Exchange rate pass-through in Turkey : asymmetric cointegration analysis

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buir.advisorÖzcan, Kıvılcım Metin
dc.contributor.authorDinççağ, Ayşegül
dc.date.accessioned2016-01-08T18:11:47Z
dc.date.available2016-01-08T18:11:47Z
dc.date.issued2009
dc.descriptionAnkara : The Department of Economics and the Institute of Economics and Social Sciences of Bilkent Univ., 2009.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2009.en_US
dc.descriptionIncludes bibliographical references leaves 50-53.en_US
dc.description.abstractIn 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.provenanceMade available in DSpace on 2016-01-08T18:11:47Z (GMT). No. of bitstreams: 1 0003947.pdf: 325847 bytes, checksum: 8ab2743970b987fb4dd94b2adf53332b (MD5)en
dc.description.statementofresponsibilityDinççağ, Ayşegülen_US
dc.format.extentix, 56 leavesen_US
dc.identifier.urihttp://hdl.handle.net/11693/14979
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectExchange Rate Pass-throughen_US
dc.subjectEngle-Granger Two Step Procedureen_US
dc.subjectJohansen Procedureen_US
dc.subjectError Correction Model,en_US
dc.subjectAsymmetric Cointegrationen_US
dc.subject.lccHG3823 .D55 2009en_US
dc.subject.lcshForeign exchange rates--Econometric models.en_US
dc.subject.lcshForeign exchange--Turkey.en_US
dc.subject.lcshInflation (Finance)en_US
dc.subject.lcshCointegration.en_US
dc.titleExchange rate pass-through in Turkey : asymmetric cointegration analysisen_US
dc.typeThesisen_US
thesis.degree.disciplineEconomics
thesis.degree.grantorBilkent University
thesis.degree.levelMaster's
thesis.degree.nameMA (Master of Arts)

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