Browsing by Keywords "Cointegration"
Now showing items 1-20 of 23
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Analyzing the persistence of currency substitution using a ratchet variable: the Turkish case
(Routledge, 2003)Although previous studies on currency substitution in Turkey confirm the existence of currency substitution, these works ignore whether this process reached an irreversible stage or not. This paper analyzes the persistence ... -
Application of cointegration analysis to the demand for labor by the Turkish private manufacturing sector
(Bilkent University, 1995)In this study, the demand for labor by the Turkish private manufacturing sector is analyzed for three time periods; 1988 quailer 1-1993 quarter 4, 1988 quarter 1 - 1994 quarter 1, 1988 quarter 1-1994 quarter 2 to be able ... -
Application of periodogram-based cointegration test for the analysis of the services and goods sector inflations
(Econometric Research Association, 2010)The differing dynamics of the inflations of the services and goods sectors has been of major concern in Turkey. The persistence of the services sector inflation during disinflation periods hampered the efforts of the Central ... -
Econometric modelling of import demand and export supply in Turkey
(Bilkent University, 2001)In this thesis, I estimate the export supply and import demand equations for Turkey using quarterly data over the period 1989-2000. Unlike the previous studies done for Turkey, in this study the sub-items of the total ... -
Econometric modelling of the monetary aggregates in Turkey
(Bilkent University, 1998)The aim of this thesis is modelling the demand for money in Turkey with cointegration techniques. For this purpose, monetary aggregates of M l, M2, M2y, M3a, M3, and LO are tested with differing variables for the period ... -
Estimation of velocity function for Turkey using Engle-Granger two-step method
(Bilkent University, 1990)This study aims at estimating the velocity function, for Turkey using quarterly data. Estimation is done using cointegration and error correction methods. This enabled incorporating short-term disequilibria moments in long ... -
Evaluation of linkages between equity indices : evidence from İstanbul Stock Exchange and Dow Jones
(Bilkent University, 2009)This study investigates the linkage between the major stock market indices of Turkey (ISE National 100) and USA (Dow Jones Industrial Average). Main purpose of this research is to measure the interdependence and cointegration ... -
Forecasting the Turkish private manufacturing sector price index: several VAR models vs single equation modeling
(Bilkent University, 1996)T he purpose of this study is to forecast private manufacturing sector price index (WPIman) in the period 1982(1)-1996(5) using the public sector wholesale price index (WPIp), TL/Dollar Exchange Rate (E), M2Y and ... -
Improving inference in integration and cointegration tests
(Bilkent University, 2016-05)In this thesis, I address three di erent problems in unit root and cointegration models and I propose new methods to improve inference in testing procedures for these models. Two of these problems are related to unit ... -
Interdependence of the banking sector and the real sector: evidence from OECD countries
(Routledge, 2008)This paper investigates the validity of the credit view hypothesis in eleven OECD countries over the period 1987:QI – 2003:QIII. The existence of a long-run relationship between the banking sector and the real sector is ... -
Long-run and short-run links among the Turkish stock market and developed markets
(Bilkent University, 2002)One of the striking facts about the international economy is the high degree of integration, or linkage, among financial, or capital markets. Careful examination of international stock market movements in recent years ... -
Maximizing profit per unit time in cointegration based pairs trading
(Bilkent University, 2014) -
Modelling the public sector deficit and inflation relationship in Turkey
(Bilkent University, 1997)This study assesses the empirical relationship between the public sector deficit and inflation in Turkey using the cointegration analysis. Since 1986, the Treasury set a consistent, well defined institutional framework ... -
Monetary dynamics: evidence from cointegration and error correction modeling: the case of Turkey
(Bilkent University, 1992)This paper addresses Lhe issue of Les-Ling Lhe cointegration relationship for a conventional money demand function and constructing an error correction model CECMD of it to analyze both long-run and short run dynamics ... -
Money demand, the Cagan model, testing rational expectations vs adaptive expectations: the case of Turkey
(Springer, 1999)This paper estimates the Cagan type demand for money function for Turkish economy during the period 1986:1-1995:3 and tests whether Cagan's specification fits the Turkish data using an econometric technique assuming that ... -
Money demand, the Cagan model, testing rational expectations vs adaptive expectations: the case of Turkey
(Bilkent University, 1995)This 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 ... -
A note on price-volume dynamics in an emerging stock market
(Elsevier BV, 1996)We present a continuum economy with risk neutral agents having heterogeneous expectations and restricted short sales. A stochastic version of the model is also formulated and the resulting time series behavior of the price ... -
Productivity and growth in an unstable emerging market economy: the case of Turkey, 1960-2004
(Routledge, 2009)This paper explores sources of growth in the Turkish economy by performing growth accounting exercises over the 1960-2004 period and relevant subperiods. It also analyzes the role of a number of important policy-related ... -
The relationship between different price indexes: a set of evidence from inflation targeting countries
(I O S Press, 2006)The possible long-run relationships between the Consumer Price Index and the Wholesale Price Index are analyzed for three inflation targeting countries - Canada, Sweden and the UK - using three different statistical ... -
The relationship between different price indices: evidence from Turkey
(Elsevier BV, 2006)A possible relationship between the Consumer Price Index and the Wholesale Price Index has been analyzed for long and short-run relationships. Conventional Engle and Granger [Estimation Test Econ. 55(1987) 2251-276] and ...
