This study employs the bounds testing approach to cointegration to investigate the relationships between the prices of two strategic commodities: gold and oil and the financial variables (interest rate, exchange rate and stock price) of Japan – a major oil-consuming and gold-holding country....

Akyuz, Y. and Boratav, K. (2003). The making of the Turkish financial crisis, World Development, 31/9, 1549-1566. Alper, C.E. (2001). The Turkish liquidity crisis of 2000: What went wrong, Russian and East European Finance and Trade, 37/6, 51-71. Aslan, O. and Korap L. (2007). Structural VAR...

In this paper, a money demand model upon M2 broad monetary aggregate for the Turkish economy is examined in a portfolio-based approach considering various alternative cost measures to hold money. Employing multivariate co-integration methodology of the same order integrated variables, our...

The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector. Assuming normally distributed errors the parameters of the model can be straightforwardly...

Using nonlinear testing procedures relevant to the recent literature, this study provides evidence of nonlinear adjustment of nominal exchange rate towards monetary fundamentals in the context of ASEAN-5 countries. While it supports earlier findings supportive of monetary exchange rate model in...

This paper investigates evidence on the effect of dollar depreciation on the US tourism balance of trade. Export revenue and import spending functions are estimated separately with structural vector autoregressive methods to better capture the dynamic adjustment to exchange rate shocks....

This paper tries to examine the long run relationships between the aggregate consumer prices and some cost-based components for the Turkish economy. Based on a simple economic model of the macro-scaled price formation, multivariate cointegration techniques have been applied to test whether the...

Exchange rate plays an important role in transmitting pressures from the external shocks to the domestic economy. Development of inflation in the domestic economy is significantly determined by the ability of exchange rate to transmit external price related pressures to the domestic market....

International capital flows represents one of the key aspect of the globalisation process and refers to the continuous relieving the cross-border capital allocation barriers reflecting in huge increase in the common financial connections among the countries during the last decades. Flows of the...

In 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...