Bilgili, Faik (2007): The Permanent and Transitory Effects on Consumption and Income: Evidence from the Turkish Economy.
Download (230Kb) | Preview
This paper, using the Turkish data, employs a VAR model to decompose permanent and transitory shocks on consumption and income. Pistoresi (1997), using USA data, reaches an empirical result that the permanent part of private consumption explains the much of the variance of series, whereas that of income explains the less of variance of series. Corugeda, Price and Blake (2007), using the UK data, have the conclusion that permanent shocks are the dominant effects on variances of consumption and income. Data used for this study is obtained from the Turkish Central Bank EDDS and ranges from 1987:1 to 2006:3. The paper first searches the evidence for consumption literature, then, after monitoring the unit root and seasonality analyses, runs impulse responses and variance decompositions through VAR analyses. At the end of this study, one can reach the relative importance of permanent and transitory impacts on private consumption and GDP of the Turkish Economy.
|Item Type:||MPRA Paper|
|Original Title:||The Permanent and Transitory Effects on Consumption and Income: Evidence from the Turkish Economy|
|Keywords:||Permanent, transitory, VAR, impulse-response functions, variance decomposition, consumption, income|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
|Depositing User:||Faik Bilgili|
|Date Deposited:||26. Jul 2010 02:10|
|Last Modified:||13. Feb 2013 19:09|
BERUMENT, Hakan; “The Asymmetric Effects of Government Spending Shocks: Empirical Evidence from Turkey”, http://www.bilkent.edu.tr/~economics/papers/05-12%20DP_HakanBerument_BurakDogan.pdf, 16.04.2007.
BERUMENT, Hakan; “Measuring Monetary Policy For A Small Open Economy: Turkey”, Journal of Macroeconomics, Article in Press, February 2006.
BİLGİLİ, Faik; “Random Walk, Excess Sensitiveness or Excess Smoothness? Evidence from Literature and an Application for Turkish Economy”, Turkish Economic Association (TEA), International Conference on Economics, "Session: Consumption in Turkey" Ankara, September 11, 2006.
BLANCHARD, Olivier Jean; Quah, Danny; “The Dynamic Effects of Aggregate Demand and Supply Disturbances”, The American Economic Review, Vol. 79, No. 4, September 1989, pp. 655–673.
CHEN, Jie; “Housing Wealth and Aggregate Consumption in Sweden”, Uppsala University Working Paper, No. 16, 2006, pp. 1-54.
CORUGEDO, Emilio, Fernandez; Simon, Price; Andrew, P. Blake; “The Dynamics of Aggregate UK Consumers’ Non-Durable Expenditure”, Economic Modeling, Vol. 24, Issue 3, May 2007, pp. 453–469.
ENDERS, Walter; Applied Econometric Time Series, John Wiley&Sons Inc. 1995, New York.
FISHER, Lance A.; Huh, Hyeon-Seung; “Permanent-Transitory Decompositions Under Weak Exogeneity”, Journal Econometric Theory, Vol. 23, Issue 01, 2006, pp. 183-189.
GONZALO, J; Ng, S.; “A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks”, Journal of Economic Dynamics and Control Volume 25, Number 10, October 2001, pp.1527-1546 (20).
HECQ, Alain; Franz, C. Palm; Jean, Pierre Urbain; “Permanent-Transitory Decomposition in VAR Models With Cointegration and Common Cycles”, Oxford Bulletin of Economics and Statistics, Vol. 62, No. 4, 2000, pp. 511-532.
HUMAN RESOURCES AND SOCIAL DEVELOPMENT CANADA; “Short-Term Forecasting of National and Provincial Employment in Canada”, February 1999, http://www.hrsdc.gc.ca/en/cs/sp/hrsd/prc/publications/research/1999-001337/1999-001337.pdf, 08.06.2007.
KORENOK, Oleg; Stanislav, Radchenko; “The Role of Permanent and Transitory Components in Business Cycle Volatility Moderation”, Empirical Economics, Vol. 31, 2006, pp. 217-241.
LAGE, Maureen J.; “The Permanent Income Hypothesis under Permanent Transitory Confusion”, Journal of Economics and Business, Vol. 49, No. 1, Feb 1997, pp. 77-90 (14).
PICHETTE, Lise; “Are Wealth Effects Important for Canada?”, Research Department, Bank of Canada Review, Spring 2004, pp. 29-35.
PISTORESI, Barbara; “Using a VECM to Characterize the Relative Importance of Permanent and Transitory Components of U.S. Total Disposable Income and Total Consumption”, Research in Economics, Vol. 51, 1997, pp. 131-155.
SAKARYA, Burçhan; Hasan Yurtoğlu; Berke Duvan; “Cointegration Analysis of Alternative Core Inflation Measures For Turkey”, DPT Working Papers: 1999 -03, December 1999, pp. 1-12.
YANG, Jian; David, A. Bessler; Hung-Gay, Fung; “The Informational Role of Open Interest in Futures Markets”, Applied Economics Letters, Vol. 11, 2004, pp. 569-573.
Available Versions of this Item
- The Permanent and Transitory Effects on Consumption and Income: Evidence from the Turkish Economy. (deposited 26. Jul 2010 02:10) [Currently Displayed]