Browsing by Subject "Consumer price index"

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Open Access
Dynamics of inflation and inflation inertia in Turkey
(Statistical Economic and Social Research and Training Centre for Islamic Countries, 2004) Özcan, K. M.; Berument, Hakan; Neyaptı, B.
This paper investigates the inflation dynamics in Turkey between 1988 and 2000. Using model-free techniques, we first observe that there is strong inertia in Turkish inflation. Next, we look at the correlations between Consumer Price Index (CPI) inflation and the leads and lags of the various possible determinants of CPI inflation. The evidence indicates that there are significant positive correlations between the dynamics of housing rents and the CPI, and both the US Dollar and German Mark exchange rates and the CPI. Contrary to expectations, however, data show both a negative relationship between wage and price dynamics and a negative lagged effect of import price inflation on the CPI inflation. The evidence also indicates a negative lagged impact of inflation received by farmers on CPI inflation and a positive lagged response of the CPI to it.
Open Access
Impact of macroeconomic indicators on short selling: evidence from the Tokyo stock exchange
(Elsevier Inc., 2012) Solakoğlu, M. Nihat; Orhan, Mehmet; Gregoriou, G. N.
This chapter examines the existence of cointegration between short selling volume and the Nikkei 225 Index to investigate the permanent relation between the two. For this purpose, the Japanese financial markets with monthly data from November 2005 to October 2009 were examined to document if a causality relation exists between short selling volume and macroeconomic variables, such as GDP, bond yield, and exchange rate, as well as the Nikkei 225 Index. Given the characteristics of Japanese short sellers, it is expected that a causal relationship exists between macroeconomic variables and short selling volume, which indicates that Japanese short sellers are informed traders. Based on this finding, it can also be assumed indirectly that the tipping hypothesis does not apply to Japanese short sellers. In addition, the existence of cointegration between short selling volume and the Nikkei 225 Index are investigated to determine whether a long run relationship exists between the two. The study found that the short selling volume, the Nikkei 225 Index, and the exchange rate have unit roots and are thus nonstationary; however, the bond yield rate is stationary. Using the Granger causality test, it also showed bidirectional causality between short selling volume and the Nikkei 225 Index. However, there is no causality between short selling volume and GDP, as well as bond yield rate. The findings also document that exchange rate Granger causes a short selling volume, but short selling volume does not Granger cause exchange rate. These findings thus indicate that the short sellers' information set contains the Nikkei 225 Index and exchange rate movements, but not macro fundamentals. The results also document the permanent long run relationship between short selling volume and the Nikkei 225 Index. © 2012 Elsevier Inc. All rights reserved.