Browsing by Subject "Econometric models."

Now showing 1 - 12 of 12

Open Access
Approximating small open economy models with neural network trained by genetic algorithm
(2008) Coşkun, Yeşim
This thesis work presents a direct numerical solution methodology to approximate the small open economy models with debt elastic interest rate premium and with convex portfolio adjustment cost, both studied by Stephanie SchmittGroh´e and Martin Uribe(2003). This recent method is compared with the firstorder approximation to the policy function from the aspect of second moments of endogenous variables and their impulse responses. The proposed methodology, namely genetic algorithm-neural network (GA-NN), parameterizes the policy function with a feed-forward neural network that is trained by a genetic algorithm. Thus, unlike the first-order approximation, GA-NN does not require the continuity and the existence of derivatives of objective and policy functions. Importantly, since genetic algorithm is an evolutionary algorithm that enables global search over the feasible set, it provides a robust result in any solution space. Also GA-NN method gives not only the moments of the model but also the optimal path.
Open Access
Demand and supply of real estate market in Turkey : a cointegration analysis
(2009) Bulut, Zeynep Burcu
Since 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.
Open Access
Dynamic implications of prospect utility in an overlapping generations model
(2014) Usta, Ahmet
This thesis studies an overlapping generations model in the presence of prospect theory which has scarcely been addressed in macroeconomic growth models. The set up in this thesis provides us a unique steady state with global convergence and multiple steady states with local convergence. The presence of prospect preferences in the utility form leads to the multiplicity even under convex technology. Numerical analysis supports us that cross country income divergence can also be explained by a mechanism in which preference component is altered.
Open Access
Formal GARCH performance in a computable dynamic general equilibrium framework
(1998) Yiğitbaşıoğlu, Ali Bora
This study uses a Computable Dynamic General Equilibrium setting based on Brock’s (1979, 1982) intertemporal growth and asset pricing models and applies this framework as a formal test to study the out-of-sample forecast performance of Bollerslev’s (1986) GARCH (1,1) Classical Historical Volatility forecasts. The solution to Brock’s growth model reflects the utility maximizing behavior of the consumer and profit maximizing behavior of producers, and is a framework that has recorded some remarkable successes in mirroring the real economy. All existing studies have used a sample realized variance in the forecast horizon to test the out-of- sample performance of conditional variance forecasting models. The realized variance is simply an approximation to the true distribution of variance in the forecast horizon, and is often an unfair benchmark of performance. Simulation of Brock’s model enables one to obtain the true distribution of asset returns and their variance at all times. The true distribution reflects all the possible states of a simulated economy, which is shown to mimic all the properties observed in empirical financial data. This framework affords the luxury of comparing the out-of-sample forecasts from various models with the true variance in the forecast horizon. The results jointly demonstrate that the GARCH (1,1) model performs significantly better than the Classical Historical Volatility when the true variance is used as the forecast comparison benchmark. It is concluded that the use of realized variance for out-of-sample performance is highly misleading, especially for short-run forecasts.
Open Access
GARCH models and an application to stock return volatility with the effect of daily trading volume in Istanbul Securities Exchange
(1995) Ünal, ATolga
In this study, the effect of daily trading volume on stock return volatility is analyzed using the data from Istanbul Securities Exchange (ISE). Generalized Autoregressive Conditional Heteroscedasticity (GARCH) process is employed to model the persistence in volatility of daily returns and to capture the relation between daily price increments and the trading volume. Results approve the consistency of GARCH process in modeling stock returns and indicate positive relation between the volatility of daily returns and trading volume. Also, a reduction of persistence in volatility is observed with the inclusion of trading volume in the model.
Open Access
GDP nowcasting using high frequency asset price, commodity price and banking data
(2011) Balkan, Binnur
Knowing the current state of the economy is important especially when we consider that GDP information comes with a lag of quarter. From this perspective, employing high frequency variables in GDP nowcasting may contribute to our knowledge of economic conditions, since they are timelier compared to GDP. This paper deals with nowcasting US GDP using an expectation maximization algorithm in a Kalman Ölter estimation, which includes asset prices, commodity prices and banking data as explanatory variables together with real variables and price indices. As a result of the estimations, asset prices and other high frequency variables are found useful in nowcasting US GDP contrary to previous studies. Model predictions beat the traditional methods with the medium size model, which includes Öfteen variables, yielding the best nowcast results. Finally, this paper also proposes a new route for achieving better nowcast results by changing system speciÖcations of the state variables.
Open Access
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
Spurious regression problem in Kalman Filter estimation of time varying parameter models
(2010) Eroğlu, Burak Alparslan
This 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.
Open Access
Stock return and monetary variables in Istanbul Securities Exchange: a cointegration analysis
(1995) Argaç, A. Reha
This study investigates the long run relationship between stock prices and monetary variables and examines the different aspects of the relation for the period between 1988 and 1995, and for three subperiods within this range using daily data. The discrimination between the periods are made due to the strict changes in the volume of trade in ISE which indicate us a structural change.A recently developed statistical theory, i.e. the cointegration theory, which is based on the use of time series regressions and permits us to study the long-run relations of the nonstationary time series, is used for examining the relation.The results show that especially in last five years, there is a tendency to weaken the relation between monetary variables and the stock prices in Turkish stock market. This tendency can be explained by the rapid increase in the volume of trade causing an increase in the number of investors utilizing the same set of information.
Open Access
A survey of multivariate GARCH models
(2008) Taş, Mustafa Anıl
This paper reviews the recent developments in the multivariate GARCH literature. Most common multivariate GARCH models and their properties are briefly presented.
Open Access
A thesis on exchange rates, fundamentals and trade
(2014) Doğanay, Seda Meyveci
This dissertation is made up of three essays on understanding the exchange rate movements and the link between the exchange rate and the real economy. In the first essay, exchange rate movements are decomposed into two components that are driven by the observable fundamentals and the unobservable factors in the economy with different statistical methods. Then, these methods results are compared in a reduce form equation in a panel setting that enables us to understand the economic sense behind these decomposition techniques. From this analysis, Christiano and Fitzgerald Filter (C-F Filter) (2003) is selected as the method that decomposes real exchange rate into permanent and temporary components which are respectively components that capture the fundamentals and unobservables. In the second essay the Meese and Rogoff puzzle is analyzed through testing the scapegoat theory of exchange rate. Scapegoat theory of exchange rate claims that when exchange rate changes due to an unobserved factor, to rationalize this movement, agents give more weight to a fundamental that reveals a large variation from its mean which creates an exchange rate movement in the expected direction. This part presents an empirical test of the scapegoat theory of exchange rate using Turkish data. It is found that there exists a strong and robust empirical support for the scapegoat theory of exchange rate. Of all the fundamentals, between 2003-2013 market participants have viewed the current account as the scapegoat; the current account variable and its scapegoat incidences have the statistically significant and theoretically expected effect on nominal spot exchange rate return. Finally in the last essay making use of the decomposed exchange rate series the impact of exchange rate on bilateral trade flows is empirically analyzed using the Gravity Model in a panel setting. The estimation is done for using aggregate bilateral trade data. From this analysis we conclude that the impact of currency depreciation on trade flows depends on whether that change in the exchange rate reflects a shift in trend or is just a transitory movement.
Open Access
Transmission of oil price volatility to emerging stock markets
(2009-09) Kantur, Zeynep
Oil price volatility is a crucial factor that explains stock price movements. Recent studies show that oil price shocks and its volatility explain the stock market movements better than most of the variables. This thesis investigates the effects of oil price volatility and its asymmetry on emerging stock markets using bivariate asymmetric BEKK1 model which was first introduced by Engle et al. (1993) and extended for asymmetric effects by Kroner and Ng (1998). The model is estimated using weekly returns on Malaysia, Mexico, South Korea, Taiwan and Turkey together with the measure of the world oil price. Over the sample period, 48th week of 1988 through 46th week of 2008, strong evidence of volatility spillover is found for Malaysia, Mexico, South Korea and Turkey. Weak evidence of volatility spillover is found for Taiwan. Although results of significant volatility spillovers are obtained, news impact surfaces show small quantitative implications. This thesis also examines whether volatility spillovers occur simultaneously. There is strong evidence of volatility spillover for Malaysia and South Korea, and weak evidence of volatility spillover for Mexico, suggesting that these countries’ stock markets vary contemporaneously with oil price variations.