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Browsing by Subject "Phillips Curve"

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    Two essays on the Turkish economy
    (2005) İnamlık, Ali
    This thesis comprise of two essays on Turkish Economy. Chapter 1 investigates the relationship between inflation and growth in Turkey. Historical data and statistical analysis suggest a negative relationship rather than a positive relationship. This outcome is completely the reverse of what Philips Curve oriented theories tell. The underlying reason behind this relationship is analyzed and a third variable is suspected to be the reason. Vector Autoregressive (VAR) analysis suggest that this variable could be real exchange rate. Generalized Impulse Response analysis is used with various exogenous variables, which makes the analysis robust. Chapter 2 investigates the day of the week effect on return and volatility for Istanbul Stock Exchange (ISE) through the period 1986 and 2003. Using generalized autoregressive conditional heteroskedasticity (GARCH) model, we find statistically significant evidence to report that there is the day of the week effect. Friday has the highest effect on return with 0,015 while Monday has the lowest return with-0,003 compared to return on Wednesday. When volatility of return is concerned, Monday has the highest volatility with 0,933 and Tuesday has the lowest volatility with –0,716 compared to return on Wednesday.

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