003.
  12. Granger, C. W. J., Joyeux, R., An Introduction to Long Memory Time Series Models and Fractional Differencing, "Journal of Time Series Analysis", 1, pp. 15-39, 1980.
  13. Guzman Calafell, J., Padilla del Bosque, R., The Ratio of International Reserves to ShortTerm External Debt as as Indicator of External Vulnerability: Some Lessons From the Experience of Mexico and Other Emerging Economies. Available at: [Accessed August 2010], 2002.
  14. Granger, C. W. J., Hyung, J., Occasional Structural Breaks and Long Memory. Discussion Paper, pp. 99-14. University of California, San Diego 1999.
  15. Hosking, J. R. M., Fractional Differencing, "Biometrika", 68, pp. 165-176, 1981.
  16. Hurst, H. E., Long-term Storage Capacity of Reservoirs, "Transactions of the American Society of Civil Engineers", 116, pp. 770-799, 1951.
  17. International Monetary Fund, Global Financial Stability Report, Market Developments and Issues, "World Economic and Financial Surveys", March 2002.
  18. Liu J., Wu, S., Zidek, J. V., On Segmented Multivariate Regressions, "Statistica Sinica", 7, pp. 497-525, 1997.
  19. Lo, A. W., Long-term Memory in Stock Market Prices, "Econometrica", 59, pp. 1279-1313, 1991.
  20. Mandelbrot, B. B., Van Ness, J. W., Fractional Brownian Motions, Fractional Noises and Applications, "SIAM Review", 10, pp. 422-437, 1968.
  21. Radelet, S., Sachs, J., The East Asian Financial Crisis: Diagnosis, Remedies, Prospects, "Brookings Papers on Economic Activity", 1, pp. 1-74, 1998.
  22. Robinson, P. M., Efficient Tests of Nonstationary Hypothesis, "Journal of the American Statistical Association", 89, pp. 1420-1437, 1994.
  23. Rodrik, D., Velasco, A., Short-Term Capital Flows, "National Bureau of Economic Research Working Paper", 7364, 1999.
  24. Özatay, F., Sak, G., Banking Sector Fragility and Turkey's 2000-01 Financial Crisis. The Central Bank of the Republic of Turkey, "Discussion Paper", 308, 2003.
  25. Teverovsky, V., Taqqu, M., Willinger, W., A Critical Look at Lo's Modified R/S Statistic, "Journal of Statistical Planning and Inference", 80, pp. 211-227, 1999.
  26. Uygur, E., The Global Crisis and the Turkish Economy, "TWN Global Economy Series", 21, 2010.
  27. Varol, G. M., Cumhuriyetin 80. yılında Türk dış ticaretinin kısa tarihçesi, "DTM journal", [Online]. Available at: [Accessed September 2009], 2003.
  28. Yao, Y. C., Estimating the Number of Change-Points via Schwarz' Criterion, "Statistics and Probability Letters", 6, pp. 181-189, 1988.
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu