Exploring the Relationship between Consumer Credits and Interest Rates in Turkey: A Fractional Cointegration Analysis
نویسنده
چکیده
This paper investigates the relationship between consumer credits and interest rates in Turkey based on the fractional cointegration approach by using daily observations over the period from 4 January 2002 to 24 December 2010. First, we ignore the possible structural breaks in the series and perform the Geweke and Porter-Hudak (GPH) test on the residuals for fractional cointegration. Second, we determine the structural breaks “endogenously” by using a minimum LM unit root test and reapply the GPH test on the new residuals obtained from a cointegrating regression estimated with the detrended series. The results indicate that consumer credits and interest rates are fractionally cointegrated in both cases, with and without structural breaks.
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