Browsing Dept. of Economics - Master's degree by Issue Date
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Item Open AccessReassessment of the PPP by error correction mechanism for the Turkish case(Bilkent University, 1990) Özyıldırım, Süheyla Item Open AccessRationality of inflation expectations in a financially repressed economy(Bilkent University, 1990) Başçı, Erdem; Togan, SubideyThis study attempts to assess the quality of p u b l i c ’s expectations of inflation by investigating the dynamic interactions between money, prices, income and interest rates in Turkey. Four alternative hypotheses on public expectation formation rule are proposed and tested in the context of the same real money balances model. The fact that interest rates were not determined by the market forces in the investigated period provides sufficient volatility in the real interest rates, and hence reduces the confidence bands of the estimates of the interest sensitivity parameter of the real money demand function. The estimation of parameters and tests of hypotheses are carried out on restricted and unrestricted vector-autoregressive representations of the time series of four economic variables, namely growth rates of money, prices, output and interest rates. Out of sample forecasts are also carried out and compared. Most of the results are in favor of the adaptive and less informed expectations hypothesis rather than rational or more informed ones Item Open AccessEstimation of velocity function for Turkey using Engle-Granger two-step method(Bilkent University, 1990) Yülek, Murat Ali; Togan, SubideyThis 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 run equilibrium. The analysis starts with examination of level of integration of series in question. Then a number of cointegrating regressions are run. Cointegrated series are employed in different "lag-rich" error correction formulations. Finally using a general to specific approach, parsimonious models are reached dropping insignificant regressors. Item Open AccessThe demand for meat in Turkey, 1979-1989(Bilkent University, 1990) Yıldırım, Jülide; Çakmak, ErolIn this study , pooling of time series cross sectional data is used for constructing a demand model for the Turkish Meat Market. The demand functions are simultaneously estimated by Zellner's Seemingly Unrelated Regression Method, imposing homogeneity and symmetry restrictions. Furthermore, a structural change test is conducted in order to see whether there is a structural change between the subperiods 1979-1984 and 1985-1989. It is found that demand functions do not satisfy homogeneity restriction, implying that there is money illusion. A structural change is found in the demand for mutton implying there is a change in consumers' preferences between two subperiods. Item Open AccessMonetary dynamics: evidence from cointegration and error correction modeling: the case of Turkey(Bilkent University, 1992) Kelezoğlu, Hüseyin; Togan, SubideyThis 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 by using Turkish quarterly data during the period 1977:1-1989:4. The assumption that all the determinants of the long run money demand function are endogenous allowed the construction of ECM in vector autoregressive CVARD form. This became much helpful on the examination of temporal causality characteristics of the long run Turkish money demand function. Item Open AccessThe response of TL interbank rates to weekly money supply announcements within the framework of market efficiency(Bilkent University, 1992) Bal, Yasemin; Erol, ÜmitTHE RESPONSE OF TL INTERBANK RATES TO WEEKLY MONEY SUPPLY ANNOUNCEMENTS WITHIN THE FRAMEWORK OF MARKET EFFICIENCY In th is study,the effects of weekly money supply announcements on changes in TL interbank rates is tested in terms of market efficiency. As a result of the model tested, T urkish interbank market appeared to be an inefficient financiai market. During th is study, ARIMA based generated money suppiy survey data is used. Therefore a joint hypothesis, market efficiency and effectiveness of ARIMA based survey data, is tested. This leads to a weak rejection of market efficiency in TL interbank market. Item Open AccessAn inflation model for the Turkish economy 1950-1990(Bilkent University, 1992) Demiroğlu, Ufuk; Togan, SubideyThis study investigates the inflationary aspects of Turkish Economy in the period 1950-1990 and presents a model to investigate quantitatively Turkish inflation experience in those years. The expectations are assumed to be formed adaptively and the levels of economic activity and prices are taken to be determined by the equilibrium of demand arising from the money market and a supply schedule which assumes that production respond positively to unexpected price increases. The model constructed in that line is tested. In addition to these, import pjrices are also i ncor p)or ated in the supply function because of the import dependence in the manufacturing sector of Turkey. Price expectations and import price changes are found to be significant in determining the price level, whereas the money growth is insignificant as its affect is captured by the expectations variable. The interest rate is also insignificant, but this is mainly due to that it was restricted before 1980, and a stability test on this variable show that interest rate is in fact influential after 1980 and insignificant before that year. Item Open AccessApplication of the twin-deficits hypothesis to the Turkish case(Bilkent University, 1993) Yılmaz, Alper; Güvenen, OrhanThis study detects the twin-deficits hypothesis, the mutual effects of government budget deficits and merchandise trade deficits on each other through real interest rates and real effective exchange rates, in the Turkish economy. One-sided Granger causality analysis and Ordinary Least Squares (OLS) regressions for multivariate analysis for each are used for 1987-92 monthly data. The government budget deficits are found to affect trade deficits not directly, but through the mechanism over real interest rates and real effective exchange rates. Nevertheless, the merchandise trade deficits seem to affect budget deficits directly. Item Open AccessThe monetary approach to exchange rate determination: an empirical evidence from Turkey(Bilkent University, 1993) Mutluay, Hakan; Taşkın, FatmaIn this study, the determination of exchange rates in Turkey is examined by using the monetary approach to exchange rate determination. To provide a theoretical basis, the basic assumptions and the variants of the monetary approach to exchange rate determination are considered. In the empirical test of the monetary approach in Turkey, quarterly data for the observation period 1980-1992 is used. Turkey followed a more liberal exchange rate policy after 1980s. The findings o f this study show that the data does not support the monetary exchange rate determination theory in Turkey. The exchange rate, especially T.L./ U.S. doUar, has a random walk nature and a trace o f unit root Item Open AccessFactors influencing the employment in the private manufacturing industry in Turkey(Bilkent University, 1993) Gülleroğlu, Muzaffer; İrbeç, Yusuf ZiyaIn this study I tried to analyze the effects of the factors such as price index, interest rate and wage index on the employment of the private manufacturing industry in Turkey.ln the model used for the study, not only the determinants itself but also their lags as a variable including the employment have been investigated. The effect ratios of these variables are analyzed and reasons are explained. The most important factor for the employment in the sector seems finally to be the three lagged price index. Because price index is the most volatile factor and effects all other variables indirectly. The second important factor is the one lagged real interest rate and the third one is the price index without lag. Item Open AccessAn application of an entropy approach to the Turkish manufacturing industry(Bilkent University, 1993) Altaban, Şule; Güvenen, OrhanThis study concerns an application of concentration measurement for the Turkish Manufacturing Industry using information theory. Theil's (1971) disaggregation of entropy is converted to handle the whole manufacturing industry in order to see the competitive and monopolistic trends. The between-group variation and within-group variation values are computed for three yearly period between 1989 and 1991 using sales figures. These values give the intersectoral and inter-firm differentiations for the manufacturing industry. The study concludes that the distribution for sales figures within the sector displays a less equal pattern than the intersectoral analysis, although the general relative entropy values shows only a tendency to equal shares for the Turkish Manufacturing Industry. Item Open AccessMain factors of unemployment in Turkey(Bilkent University, 1993) Tekin, Gökhan; İrbeç, Yusuf ZiyaThis study attempts to assess the main factors which are affecting unemployment behavior in Turkey. The candid variables are chosen in such a way that some relations have been enunciated for I’uikey and for some other countries. This research is trying to analyze the unemployment behaviour mainly in two time periods: The first scope is the period 1980-1990. The 1980s are characterized for its own features as a new era in Turkey. The relations for this period are .searched for ten variables: Unemployment ( with one lag), energy supply, credits, money supply, capital investments, investments realized by receiving subsidies from the government, inflation. Gross National Product, real wages and total labor force. Among these ten variables, stepwise variable selection method identified the statistically significant variables and by these variables a GLS model is formed in explaining the unemployment level. The second scope was the period 1970-1992 and the variables are labor productivity, import-export wedge, real wages and inflation which are used in explaining unemployment rate and level. It was found finally that capital investments influence the unemployment level on the one side (for the first period), labor productivity, import-export wedge, real wages and inflation affect unemployment level on the other side (for the .second period) and the labor productivity and import-export wedge affect also (for the second period) unemployment rate. Item Open AccessImplementation of Johansen procedure in the estimation of demand for M1 and M2 using the Turkish data(Bilkent University, 1993) Özdenören, Emre; Togan, SubideyThis study aims at estimating the money demand function for Turkey using quarterly data. Estimation is done, for both Ml and M2, using Johansen procedure, which is a variate of the theory of cointegration. The results of the Johansen procedure shows that real income is positively and expected loss is negatively related with demand for Ml and M2. Also, some linear restrictions are tested, by restricting the money demand coefficients. The results of these tests show that Tobin-Baumal model and unit elasticity of income are rejected for both Ml and M2. Item Open AccessPrediction of systematic risk: "a case from Turkey"(Bilkent University, 1993) Sağlam, İsmail; Akdoğan, HalukThis stjid}^ sugpjosts Bayesian and time-varying models to adjust for the regression tc'ndeiK'y of lietas [iresent in standard asset i)ricing applications. Beta, adjustment techniciues are a])])li('d to the Istcinl.^ul Stock Exchange da.ta. Empirical findings show tlia.t MSE (Mean Square Error) are lowest among all models used in tlie study when log-linear or sciuare-root linear Blume modcds are used and lietas predicted according to Bayesian models have lower MSl·^ tlian unadjusted Ivetas. Also, it is oliserved tha,t inediciency ])art of tlie MSE changes most when various adjustment teclmiques are uschL Item Open AccessAn analysis of foreign investment in Turkey(Bilkent University, 1993) Dilek, Ali Nihat; İrbeç, Yusuf ZiyaThis study attempts to clarify two important subjects on foreign capital in Turkey. First one is a comparison of the performance of firms with foreign capital and firms with domestic capital. And second one is trend and distribution of foreign capital entry. Four different point of view are considered, namely historical development of foreign capital in Turkey, distribution of foreign capital between sectors and countries, comparison of performance of foreign and domestic owned firms, finally determination of labor productivity differences between foreign and Turkish owned firms. An increasing trend in the annual entries of foreign capital is reported in this study. Moreover it is found out that tourism, basic chemicals, petroleum, rubber, iron and steel, mining and metal goods are highly preferred sectors. In addition, it is seen that foreign owned firms have higher performance than their domestic rivals. Six economic parameters namely labor productivity, capital-labor ratio, wage level, wage share of value added, profitability and value added-capital ratio are used in this comparison. Most of the selected samples are indicating a higher performance by the foreign owned firms than their domestic rivals. Item Open AccessEvaluation of the Goldfeld-Quandt test and alternatives(Bilkent University, 1994) Tomak, Kerem; Zaman, AsadIn this study, the widely used Coldfeld-C^uandt test for lieterosk('da.sticity in the linear regression model is evaluated. VV(' reduce the dimension of the data spa.ce that is needed lor tin' computaticui of tlu' t('sts. VVe tlu'ii compa.r(‘ the pi'rformaiK'es of tin' Likelihood Ratio and tin* Cloldh'ld-C^uandt tests by using stringency measure. The problem of analytically non-tractable distribution function in the case of the Likelihood Ratio test is overcome by employing Monte Carlo methods. It is observed that the Likelihood Ratio test is better in most of the cases than the Goldfeld-Quandt test. Item Open AccessThe effect of taxes on distribution of income in Turkey(Bilkent University, 1994) Onaran, Özlem; Zaim, OsmanThis study analyzes the effects of tax system on distribution of income in Turkey. For this purpose, the geneal elements in the system, such as distribution of direct and indirect taxes; taxes on income, wealth and expenditures; effect of inflation are analyzed. The measures of degree of progression are applied to income taxation and the distribution of effective tax burden over factor income groups is analyzed. An additional discussion is made about the distribution of value-added tax biu^den as percentage of monthly disposable income. Combining the results, it is found that the tax system in Turkey redistributes income to the disadvantage of tow income individuals and working masses. A more progressive and unitary income tax structure; a low, uniform rated value-added tax scheme with a progressive reimbursement mechanism is proposed to increase tax equity even without reducing tax revenue. Item Open AccessA simulation of water call option prices(Bilkent University, 1994) Kadıoğlu, Tan Tarkan; Akdoğan, HalukThe popularity of iinancial derivatives and especially options is widespread in the last decade. Although various commodity options became popular nowadays, no form of water option happened to arise because there were no need. On the other hand, Turkey and the Middle East countries are at the point of decision which market mechanism to choose for the trade of water. In this thesis, we will try to suggest call options on water, making estimations for the last decade which can be used in efficiency tests and projections on the future of water market. Item Open AccessValue added productivity analysis: applied to Turkish Fertilizer Corporation, 1988-1991(Bilkent University, 1994) Samin, Behrooz; Erol, Ümit.In this study a value added productivity analysis is conducted at a publicly owned enterprise in Turkey. The chosen method is known as Wainai method. By adapting this method, we first find out the value added for the company. Obtained value added is applied to calculate company's performance and productivity ratios. During the period 1988-1991, the company's profitability and productivity have drastically declined. The main reason is the substantial decrease in the labor cost competitiveness ratio because of both increase in the labor cost and decrease in the value added. The company suffers from high amount of interest payments to commercial banks. It has made very big amount of net losses in 1990 and 1991 chiefly due to these interest expenses. Item Open AccessEfficient ownership patterns: three examples(Bilkent University, 1994) Sever, Murat; Paşa, MehmetThis stud\^ provides three exanpdes in whicli llie ownership structure of productive assets affects efhciency oF the economic outcome. We show how the incompleteness of contracts and the s])ecificit y of investments cause inefficient l^ehaviours and reductions in the efficient level of relation-specific investment because of the individuals' o])])ortunisti(' behaviour. We show the importance of ownershi]) on l^ehaviours of agents and their investment decisions l)y affecting the distribution of residual rights over assets and so the distribution of tlie sur])lus from investments. VVV' observe the effects of monitoring on the l)ehaviour of individuals in dilfeient types of ownership patterns.