Browsing by Subject "Cointegration"

Now showing 1 - 20 of 23

Open Access
Analyzing the persistence of currency substitution using a ratchet variable: the Turkish case
(Routledge, 2003) Us, V.
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 of currency substitution in Turkey through inclusion of a ratchet variable, the past peak value of the currency substitution. Results using an autoregressive distributed lag (ARDL) approach suggest that currency substitution during 1990-93 is not persistent enough to be irreversible. During 1995-99, even though currency substitution in the narrow sense is persistent, currency substitution in the broader sense is not irreversible. Therefore, there is still room for effective monetary policy.
Open Access
Application of cointegration analysis to the demand for labor by the Turkish private manufacturing sector
(1995) Kale, Pelin
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 to capture the effects of the economic crisis of 1994 based on an approach treating employment as a function of output and real wage within an Enor Correction Modeling Approach. In the seaich for possible long run relationships between the vaiiables of interest, Johansen’s Maximum Likelihood procedure is applied to the first difference of variables since all the data series are integrated of order 1. A unique cointegrating relationship is found for each time period. Upon testing and rejecting the exogeneity of the real wage and output series for the demand for labor, short run models are built for each period which are consistent with theoiy but may be subject to biases due to simultaneity between the variables of interest.
Open Access
Application of periodogram-based cointegration test for the analysis of the services and goods sector inflations
(Econometric Research Association, 2010) Metin Ozcan, K.; Akdi, Y.; Kalafatcilar, K.
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 Bank of Turkey of hitting inflation targets in a country with long-lasting high inflation experience. In search of a possible long-run relationship between the services and goods sectors’ inflations, this paper employs a method based on periodograms of the series in addition to time series tools. A periodogram-based test has pros over conventional tests; this test is model-free, seasonally robust and mean invariant. Empirical findings obtained from the methods employed in this study, Engle-Granger’s and Johansen’s conventional long-run time series tools as well as periodogram based test, suggest that services and goods sector inflations in Turkey are not cointegrated.
Open Access
Econometric modelling of import demand and export supply in Turkey
(2001) Çevik, Saygın
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 import demand, namely, intermediate, capital and consumption goods import demand equations are estimated. In empirical analysis, first the cointegration is tested by using two different approaches: Engle-Granger (1987) and Johansen (1991) approach. After finding long-run relationships, error correction models are specified and estimated for export supply and import demand equations respectively. The main conclusion that emerges from empirical results is that foreign trade developments in Turkey are highly dependent on the economic activity and the effects of exchange rate policy on imports and exports appear to be fairly limited.
Open Access
Econometric modelling of the monetary aggregates in Turkey
(1998) Recberoglu, Sevgi
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 of 1987-1997. The largest model tries to explain the money demand by means of real income, interest rates on time deposits, interest rates on treasury bills, and inflation variable. Since cointegration requires certain properties on data, in the thesis, first the time series properties of the data set are investigated. Then cointegration and weak exogeneity are tested. Due to the invalidity of weak exogeneity for many of the variables, in the next stage, for each money definition an ECM model is formulated. The results obtained from both cointegration tests investigating the long-run money demand and ECM models examining the temporal causality between reel money stock and the long-run determinants of the money demand strongly suggest the existence of a stationary long-run money demand in Turkey. Furthermore the diagnostic test results of the ECM models show that the money demand functions in Turkey have the parameter constancy property despite the financial reforms effects in the stated period, high and volatile inflation rates, and especially 1994 financial crisis.
Open 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.
Open Access
Evaluation of linkages between equity indices : evidence from İstanbul Stock Exchange and Dow Jones
(2009) Ertan, Aytekin
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 between these indices and figure out the significance and the direction of short run relationship, if there exists any. Cointegration analyses based on Johansen Method demonstrated that there is not any cointegrating vector between these indices, refuting an integrated long term relationship. On the other hand -in this case of no cointegration- Granger Causality studies on the first differenced VAR model pointed out a significant unidirectional effect of Dow Jones to Istanbul Stock Exchange in the short run; which would enable feasible forecasts of ISE via index data from the US. These findings could be valuable to investors holding long and short term investment portfolios in ISE and/or in Dow Jones.
Open Access
Forecasting the Turkish private manufacturing sector price index: several VAR models vs single equation modeling
(1996) Kara, A. Hakan
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 the private manufacturing sector production index (Qman) as the explanatory variables. Time series properties of these variables are tested and cointegration relationships are determined. Several VAR models are introduced and at the end a single equation analysis is conducted which utilized the long-run properties of data. Forecast parameter constancy is used as the main design criterion where the special interest is on 1994 crisis.
Open Access
Improving inference in integration and cointegration tests
(2016-05) Eroğlu, Burak Alparslan
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 root tests. First one is so-called nonstationary volatility issue, which causes severe size distortions in standard unit root tests. I try to resolve this problem with a nonparametric technique introduced rst by Nielsen (2009). Second, I investigate the unit root testing under regulation, which constraints a time series process on a given interval. In this case, standard tests frequently fail to detect the presence of nonstationarity. I employ a similar methodology as in rst part and provide correct inference in unit root testing for regulated series. The nal problem is related to cointegration models. In these models, if innovations of the system are contaminated by MA type negative serial correlation, cointegration tests spuriously rejects the true null hypothesis. Combining wavelet theory and Nielsen's (2010) variance ratio testing procedure, I manage to reduce the impact of the problematic innovations on cointegration test. All three methods share the common feature of being nonparametric in sense that they do not require any regression or kernel type correction to handle serial correlation.
Open Access
Interdependence of the banking sector and the real sector: evidence from OECD countries
(2008) Şendeniz-Yüncü, İ.; Akdeniz, L.; Aydoğan, K.
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 supported by cointegration test results. For some of the countries in the sample, Granger causality tests show the leading role of the banking sector in the real sector, thus supporting the credit view hypothesis, whereas for other countries, the same tests indicate no interdependence.
Open Access
Long-run and short-run links among the Turkish stock market and developed markets
(2002) Demirtaş, İsmail
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 suggests that there exists a substantial degree of interdependence among national stock markets. This thesis tests the interdependence among the Turkish stock market and four major stock markets (US, UK, Germany, France) using daily closing index data for the period between January 1997 and June 2002. Results of the tests showed that the French and German stock markets have significant impacts on the Turkish stock market. The European and US stock markets influence each other in the long-run and short-run. US is the most influential market among the four developed markets. Developed markets almost move together. Therefore, International portfolio diversification among these national markets will not greatly reduce the portfolio risk.
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Maximizing profit per unit time in cointegration based pairs trading
(2014) Tutal, Duygu
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Modelling the public sector deficit and inflation relationship in Turkey
(1997) Jalel, Hana
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 to monitor the selling of government bonds and bills in order to finance budget deficit of Turkey besides the issuance of base money by the Central Bank. Inflation is estimated by using scaled budget deficit, growth rate of real income, scaled stock of bonds, scaled interest paid and scaled base money. First, the time series properties of the data set are examined then, weak exogeneity of the independent variables and cointegration are tested. Next, both a single equation and a VAR model are estimated. Weak exogeneity and cointegration tests show that a VAR model is more reliable than a single equation model. The estimation of a VAR model indicates that inflation in Turkey is related solely to its first lag, implying that the Turkish inflation is inertial with about 35% of inertia.
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Monetary dynamics: evidence from cointegration and error correction modeling: the case of Turkey
(1992) Kelezoğlu, Hüseyin
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 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.
Open Access
Money demand, the Cagan model, testing rational expectations vs adaptive expectations: the case of Turkey
(Springer, 1999) Metin, K.; Muslu, I.
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 forecasting errors are stationary. This paper also tests the hypothesis that monetary policy was implemented in aiming to maximize the inflation tax revenue. Finally, the Cagan model is estimated with the additional assumption of rational expectations for Turkey for the considered period.
Open 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.
Open Access
A note on price-volume dynamics in an emerging stock market
(Elsevier BV, 1996) Başcı, E.; Özyıldırım, S.; Aydoǧan, K.
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 and volume series under a specific money supply process derived. The implications of the model are tested in the emerging Turkish stock market where institutional arrangements comply with the restrictions of the model. The results indicate that, as predicted by the model, price levels and trading volume are cointegrated. The error correction models are also estimated and found to be significant in most cases.
Open Access
Productivity and growth in an unstable emerging market economy: the case of Turkey, 1960-2004
(Routledge, 2009) Ismihan, M.; Ozcan, K. M.
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 factors, such as infrastructure investment, macroeconomic instability, and imports, on total factor productivity (TFP) by performing cointegration and impulse response analyses. The results suggest that both TFP and capital accumulation were crucial sources of growth during the sample period. Nevertheless, TFP growth displayed enormous variation from 1960 to 2004. The descriptive and empirical evidence suggests that TFP is positively affected by imports and public infrastructure investment and negatively affected by macroeconomic instability. Copyright © 2009 M.E. Sharpe, Inc. All rights reserved.
Open Access
The relationship between different price indexes: a set of evidence from inflation targeting countries
(I O S Press, 2006) Akdi, Y.; Berument, Hakan; Cilasun, S. M.; Olgun, H.
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 techniques. The Engle-Granger test finds cointegration only for Sweden. The Johansen's test and the model-free and seasonality robust periodogram based test conclusively show that the two price indexes are not cointegrated in the three countries included in the sample. Hence, the values of these indexes may consistently diverge over time. However, the two price indexes move together in the short run. These findings have some implications for the success of inflation targeting monetary policies. © 2006 - IOS Press and the authors. All rights reserved.
Open Access
The relationship between different price indices: evidence from Turkey
(Elsevier BV, 2006) Akdi, Y.; Berument, Hakan; Cilasun, S. M.
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 Johansen's [J. Econ. Dyn. Control 12 (1988) 231-254] cointegration tests give mixed evidence for a possible long-run relationship between those two series. The model-free and seasonally robust periodogram-based test fails to reject the null of no-cointegration relationship. However, these two series move together in the short run. © 2005 Elsevier B.V. All rights reserved.