Browsing by Subject "Inflation (Finance)--Turkey."

Now showing 1 - 9 of 9

Open Access
Common stock returns and inflation : an investigation of İstanbul Securities Exchange
(1990) Caglı, R. T. Kartal
This study investigates the existence of a relaticriship cet^^ıc-eгı returris or. conmon stccks and expected inflation i' lurke.. Ihie relationship: is tested within the fram£?v^ork of Fishe- Effect wising a single ei.i£^tion rezression mcDdel. The regressior» pa.raniete'~E are tested tc see whether an increase in expectez inflatizn is accoTip£vnjer by an ec-ic.l increase in nominal returrs. leavi-i the real rate cznstarit. T^x? test results sho-j that, when actual inflation rates are used to proxy expected inflaticr. hypothesis of existence c* Fisher Effect on stock returns is rejected; arc that it fails to be rejected whien Box Jenkins red^esentatizr. of inflatioTi IS used as the proxy. The dichotoory is Sviderice c' t^ie fact that ihz test results for Fisher Effect c"e n)ctr-cco3ogy dependent, and thiat inferences on Fisher's Theor~y snould t>z made with cauticr..
Open Access
Comparison of the forecast performances of linear time series and artificial neural network models within the context of Turkish inflation
(2001) Uçar, Nuri
This thesis compares a variety of linear and nonlinear models to find the one with the best inflation forecast performance for the Turkish Economy. These comparisons are performed by considering the type of series whether or not stationary. Different combination techniques are applied to improve the forecasts. It is observed that the combination forecasts based on nonstationary vector autoregressive (VAR) and artificial neural network (ANN) models are better than the ones generated by other models. Furthermore, the forecast values combined with ANN technique produce lower root mean square errors (RMSE) than the other combination techniques.
Open Access
Implications of global financial crisis on inflation targetting framework
(2012) Yağcıbaşı, Özge Filiz
Aside from its devastating effects on global economy, global financial crisis has also shaken the mainstream economic theory. After the crisis, policies implemented by governments and Central Banks, issues of financial stability, impacts of international capital flows and exchange rates have become the center of macroeconomic research. This thesis examines the impact of global financial crisis on the IT framework. The aim is to discuss the imperfections and defections in the framework and propose extensions. In this context, a small open economy DSGE model, calibrated for Turkey during 2003- 2012 is proposed. The base model is extended to capture dynamics of Turkish economy better. Since, trade and credit channels of transmission mechanism of crisis are the most powerful channels for the contagion of the crisis to Turkish economy, inclusion of net international investment position (to the problems of households and entrepreneurs) and imported capital good (to the production function) strengthen the explanatory power of the model considerably. Moreover, to address whether allowing Central Bank to respond exchange rates yields gains in terms of output and inflation stabilization, an augmented Taylor rule which incorporates exchange rates is constructed. Responses under the benchmark model where Central Bank uses a traditional Taylor rule and an augmented Taylor rule are obtained. To provide a reference in interpreting the findings of the model, a Vector Auto Regression analysis is performed with interest rates, inflation, output level and exchange rates as endogenous variables. Finally, results of the model experiments and VAR are compared. The results indicate that, the model with the augmented Taylor rule can help to smooth business cycle fluctuations more effectively than conventional Taylor rule but, in some cases, Central Bank may encounter with a tradeoff between output gap and inflation.
Open Access
Modelling the public sector deficit and inflation relationship in Turkey
(1997) Jalel, Hana
This study assesses the empirical relationship between the public sector deficit and inflation in Turkey using the cointegration analysis. Since 1986, the Treasury set a consistent, well defined institutional framework to monitor the selling of government bonds and bills in order to finance budget deficit of Turkey besides the issuance of base money by the Central Bank. Inflation is estimated by using scaled budget deficit, growth rate of real income, scaled stock of bonds, scaled interest paid and scaled base money. First, the time series properties of the data set are examined then, weak exogeneity of the independent variables and cointegration are tested. Next, both a single equation and a VAR model are estimated. Weak exogeneity and cointegration tests show that a VAR model is more reliable than a single equation model. The estimation of a VAR model indicates that inflation in Turkey is related solely to its first lag, implying that the Turkish inflation is inertial with about 35% of inertia.
Open Access
Money demand, the Cagan model, testing rational expectations vs adaptive expectations: the case of Turkey
(1995) Muslu, İlker
This thesis considers the demand for money under conditions of high inflation in Turkey during the period 1986; 1-1995:3. We test whether the monetary and inflationary experiences of Turkey can be adequately characterized by the Cagan (1956) model, using an econometric procedure which is reliant only on the assumption that forecasting errors are stationary. We also examine the hypothesis that monetary policy was conducted in such a way as to maximize the inflation tax revenue. Finally we test the Cagan model with the additional assumption of rational expectations for Turkey for the considered period.
Open Access
Rationality of inflation expectations in a financially repressed economy
(1990) Başçı, Erdem
This study attempts to assess the quality of p u b l i c ’s expectations of inflation by investigating the dynamic interactions between money, prices, income and interest rates in Turkey. Four alternative hypotheses on public expectation formation rule are proposed and tested in the context of the same real money balances model. The fact that interest rates were not determined by the market forces in the investigated period provides sufficient volatility in the real interest rates, and hence reduces the confidence bands of the estimates of the interest sensitivity parameter of the real money demand function. The estimation of parameters and tests of hypotheses are carried out on restricted and unrestricted vector-autoregressive representations of the time series of four economic variables, namely growth rates of money, prices, output and interest rates. Out of sample forecasts are also carried out and compared. Most of the results are in favor of the adaptive and less informed expectations hypothesis rather than rational or more informed ones
Open Access
The relationship between stock returns and inflation in Turkey 1987-1993
(1994) Tüzün, Osman N.
■L'ljis study investigates the existence of a negative relationship between real stock returns and inflation, which is observed in other industrialized countries, and a possible explanation for this relationship, in Turkey. This relationship between stock returns and inflation is tested in the light of Kama's "Proxy Effect Hypothesis". This hypothesis suggest that the negative relation between stock returns and inflation is in fact proxying for a more fundamental relationship between real stock returns and real activity. The empirical investigation of the data revealed that the there is a significant negative relationship between forecasts of real activity and inflation. Also the results suggest that there is a positive, although insignificant, relationship between real stock returns and real activity. These two results can be combined to state that the "Proxy Effect Hypothesis" also holds for Turkey.
Open Access
Two essays on dynamic macroeconomics
(2001) Taşçı, Hakan
First chapter of this research assesses the stability of the money-income relationship for seven OECD countries by using the data from 1960’s to 2000’s. The short run relationships between monetary policy and output have strong evidences. When the sample was split into two sub samples: pre and post 1980, the empirical evidence presented in this research shows that even if the inferences gathered across countries are not always parallel, the inferences gathered from the VAR specification across the samples for each country are mostly parallel. In this article secondly, by using the 1990 input-output table, the inflationary effects of crude oil prices are investigated for Turkey. Under fixed nominal wages, profits, interest and rent earnings, the effect of increasing prices of oil on inflation is limited. However, when wages and the other three factors of income (profit, interest and rent) are adjusted to the general price level that includes the oil price increases, then the inflationary effect of oil prices becomes significant. Hence, indexation could have very severe effects on an economy when oil prices increase.
Open Access
Welfare implications of inflation on Turkish economy
(2011) Kiracı, Mustafa
Inflation is an obstacle in the decision-making processes of agents in an economy. In order to make better decisions under periods of inflation, agents need to spend extra effort, and this creates a loss in welfare. This study aims to measure the welfare gain from disinflation in Turkey during the period 2001-2010. The methodology of Cagan (1956) has been used to estimate the relation between M1 money demand and inflation rate, and the welfare gain estimations are calculated using the methodology proposed in Bailey (1956). After the welfare gain calculation, this study examines the economic indicators from the banking and real sectors in Turkey and compares the findings to the observations from the economy. This study concludes that the indicators of welfare gain in Turkish economy are in the same direction as, yet weaker than, the result of the estimation.