An application of seasonal cointegration and error correction models on monthly data

Date
1995
Advisor
Metin, Kıvılcım
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Print ISSN
Electronic ISSN
Publisher
Bilkent University
Volume
Issue
Pages
Language
English
Type
Thesis
Journal Title
Journal ISSN
Volume Title
Series
Abstract

In this study, I try to analyze and show the monthly changes and their effects on each other of Istanbul Stock Exchange (ISE), TL / $ Exchange Rate (E), M l, M2, price level (P), Interest rate on securities (R) and Advances o f the central bank to the treasury (A) by developed techniques in time series econometrics, namely unit roots, seasonal cointegration and error correction. The long run relationship between stock prices and exchange rate, price level. M l, M2 investigated by using these techniques of time series. Conclusions are made for future use o f models for monthly time series. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis o f monthly data for long run steady state properties together with short run dynamics.

Course
Other identifiers
Book Title
Keywords
Unit Root, Seasonal Cointegration, Error Correction, Istanbul Stock Exchange
Citation
Published Version (Please cite this version)