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

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.