Browsing by Subject "VAR model"

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Open Access
Dynamic relationship between macroeconomic variables and returns on Turkish rela estate investment trusts
(2012) Kırdök, Fethiye Ezgi
The purpose of this thesis is to examine the dynamic relationship between the returns on Turkish real estate investment trusts (REITs) and macroeconomic variables for the period between 2000 and 2011. Market returns, industrial production, inflation, unexpected inflation, overnight interest rate, term premium, and default risk premium are used as macroeconomic variables in the analysis. The models are estimated for the whole period, January 2000 – December 2011 as well as for the subperiod excluding the 2000-2001 crisis. Unrestricted vector autoregressive model, variance decomposition and generalized impulse response techniques are employed to capture the feedback mechanism between macroeconomic variables and REIT returns. The results of the variance decomposition analysis show that macroeconomic variables explain almost half of the total variation in REIT returns for the whole sample period. This proportion increases to 63% when the crisis period is eliminated. Although there is not a dominant factor, industrial production, inflation, market returns and term structure are found to be important variables to explain the variability of REIT returns. Generalized impulse response analysis shows that unexpected shocks in the stock market and default risk premium have positive impact on Turkish REIT returns whereas unexpected shocks on overnight interest rate and term premium have negative effect. However, shocks to inflation and industrial production are not found to have significant impact on REIT returns. Some differences among REITs are observed depending on whether the major shareholder of the REIT is a bank or a construction company.
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.