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] (

Purchasing power parity (PPP) is one of the most important, but empirically controversial theories in international macroeconomics. Although many researchers believe that some variant of PPP holds in the long run, there are diverse empirical results regarding the PPP hypothesis. We examine the...

We propose a multi-currency quadratic term structure model that allows for several sources of market incompleteness. A new feature of the model is the jump-quadratic dynamics of the exchange rates that simultaneously generate greater flexibility in the time-varying risk premium and excessive...

This paper uses data from a large survey of firms across 26 transition countries to examine the determinants of trust in the transition process. We first introduce a new measure of trust between firms: the level of prepayment demanded by suppliers from their customers in advance of delivery....

The persistence properties of economic time series has been a primary object of investigation in a variety of guises since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their history. In particular we suggest that examining the...

The assessment of models of financial market behavior requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent basedmicrosimulationmodels or complex multifractal models, simulation based estimators might provide an alternative. In order to apply such...

The paper applies fuzzy clustering techniques to the member countries of the European Union in order to arrive at an identification of preferred monetary union groupings. The statistical criteria employed are those suggested, alternatively, by the traditional Optimal Currency Area theory or the...

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes,...