Browsing by Subject "cointegration"

Now showing 1 - 5 of 5

Open Access
Demand and supply of real estate market in Turkey : a cointegration analysis
(2009) Bulut, Zeynep Burcu
Since in a country the housing market is a leading indicator for the whole economy, the determinants, that are affecting aggregate housing supply and demand, are widely searched. In this study, we try to find the variables which are affecting the demand and supply of real estate market in Turkey between the years 1970 to 2007. We can not specialize on the housing market and rather study the real estate market in the aggregate‐‐‐number of dwellings is our quantity measure‐‐‐due to data limitations. We chose Topel and Rosen’s (1988) demand and supply models that are basically based on different short‐ and long‐run elasticity. As demand side independent variables, interest rate, value variable, income and population are chosen and as supply side independent variables, value, interest rate and costs are chosen.Value is used as a proxy since the market price data does not exist in Turkey. Value is a kind of cost that is taken from the builder without interested in what the materials are and how much the labor costs to the builder. Also, the annual data is used because of the data limitations. Due to the fact that all these variables are I(1), Johansen Cointegration and VECM are preferred. According to the empirical findings, the signs of all the variables are as expected and are significant in the long‐run. However, in the short‐run, only interest rate and cost variables are significant in 90% confidence level. Furthermore, the price elasticity of supply is 1.5 in the long‐run while it is 0.13 in the short‐run. This shows us that the adjustment costs for a change in Turkey is significantly high. Moreover, the long‐run price elasticity of demand is ‐4.97.
Open Access
Implementation of Johansen procedure in the estimation of demand for M1 and M2 using the Turkish data
(1993) Özdenören, Emre
This study aims at estimating the money demand function for Turkey using quarterly data. Estimation is done, for both Ml and M2, using Johansen procedure, which is a variate of the theory of cointegration. The results of the Johansen procedure shows that real income is positively and expected loss is negatively related with demand for Ml and M2. Also, some linear restrictions are tested, by restricting the money demand coefficients. The results of these tests show that Tobin-Baumal model and unit elasticity of income are rejected for both Ml and M2.
Open Access
Military expenditures and economic growth in Turkey
(2003) Candar, Ömür
This study estimates the impact of military expenditures on economic growth in Turkey over the period of 1950-2001 by employing a cointegration analysis developed by Engle and Granger (1987). The model integrates some of the commonly used variables in defence economics models into a simple growth specification and allows the influences of the defence spending on economic growth to be revealed empirically. The results indicate that military expenditures have a positive effect on economic growth both in the long and in the short run.
Open Access
Three essays on the behavior of French stocks cross-listed on the German stock markets
(2002) Bayar, Aslı
The behavior of French stocks that are cross-listed on the German stock markets is analyzed in this study. Using a sample of stocks that are listed both on the Paris Bourse and the Xetra, it is found that there is no change in the systematic risk for the domestic market (the Paris Bourse) and the foreign market (the Xetra) suggesting the integration of these markets for the overall sample. However, the findings with respect to the world market make the integration of the French stock markets with the world market questionable. Furthermore, the analysis of abnormal returns suggests that for some portfolios, such as the small- and medium-sized portfolios, the high book-to-market value ratio portfolio and the manufacturing, retailing and finance sectors, the markets may not be integrated. The second chapter analyzes the changes in the liquidity and price volatility of the French stocks that are cross-listed on the Xetra. It is found that liquidity declines and the volatility of the stock prices increases after cross-listing for many stocks in the sample. These findings are against the expectations, since an increase in liquidity and a decline in volatility are expected, if the markets are integrated. Finally, in the third chapter, price adjustment process between the two stock markets is examined by cointegration analysis. It is observed that between the French and the German stock markets there is a relationship and most of the time the stock prices on the German stock markets follow the stock prices on the French stock markets.
Open Access
A time series analysis of prices and exchange rates in Europe towards the third stage of EMU
(1998) Ardıç, Oya Pınar
This thesis analysed prices and exchange rates of eleven EMU States using time series analysis. Among the criteria set by the Maastricht Treaty as requirements of participating in the euro zone, price stability and exchange rate convergence were examined. The answers for the questions such as whether or not the prices and exchange rates move together permanently, and the PPP hypothesis holds for euro against US dollar, Japanese yen and Turkish lira were investigated. For these purposes, real exchange rate indices for the euro zone were calculated using the data on prices and nominal exchange rates. The prices, bilateral nominal and real exchange rates of the EMU States were found to have a long-run equilibrium relationship among themselves. However, there was no evidence of PPP for euro against US dollar, Japanese yen and Turkish lira.