Browsing by Subject "Unit Root"
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Item Open Access An application of seasonal cointegration and error correction models on monthly data(Bilkent University, 1995) Erçoşkun, GülizIn this study, I try to analyze and show the monthly changes and their effects on each other of Istanbul Stock Exchange (ISE), TL / $ Exchange Rate (E), M l, M2, price level (P), Interest rate on securities (R) and Advances o f the central bank to the treasury (A) by developed techniques in time series econometrics, namely unit roots, seasonal cointegration and error correction. The long run relationship between stock prices and exchange rate, price level. M l, M2 investigated by using these techniques of time series. Conclusions are made for future use o f models for monthly time series. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis o f monthly data for long run steady state properties together with short run dynamics.Item Open Access Money demand, the Cagan model, testing rational expectations vs adaptive expectations: the case of Turkey(Bilkent University, 1995) Muslu, İlkerThis thesis considers the demand for money under conditions of high inflation in Turkey during the period 1986; 1-1995:3. We test whether the monetary and inflationary experiences of Turkey can be adequately characterized by the Cagan (1956) model, using an econometric procedure which is reliant only on the assumption that forecasting errors are stationary. We also examine the hypothesis that monetary policy was conducted in such a way as to maximize the inflation tax revenue. Finally we test the Cagan model with the additional assumption of rational expectations for Turkey for the considered period.