Bu makale, 1990:01–2006:04 dönemleri arasında beklenen nominal US Dolar kur değişmelerinin belirleyicilerini, Güvencesiz Faiz Oranı Paritesi çerçevesinde incelemektedir. Parametrik olmayan ve açıklayıcı değişkenlerin bağımlı değişken üzerinde çapraz etkileşimlerini de...

This thesis consists of four papers. The first three deal with deterministic chaos in exchange rate series whereas the fourth deals with technical analysis in the foreign exchange market. Paper [i] (

Recent literature has attempted to apply Extreme Value Theory (EVT) in the identification of currency crises. However, these approaches seem to have confused the thresholds in extreme modeling with the cutoffs of currency crises. Our paper proposes a Return Level Identification Approach, also...

This paper assesses duration-specific treatment effects of fixed currency regimes on bilateral trade along a duration path of up to 25 years. We find that country-pairs with fixed exchange rate regimes trade more, but only after about 8 years.

In this paper we estimate the relationship between stock prices and exchange rates in EU and USA during the period of recent financial crisis (2008–2012) and compare the results with those in a previous period where stock markets were operating under normal conditions. According to the...

This paper develops new test methods for m-dependent data. Our approach is based on sample splitting by regular sampling of the original data at lower frequencies, so that standard techniques for testing independence can be used for each individual subsample. We then propose several alternative...

With the emergence of the chaos theory and the method of surrogates data, nonlinear approaches employed in analysing time series typically suffer from high computational complexity and lack of straightforward explanation. Therefore, the need for methods capable of characterizing time series in...

This paper investigates the effects of Federal Reserve's decisions and statements on U.S. stock and volatility indices (Dow Jones Industrial Average, NASDAQ 100, S&P 500, and VIX) using a high-frequency event-study analysis. I find that both the surprise component of policy actions and official...

According to uncovered interest parity (UIP) theory, the rates of return on comparable assets should be equal across the world, implying that the exchange rate would adjust to ensure that differences between world interest rates average zero. In addition, real interest parity (RIP) prevails when...