Essays on applied macroeconomics
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This study contains three studies, the relationship between FED intervention and emerging markets, the effect of S&P500 return on Istanbul Stock Exchange and the connection between Turkish industrial production growth and the success of Beşiktaş. The second chapter analyzes the effect of FED intervention on emerging markets with using event-study analysis. Considering Emerging Market Bond Index (EMBI) and grouping the effect under five different categories, the effect of FED intervention on emerging markets are shown. The third chapter assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, we build a block recursive VAR model allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to 4 days. The fourth chapter investigates the connection between Turkish industrial production growth and the success of Beşiktaş, which is a popular Turkish soccer team. The empirical evidence provided in the paper suggests that industrial production growth tends to increase with the success of Beşiktaş in European cups. Moreover, if the winnings are in displacement, the increase in industrial production is higher than if the winnings are in the home field. On the other hand, findings on the effects of domestic games on industrial performance are not statistically significant.
KeywordsBlock Recursive VAR
Event Study Analysis