Turkish Economic Review
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Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH
Get PDFAbstract. We have tried in this article to detect, examine, and analyze the persistence in the conditional volatility of the major Moroccan stock market index called MASI, using a fractionally integrated EGARCH model that has the property of capturing long memory along with shocks to the conditional volatility. A GARCH (1,1) and IGARCH models were also estimated for comparative purposes using Akaike, Schwarz and log likelihood information criterion. We used daily returns of MASI index covering the period between 04/01/1993 and 03/02/2017. Our results confirm the presence of a strong persistence in the volatility of the Moroccan index which is inconsistent with the weak efficiency form of Fama’s efficient markets hypothesis. The findings of this study could be of particular use to investors and academics interested in the forecasting of daily volatility in the Moroccan context. This paper broadens previous long memory estimation research by applying a FIEGARCH specification enabling it, not only to account for persistence, but also, to measure the leverage effect. Moreover, we believe that, to the best of our knowledge, this paper is the first to model the volatility of the Moroccan stock market using a FIEGARCH approachng. Keywords. Volatility, Persistence, Long memory, FIEGARCH, MASI.JEL. G11, G17, C53, C58
Mülkiye Congress on International Relations
Get PDFAbstract. The year 2017 welcomed the first of the Mülkiye Congress on International Relations. It was titled as “The 100th Anniversary of the October Revolution: The Soviet Union, the Cold War and the International System” and held on 16-17 October in Ankara. The Congress was organized by Faculty of Political Science, Department of International Relations in Ankara University and hosted many participants from various countries and disciplines.Keywords. Mülkiye congress, International relations, Hegemony, Prague spring, Soviet Union.JEL. A14, B10, E15
Foreign direct investment and economic growth in Sub-Saharan Africa: The role of institutions
Get PDFAbstract. In this paper, we examine the impact of FDI on economic growth condition on the role of quality of institutions. To address our objective, we use the fixed effect and GMM models for analysis. A sample of 36 countries from Sub Saharan Africa was used for period from 2001 to 2015. The empirical results show that FDI has a significant negative effect on economic growth. Institutional quality on the other hand has a positive influence on economic growth. Considering the interaction term between FDI and institutional quality, the empirical evidence show that institutional quality enhances the spillover effect from FDI and therefore do matter for economic growth. Using the GMM model the results confirm that good institutions are necessary for mediating the effects of FDI for economic growth. Keywords. FDI, Institutional quality, GMM, Economic growth.JEL. 043, C33, C36
An Econometric Analysis of Demand for Money and its Stability in Tanzania
No full textAbstract. This paper examines the determinants of demand for money and its stability in Tanzania using annual time series data spanning from 1966 to 2015. Economic analysis of the money demand function is facilitated by the Johansen cointegration, vector autoregressive-vector error correction model (VAR-VECM) and variance decomposition with the main objective of analyzing the factors which, in both short run and long run, influence its movements. The study is thought to be significant because the demand for real money balances serves as the core link between the monetary policy and the real sector of the economy. Based on the annual data under the period of study, cointegration results reveal that there is a long-run relationship between real money balances and the explanatory variables namely, real GDP, deposit interest rate, real exchange rate and inflation rate. Consistent with money demand theory, the VECM results show that the demand for real money balances is positively related with scale variable (real GDP) but it responds inversely to opportunity cost of holding money (deposit interest rate and inflation rate). Moreover, results provide evidence that the demand for real money balances and real exchange rate are positively associated. Furthermore, after incorporating the stability tests, the empirical results show that real money demand function is stable over the 1966-2015 period, suggesting that it is possible to use the narrow money aggregate as target of monetary policy in Tanzania.Keywords. Money demand, VAR-VECM model, Stability.JEL. C32, E41, E52
The Response of Industrial Production to the Price of Oil: New Evidence for Thailand
No full textAbstract. This paper examines the oil price-industrial production nexus in Thailand by using multivariate cointegration test. In addition, Granger causality is also used to examine the impact of oil price uncertainty on industrial production growth. The main focus of this paper is on one sector of the economy, i.e., manufacturing sector. Monthly data from 1993 to 2015 are utilized. Empirical results reveal that there is a long-run relationship between industrial production and real oil price and other variables. Industrial production adjusts rapidly to shocks to lending rate, price level and oil price. Furthermore, there exists long-run causality running from lending rate, price level and oil price to industrial production. However, industrial production growth does not respond to oil price shock and oil price uncertainty. Asymmetric and nonlinear relationship between oil price shock and industrial output growth is not found. These findings give some policy implications.Keywords. Industrial production, Oil price shock, Oil price volatility, Cointegration, Causality.JEL. C22, Q43
Economic freedom and effects on economic growth: A time series analysis for Turkey
No full textAbstract. Economic freedom represents personally free economic activity level. Thus such as Fraser Insitute or Heritage Foundation the level of economic freedom in Turkey for a compound period of before and after 1980 has been constituted originally. Freedom index referred to internationally measures of organization composed of different indicators. These indicators are derived from the point of view of market economy, liberal perspective. Level of economic freedom indicated by index values are to be analyzed econometrically with another economic indicators. Other variables are human capital, income per labor stemmed from MRW Model of economic growth, physical capital etc. Results of time series analysis with ARDL Model, Cointegration Methods found out significant relationship between economic freedom and growth. Findings are differently and specifically evaluated for Turkish economy and political economy.Keywords. Economic freedom, Economic growth, Turkish economic freedom index, ARDL bound test approach, Johansen cointegration analysis.JEL. F43, N10, O10
The role of institutional factors when determining investment strategies of sovereign wealth funds in stock market
No full textAbstract. Sovereign Wealth Funds (SWF) are investment vehicles of governments which use its assets in hand for the favor of public interest. SWFs invest a vast amount of money that varies in amount from year to year both in national and international platforms. Funds which provide an excellent source mean a lot for developed countries as much as they mean to developing countries. In this study, the factors SWFs consider while investing in the stock market are analyzed. Panel data is chosen for analysis using SWF and Heritage institutional factor index. New Zeeland is selected as example to illustrate that from which institutional factor, such as private property right, law enforcement, tax responsibility and freedom of labor, influenced investments New Zeeland SWF made in stock markets of 42 different countries. Keywords. Sovereign Wealth Funds, Stock markets, Investment, Institutional factors.JEL. C10, C23, G23
New alternative measuring financial stability
No full textAbstract. If the z-score index is widely used as a measure of the stability in conventional banks, it would be more reliable to find an appropriate measure of the stability forall type of banks. Knowing that the cooperative or Islamic banks follow different contracts forms of investments such the PLS system and are closer to real economic, by considering the illiquid assets, we expect that the new measure labelled g-score, associated to real economic growth, reflects multiple risks and allows to track the banking stability. Keywords. Stability, Liquid assets, Illiquid assets, z-score, g-score, probability of default.JEL. G21, G24, G32, G33
Understanding the sources of high current account fluctuations in 5 developed economies
No full textAbstract. The global economy has, in recent times, continued to face large and unprecedented external imbalances. Despite reductions recorded in aggregate current account (saving less investment) to global output ratio, the imbalances still remain. The main contributors to the imbalances have been the world’s developed economies. These developed economies have experienced fluctuating current account balances over the years and the fluctuation has contributed to a slow correction of the imbalances. This paper identifies 5 developed economies with the highest fluctuations in current account balances and analyses the sources of these fluctuations. The countries are Singapore, Latvia, Iceland, Norway and Estonia. Results obtained suggest that 1) temporary shocks account for most current account fluctuations, and the excess response to temporary shocks is as stable and pronounced as in previous studies; 2) permanent shocks drive current account fluctuations in Iceland and Latvia but not in Norway, Estonia, and Singapore; 3) Singapore demonstrates the most support for the two-good intertemporal model, since external supply and demand shocks account for its current account fluctuations.Keywords. Current account fluctuations, two-good inter-temporal model, VAR and impulse response, V5 Economies.JEL. F32, F41, F21, C22