This paper examines the nonlinear behavior and the fractional integration property of the US dollar/euro exchange rate over the period fromJanuary 1999 to August 2010 by extending the procedure of Peter M. Robinson (1994) to the case of nonlinearity. First, using the approach developed by Mehmet...

This paper investigates whether the Istanbul Stock Exchange (ISE) prices can be characterized as a random walk or mean reversion process in a non-linear framework. We employ an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root based on bootstrap...

Bu çalışmanın amacı reel döviz kurunun dış ticaret dengesine etkisini araştırarak, Türkiye için Marshall Lerner koşulunun geçerliliğini test etmektir. Bu amaçla eşbütünleşme testi için, son olarak geliştirilen ve otoregresif dağıtılmış gecikmeli (ARDL) modeline dayalı...

Küreselleşme ile ilgili tartışmalarda anahtar rolün, kısa vadeli sermaye hareketleri ve bunun ülke ekonomilerine etkileri üzerine yoğunlaşması sebebiyle bu çalışmada, kısa vadeli sermaye hareketleri ile en önemli belirleyicilerinden olan reel faiz oranı ve reel döviz kuru...

Bu çalışma, 01.1990 - 07.2008 dönemine ait aylık zaman serisi verilerini kullanarak Türkiye’de döviz kuru ve hisse senedi fiyatları arasındaki ilişkiyi araştırmaktadır. Döviz kuru ve hisse senedi fiyatları arasındaki koentegrasyon ilişkisi için Pesaran, Shin ve Smith (2001)...

This paper investigates the impact of educational expenditures on economic growth for 18 Latin American countries over the period 1970–2009 by using cointegration test procedure in the presence of two unknown structural breaks. Considering structural breaks is necessary for our analysis...

This paper explores the relationship between gold prices and the US dollar/Turkish lira exchange rate between 1990–2011 by using cointegration and Granger causality analyses. The empirical findings indicate that there is a threshold cointegration relationship between the two variables. The...

This paper investigates the fiscal deficit sustainability of Turkey over the period 1975–2008 by using both cointegration and multicointegration methods. In addition to the conventional unit root tests, the minimum LM unit root test with one structural break is used to examine the time...

This article investigates the fractional cointegration relationship between long-term interest rates of G7 countries over the period from 1990:01 to 2010:04 by estimating the cointegrating regressions for possible bivariate, trivariate and four-variate subsystems as well as the full system. The...

This paper examines the long run impact of trade and financial openness on economic growth in Turkey for the 1992-2006 period by using the Bounds test approach proposed by Pesaran, Shin and Smith (2001) based on Unrestricted Error Correction Model and Toda ve YamamotoÕs (1995) causality test....