1,721,015 research outputs found
The Search for Co-Integration Between Money, Prices and Income: Low Frequency Evidence From the Turkish Economy
No full textIn this paper, we aim to test the empirical validity of the QTM relationship for the Turkish economy. Using some contemporaneous time series estimation techniques, our estimation results reveal that stationarity characteristics of the velocities of currency in circulation and the broad money aggregate in the economy cannot be rejected through a quantity theoretical co-integrating long-term variable space. We find that there exists an about one-to-one proportionality between money and prices and money and real income, and that exogeneity of money cannot be rejected for the currency in circulation in the economy. But, the exception here comes from the broad monetary aggregate used in the QTM equation such that money seems to be endogenous as for the long-term variable space
Are real exchange rates mean reverting? Evidence from a panel of OECD countries
No full textIn our article we employ some contemporaneous panel unit root tests (Maddala and Wu, 1999; Im et al., 2003) to examine whether the real exchange rates are mean reverting. Considering a panel of 26 OECD countries from 1987 to 2006 both using monthly and quarterly observations, we find that assuming a panel framework significantly increases the power of unit root tests. As a result, we find that the nonstationarity of the real exchange rate has strongly been rejected in favour of giving support to the purchasing power parity
Portföy akımları için “çeken” & “iten” etkenlerin tanımlanması: Türkiye ekonomisinden SVAR bulguları
No full textIn this paper, the determinants of the portfolio based capital flows are examined for the Turkish economy. Following the structural vector autoregression methodology, the estimation results reveal that the ‘push’ factors based on the external developments for the Turkish economy have a dominant role in explaining the behavior of the portfolio flows. Further, the domestic real interest rate as one of the main ‘pull’ factors has been found in a negative dynamic relationship with the portfolio flows. This result is attributed to that the dynamic course of the portfolio flows should not be related to the excess return possibilities of the real interest structure of the Turkish economy.Bu çalışmada portföy temelli sermaye akımlarının belirleyicileri Türkiye ekonomisi için incelenmiştir. Yapısal vektör otoregresyon yöntemi izlenerek elde edilen sonuçlar Türkiye ekonomisi için dışsal gelişmelere dayalı ‘iten’ etkenlerin portföy akımlarının davranışı açıklamakta belirleyici bir işleve sahip olduğunu ortaya koymaktadır. Ayrıca, başlıca ‘çeken’ etkenlerden biri olarak yurt içi reel faiz oranı portföy akımları ile negatif bir dinamik ilişki içerisinde bulunmuştur. Bu sonuç portföy akımlarınının dinamik gelişme yolunun Türkiye ekonomisinin reel faiz yapısının aşırı getiri olanaklarıyla ilişkilendirilmemesi gerekliliğine atfedilmiştir
On the links between inflation, output growth and uncertainty: system-GARCH evidence from the Turkish economy
Get PDFIn this study, the causal relationships between inflation, output growth and uncertainty have been re-examined for the Turkish economy. Based on the system-GARCH methodology, estimation results reveal that for the 1987M01 2008M09 investigation period with monthly data, the mutual Granger causality between inflation and inflation uncertainty cannot be rejected in a positive way. For the output growth and its uncertainty relationship, it is observed that the larger the output growth the lower the output growth uncertainty. Some evidence have also been obtained in favor of that an increase in inflation uncertainty lowers output growth and that an increase in the latter lowers the former. Furthermore, an increase in output growth uncertainty is likely to lead to more inflation. A sensitivity analysis implemented for the post-2001 period supports to a great extent these results. Consequently, it is inferred that policies aiming at reducing inflation would lead to a more efficient functioning of the price system, and this would contribute to the real output growth.Inflation ; Output growth ; System-GARCH ; Turkish economy ;
A small scaled business-cycle analysis of the Turkish economy: some counter-cyclical evidence using new income series
Get PDFIn this paper, a small scaled business cycle analysis is tried to be conducted for the Turkish economy. For this purpose we try to extract the knowledge of cyclical correlations between real income and prices/inflation considering 1998: 100 based new income series data and then examine pro- or counter-cyclical characteristics of these aggregates. Our estimation results indicate that both deflator based price level and inflation have a counter-cyclical relationship with real output in a way supporting what the supply-driven business cycle models bring out. To further examine the direction of the relationship between the cyclical components of price level/inflation and real income, we apply to the generalized impulse response analysis. The results verify that there exists a data consistent strong negative interaction between real output and price level/inflation. Considering all these findings, we conclude that no credibility must be attributed to the discretionary demand-driven Keynesian policies to stabilize the effects of the business cycles witnessed by the Turkish economy and that the policies permitting to supply shocks which will lead to a negative interaction between output and prices, rather, must have been of a special importance in the eyes of economic agents and policy makers.Inflation; Output; Business Cycles; Filtering/Decomposing; Counter-Cyclical Prices/Inflation; Generalized Impulse Response Analysis; Turkish Economy;
Testing homogeneity for real income and prices in a money demand equation: the case of Turkey
Get PDFIn this paper, money demand models using narrowly- and broadly-defined monetary aggregates have been tried to be constructed for the Turkish economy. Using some contemporaneous co-integration estimation techniques for the 1987-2007 period with quarterly data, our findings indicate that for the narrowly-defined monetary aggregates the unit real income elasticity assumption cannot be rejected, but no such a finding can be obtained for the unit price elasticity assumption. For the broadly-defined monetary aggregates the reverse is true, that is, the unit price elasticity assumption cannot be rejected, but we are unable to give support to the unit real income elasticity. Furthermore, we find that interest rate as an alternative cost to holding money is only statistically significant for the broad money demand equation
Determinants of reserve money demand: a multivariate co-integrating approach
Get PDFIn this paper, a reserve money demand model is constructed for the Turkish economy. Base on the contemporaneous multivariate co-integration estimation methodology, our findings indicate that the main alternative costs to hold reserve money balances in hand are the expected exchange rate depreciation representing ongoing currency substitution phenomenon in the economy and the equity prices. The semi-elasticity of domestic inflation reveals high degree of substitutability between real monetary balances and durable commodities. Furthermore, there exists evidence in favor of the effects of financial development on the money demand function in the sense that diversification of financial tools held in hand against demand for money balances is a necessary condition for the determination of long-run course of the monetary policy
An empirical model for the Turkish trade balance: new evidence from ARDL bounds testing analyses
Get PDFIn this paper, the determinants of the Turkish trade balance are tried to be analyzed in an empirical modelling approach. For this purpose, the contemporaneous ARDL-based bounds testing has been used to examine the existence of a long run co-integration relationship between the variables of our interest. The estimation results indicate that real exchange rate depreciations improves the trade balance in a strong and significant way, that domestic real income affects the trade balance negatively, and that trade balance is strongly improved due to an increase in foreign real income. No significant effect of crude oil prices can be observed on trade balance. The error correction modeling gives results in line with the long run findings of the co-integration analysis
An essay upon testing economic convergenge hypothesis with time series panel unit root methods for the OECD countries
No full textBu çalışmada neo-klasik büyüme kuramına dayalı yakınsama öngörüsü 26 OECD ülkesine ait kişi başına reel gelir verileri kullanılarak yeniden incelenmeye çalışılmaktadır.Çağdaş bazı panel birim kök sınamaları dikkate alınarak 1970 – 2007 örneklem dönemi için elde edilen temel bulgular OECD ülkeleri kişi başına reel gelir düzeylerinin lider ülke olarak seçilen ABD kişi başına reel gelir düzeyine yakınsamasının reddedilemediğini göstermektedir. Buna karşılık, OECD ülkeleri kişi başına reel gelir düzeylerinin OECD ortalama kişi başına reel gelir düzeyine yakınsamasının dikkate alınması durumunda panel birim kök sıfır varsayımının gerçek veriler tarafından desteklendiği görülmektedir.In this paper the convergence hypothesis based on the neo-classical growth theory is tried to be re-examined by using per capita real income data of 26 OECD countries. Considering some contemporaneous panel unit root tests for the 1970 – 2007 sample period, the main findings obtained indicate that we are unable to reject that the per capita real income levels of OECD countries converge to the USA per capita real income level, chosen as the benchmark country. However, when the convergence of per capita real income levels of OECD countries to the average of OECD per capita real income level is considered, the panel unit root null hypothesis is seen to be supported by the actual data
Threshold GARCH modeling of the inflation & inflation uncertainty relationship: historical evidence from the Turkish economy
Get PDFIn this paper, the preceding / causal relationships between inflation and inflation uncertainty have been tried to be examined for the Turkish economy. Dealing with the information content of this relationship, we estimate that positive inflationary shocks are associated with statistically significant and quantitatively larger levels of inflation uncertainty than are negative shocks. Our estimation results indicate that inflation in fact leads to inflation uncertainty in line with the Friedman-Ball hypotheses. However, our findings contradict the Cukierman-Meltzer hypotheses that inflation uncertainty leads to inflation in a positive way. We find that the larger the inflation uncertainty the lower would likely to be the level of inflation
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