Browsing by Subject "Cointegration."
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Item Open Access Demand and supply of real estate market in Turkey : a cointegration analysis(Bilkent University, 2009) Bulut, Zeynep BurcuSince in a country the housing market is a leading indicator for the whole economy, the determinants, that are affecting aggregate housing supply and demand, are widely searched. In this study, we try to find the variables which are affecting the demand and supply of real estate market in Turkey between the years 1970 to 2007. We can not specialize on the housing market and rather study the real estate market in the aggregate‐‐‐number of dwellings is our quantity measure‐‐‐due to data limitations. We chose Topel and Rosen’s (1988) demand and supply models that are basically based on different short‐ and long‐run elasticity. As demand side independent variables, interest rate, value variable, income and population are chosen and as supply side independent variables, value, interest rate and costs are chosen.Value is used as a proxy since the market price data does not exist in Turkey. Value is a kind of cost that is taken from the builder without interested in what the materials are and how much the labor costs to the builder. Also, the annual data is used because of the data limitations. Due to the fact that all these variables are I(1), Johansen Cointegration and VECM are preferred. According to the empirical findings, the signs of all the variables are as expected and are significant in the long‐run. However, in the short‐run, only interest rate and cost variables are significant in 90% confidence level. Furthermore, the price elasticity of supply is 1.5 in the long‐run while it is 0.13 in the short‐run. This shows us that the adjustment costs for a change in Turkey is significantly high. Moreover, the long‐run price elasticity of demand is ‐4.97.Item Open Access Estimation of velocity function for Turkey using Engle-Granger two-step method(Bilkent University, 1990) Yülek, Murat AliThis 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 Access Exchange rate pass-through in Turkey : asymmetric cointegration analysis(Bilkent University, 2009) Dinççağ, AyşegülIn this thesis, exchange rate pass-through in Turkey is analyzed using Johansen (1988) and Engle-Granger (1987) two step cointegration procedures. As a result of the analysis, evidence is found for a cointegrating relationship between exchange rates and prices. In addition, asymmetries are tested in the model and it is shown that depreciations lead to a higher degree of pass-through compared to appreciations. In order to analyze the effect of 2001 crisis, structural break tests are applied to the model. It is found that the degree of exchange rate pass-through has decreased significantly since 2001, due to improving conditions and decreasing inflation in the Turkish economy and the reduction in the “indexation” behavior of price setting agents.Item Open Access Maximizing profit per unit time in cointegration based pairs trading(Bilkent University, 2014) Tutal, DuyguItem Open Access The relationship between stock price index and trading volume in the Istanbul Stock Exchange(Bilkent University, 1995) Tokat, FatmaIn this study, the long-term relationship and the short-term causality between stock price index and the trading volume and the direction of the causality is investigated in the context of a small stock market, the Istanbul Stock Exchange in Türkiye by using cointegration theory and Vector Error Correction Model. The data used includes daily closing values of ISE composite index and daily aggregate number of share units traded for the period 29/02/1988-30/09/1994. The emprical results reveal evidence of strong linear impact from lagged stock prices to current and iliture trading volume, which can be explained by both non-tax-related trading models and noise trading models, whereas weak evidence of a linear impact from lagged volume to current and future stock prices, which can be explained by sequential information arrival models and the mixture of distributions model.Item Open Access Spurious regression problem in Kalman Filter estimation of time varying parameter models(Bilkent University, 2010) Eroğlu, Burak AlparslanThis thesis provides a simulation based study on Kalman Filter estimation of time varying parameter models when nonstationary series are included in regression equation. In this study, we have performed several simulations in order to present the outcomes and ramifications of Kalman Filter estimation applied to time varying regression models in the presence of random walk series. As a consequence of these simulations, we demonstrate that Kalman Filter estimation cannot prevent the emergence of spurious regression in time varying parameter models. Furthermore, so as to detect the presence of spurious regression, we also propose a new method, which suggests penalizing Kalman Filter recursions with endogenously generated series. These series, which are created endogenously by utilizing Cochrane’s variance ratio statistic, are replaced by state evolution parameter Tt in transition equation of time varying parameter model. Consequently, Penalized Kalman Filter performs well in distinguishing nonsense relation from a true cointegrating regression.Item Open Access Three essays on the behavior of French stocks cross-listed on the German stock markets(Bilkent University, 2002) Bayar, AslıThe behavior of French stocks that are cross-listed on the German stock markets is analyzed in this study. Using a sample of stocks that are listed both on the Paris Bourse and the Xetra, it is found that there is no change in the systematic risk for the domestic market (the Paris Bourse) and the foreign market (the Xetra) suggesting the integration of these markets for the overall sample. However, the findings with respect to the world market make the integration of the French stock markets with the world market questionable. Furthermore, the analysis of abnormal returns suggests that for some portfolios, such as the small- and medium-sized portfolios, the high book-to-market value ratio portfolio and the manufacturing, retailing and finance sectors, the markets may not be integrated. The second chapter analyzes the changes in the liquidity and price volatility of the French stocks that are cross-listed on the Xetra. It is found that liquidity declines and the volatility of the stock prices increases after cross-listing for many stocks in the sample. These findings are against the expectations, since an increase in liquidity and a decline in volatility are expected, if the markets are integrated. Finally, in the third chapter, price adjustment process between the two stock markets is examined by cointegration analysis. It is observed that between the French and the German stock markets there is a relationship and most of the time the stock prices on the German stock markets follow the stock prices on the French stock markets.