Title:

The impact of structural breaks on the long memory behaviour of external vulnerability indicator: evidence from Turkey

Group publication title:

Argumenta Oeconomica

Creator:

Burcu, Kiran

Subject and Keywords:

long memory ; structural breaks ; detrending ; external vulnerability

Description:

Argumenta Oeconomica, 2012, Nr 1 (28), s. 119-138

Abstrakt:

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

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2012

Resource Type:

artykuł

Format:

application/pdf

Language:

eng

Relation:

Argumenta Oeconomica, 2012, Nr 1 (28)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu