Browsing by Subject "Adaptive Expectations"

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    Common stock returns and inflation : an investigation of İstanbul Securities Exchange
    (1990) Caglı, R. T. Kartal
    This study investigates the existence of a relaticriship cet^^ıc-eгı returris or. conmon stccks and expected inflation i' lurke.. Ihie relationship: is tested within the fram£?v^ork of Fishe- Effect wising a single ei.i£^tion rezression mcDdel. The regressior» pa.raniete'~E are tested tc see whether an increase in expectez inflatizn is accoTip£vnjer by an ec-ic.l increase in nominal returrs. leavi-i the real rate cznstarit. T^x? test results sho-j that, when actual inflation rates are used to proxy expected inflaticr. hypothesis of existence c* Fisher Effect on stock returns is rejected; arc that it fails to be rejected whien Box Jenkins red^esentatizr. of inflatioTi IS used as the proxy. The dichotoory is Sviderice c' t^ie fact that ihz test results for Fisher Effect c"e n)ctr-cco3ogy dependent, and thiat inferences on Fisher's Theor~y snould t>z made with cauticr..
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    ItemOpen Access
    Estimation of velocity function for Turkey using Engle-Granger two-step method
    (1990) Yülek, Murat Ali
    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 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.
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    ItemOpen Access
    Money demand, the Cagan model, testing rational expectations vs adaptive expectations: the case of Turkey
    (1995) Muslu, İlker
    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 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.