Browsing by Subject "Stationarity"

Now showing 1 - 5 of 5

Open Access
Estimation of velocity function for Turkey using Engle-Granger two-step method
(1990) Yülek, Murat Ali
This study aims at estimating the velocity function, for Turkey using quarterly data. Estimation is done using cointegration and error correction methods. This enabled incorporating short-term disequilibria moments in long run equilibrium. The analysis starts with examination of level of integration of series in question. Then a number of cointegrating regressions are run. Cointegrated series are employed in different "lag-rich" error correction formulations. Finally using a general to specific approach, parsimonious models are reached dropping insignificant regressors.
Open Access
Investigation of ionospheric trend over Turkey using sliding window statistical analysis method
(IEEE, 2013) Deviren, M. N.; Arikan, F.; Arıkan, Orhan
In this paper, variability of trend over Turkey is investigated statistically by Sliding Window Statistical Analysis (SWSA) method. First and second moment of the variability of ionospheric trend is calculated by SWSA method in a period of several years. Variance bounds are also obtained. This method is applied to Total Electron Content (TEC) estimates which are obtained from Turkish National Permanent GPS Network (TNPGNActive) between 2009 and 2012. The Wide Sense Stationarity (WSS) period of ionospheric trend over Turkey is determined for the first time. © 2013 IEEE.
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
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.
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.