Exchange rate pass-through in Turkey : asymmetric cointegration analysis
| buir.advisor | Özcan, Kıvılcım Metin | |
| dc.contributor.author | Dinççağ, Ayşegül | |
| dc.date.accessioned | 2016-01-08T18:11:47Z | |
| dc.date.available | 2016-01-08T18:11:47Z | |
| dc.date.issued | 2009 | |
| dc.description | Ankara : The Department of Economics and the Institute of Economics and Social Sciences of Bilkent Univ., 2009. | en_US |
| dc.description | Thesis (Master's) -- Bilkent University, 2009. | en_US |
| dc.description | Includes bibliographical references leaves 50-53. | en_US |
| dc.description.abstract | In this thesis, exchange rate pass-through in Turkey is analyzed using Johansen (1988) and Engle-Granger (1987) two step cointegration procedures. As a result of the analysis, evidence is found for a cointegrating relationship between exchange rates and prices. In addition, asymmetries are tested in the model and it is shown that depreciations lead to a higher degree of pass-through compared to appreciations. In order to analyze the effect of 2001 crisis, structural break tests are applied to the model. It is found that the degree of exchange rate pass-through has decreased significantly since 2001, due to improving conditions and decreasing inflation in the Turkish economy and the reduction in the “indexation” behavior of price setting agents. | en_US |
| dc.description.provenance | Made available in DSpace on 2016-01-08T18:11:47Z (GMT). No. of bitstreams: 1 0003947.pdf: 325847 bytes, checksum: 8ab2743970b987fb4dd94b2adf53332b (MD5) | en |
| dc.description.statementofresponsibility | Dinççağ, Ayşegül | en_US |
| dc.format.extent | ix, 56 leaves | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/14979 | |
| dc.language.iso | English | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Exchange Rate Pass-through | en_US |
| dc.subject | Engle-Granger Two Step Procedure | en_US |
| dc.subject | Johansen Procedure | en_US |
| dc.subject | Error Correction Model, | en_US |
| dc.subject | Asymmetric Cointegration | en_US |
| dc.subject.lcc | HG3823 .D55 2009 | en_US |
| dc.subject.lcsh | Foreign exchange rates--Econometric models. | en_US |
| dc.subject.lcsh | Foreign exchange--Turkey. | en_US |
| dc.subject.lcsh | Inflation (Finance) | en_US |
| dc.subject.lcsh | Cointegration. | en_US |
| dc.title | Exchange rate pass-through in Turkey : asymmetric cointegration analysis | en_US |
| dc.type | Thesis | en_US |
| thesis.degree.discipline | Economics | |
| thesis.degree.grantor | Bilkent University | |
| thesis.degree.level | Master's | |
| thesis.degree.name | MA (Master of Arts) |
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