This paper examines the interactions between fiscal and monetary policy for some former transition, emerging European economies over the 1995Q1–2010Q4 period by using a Markov regime-switching model. We consider the monetary policy rule proposed by Taylor (1993) and the fiscal policy rule...

This study constructs a financial stress index for Bulgaria, the Czech Republic, Hungary, Poland, and Russia and examines the relationship between financial stress and economic activity. The financial stress index incorporates banking sector fragility, time varying stock market return...

This article examines persistence and nonlinearity in the US unemployment rate in the post-war period by using a regime-switching unit root test. The empirical results indicate that a regime-switching unit root test outperforms conventional unit root tests and describes unemployment behavior...

This study examines episodes of financial stress and develops a financial stress index for the Turkish economy for the 1997–2010 period. We consider various variables that summarize different aspects of financial conditions in the economy to gauge financial stress. We construct the index and...

This study examines the presence of asymmetry in Okun's law for nine transition economies by means of a Markov regime-switching model. We examine the relationship between unemployment and real GDP to ascertain whether such changes are substantially different in downswing versus upswing regimes....

Finansal piyasalarda Etkin Piyasalar Hipotezi’nden sapmalar olarak gozlenen ve cesitli ampirik calismalarla desteklenen anomalilerin incelendigi bu calismanin amaci, Istanbul Menkul Kiymetler Borsasi (IMKB) 100 endeks getirisi uzerinde yaz saati uygulamasi ve hafta sonu anomalilerinin...

Fluctuations in raw material and product prices have caused manufacturers and consumers to experience serious losses in steel sector as well as in all other sectors. As the number of manufacturers of commodities like coking coal, iron ore and scrap- the main raw materials of steel manufacturing-...

In this study, the impact of macroeconomic factors on return, volume and volatility of futures contracts traded in TurkDEX with underlying asset of ISE 100, ISE 30, Dollar and Euro, were examined for the period between February 2005 - November 2011; and volatility forecasting has been tested. As a...

The aim of this paper is to investigate the presence of a causality relationship between the stock market and the foreign exchange market in the Czech Republic, Hungary, Poland, and Turkey. We first analyze the existence of structural breaks in the variance of stock and foreign exchange rate...