Browsing by Subject "Foreign exchange rates--Econometric models."

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Open Access
An application of seasonal cointegration and error correction models on monthly data
(1995) Erçoşkun, Güliz
In this study, I try to analyze and show the monthly changes and their effects on each other of Istanbul Stock Exchange (ISE), TL / $ Exchange Rate (E), M l, M2, price level (P), Interest rate on securities (R) and Advances o f the central bank to the treasury (A) by developed techniques in time series econometrics, namely unit roots, seasonal cointegration and error correction. The long run relationship between stock prices and exchange rate, price level. M l, M2 investigated by using these techniques of time series. Conclusions are made for future use o f models for monthly time series. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis o f monthly data for long run steady state properties together with short run dynamics.
Open Access
Evaluating probabilistic forecasting accuracy of exchange rates
(1996) Öztin, Şule
This study aims to explore various dimensions of probabilistic forecasting accuracy. In particular, the effects of using dichotomous format on the performance of semi-experts’ and novices’ probabilistic forecasts of exchange rates and currencies are examined. Semiexperts are comprised of banking and finance professionals in the finance sector. Novice group consists of MBA students from the Faculty of Business Administration at Bilkent University. The results suggest that the dichotomous format used to elicit the probabilistic forecasts has a differential effect on the p>erformance of semi-experts and novices. Implications of these findings for financial forecasting are discussed and directions for future research are given.
Open Access
Exchange rate pass-through in Turkey : asymmetric cointegration analysis
(2009) Dinççağ, Ayşegül
In 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.
Open Access
Soft peg regimes : sensitivity to crises and performance
(2011) Gedik, Nilgün Şayeste
In this thesis, soft peg regimes’ sensitivity to crises and performance are investigated after a brief review of exchange rate regimes and their historical evolutions. The currency crisis faced by emerging countries under adaptation of soft peg regimes in the 1990s and in the beginning of 2000s revealed the suspicions on soft peg regimes’ vulnerability to crisis. With the increased tendency of countries adaptation of floating regimes after abandonment of soft pegs, some arguments emerged inquiring the appearance of soft peg regimes in the literature. The Corner Hypothesis, which defends the disappearance of soft peg regimes and its counter argument The Fear Of Floating, which does not accept the disappearance and another argument The Basket, Band and Crawl Arrangements, which provides alternative soft peg regimes are analyzed in this thesis. However, soft peg regimes’ vulnerability to currency crisis should not be investigated without the emerging countries’ common characteristics, which can be counted as lack of sound financial and fiscal structure and strong institutional framework. At the end of this study, importance of strong financial and fiscal structure of countries to provide macroeconomic balances including exchange rate regime is mentioned.
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 time series analysis of the Japanese yen with monthly data
(1996) Eltaş, Metin
The purpose of this thesis is to obtain a function which will help in using the exchange rate between the Japanese Yen (Yen) and the United States Dollar (Dollar) as an investment alternative. A three-step method is followed throughout this study. Yen and the set of five countries' exchange and interest rates is searched at the first step. Mullticolinearity and nonstationarity problems are observed at this stage. At the second step the data set is converted into a stationary form by taking the first differences. Then regression is applied and no significant correlation is found. At the final step relation between Yen and three subgroups from the data set are examined and no significant relation is found again. This thesis concludes by explaining the outcomes of our analyses.