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Browsing by Subject "Finance."

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    Endogeneity
    (2011) Başer, Erdem
    One of the core issues in the econometrics literature is the endogeneity problem. Endogeneity occurs when observed variables are correlated with unobserved factors. Endogeneity can arise as a result of measurement error, autoregression with autocorrelated errors, simultaneity and omitted variables. And, there are many methods such as instrumental variable, BLP, control function and maximum likelihood approaches improved in order to overcome this issue. In this study, the issue of endogeneity will be presented and the tests to identify and the methods to solve the problem will be analyzed.
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    Measurement of financial integration : theory review and a new approach to Euler test
    (2009) Er, Hakan
    An extension of the Euler test in which the real interest rate differential is explained by the growth rate of real consumption of the domestic and the foreign country, and new proxies developed to measure real interest rate differential instead of ex post real interest rate constitute the backbone of this paper. The proxies are obtained directly from the real economic variables that try to overcome the difficulty of measuring unobservable ex post real interest rates, which, by nature, may contain monetary shocks, and varies considerably according to the reference nominal interest rates and baskets that measures the price developments. In one of the abovementioned proxies, a new factor trying to capture the effect of human capital growth developments on real interest rates has been included. After constructing these new proxies, the validity of the extended Euler test has been checked for 11 OECD countries and the level of these countries’ integration to the world has been tested by taking United States as the foreign country.
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    Productivity and openness in Turkish economy
    (2000) Pasin, Umut
    A growth accounting and an econometric exercise are used to provide insights into the evolution o f the Turkish economy over the period 1968-1997. The growth accounting results show that the contribution o f total factor productivity to GDP growth averaged about 20 percent over the period, and this contribution reached its maximum level in the trade liberalization period. My results suggest that trade liberalization has better effects on total factor productivity growth. As a result o f nonparametric analysis I found a positive relation between openness and productivity growth.
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    A time series analysis of prices and exchange rates in Europe towards the third stage of EMU
    (1998) Ardıç, Oya Pınar
    This thesis analysed prices and exchange rates of eleven EMU States using time series analysis. Among the criteria set by the Maastricht Treaty as requirements of participating in the euro zone, price stability and exchange rate convergence were examined. The answers for the questions such as whether or not the prices and exchange rates move together permanently, and the PPP hypothesis holds for euro against US dollar, Japanese yen and Turkish lira were investigated. For these purposes, real exchange rate indices for the euro zone were calculated using the data on prices and nominal exchange rates. The prices, bilateral nominal and real exchange rates of the EMU States were found to have a long-run equilibrium relationship among themselves. However, there was no evidence of PPP for euro against US dollar, Japanese yen and Turkish lira.

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