The aim of this study is to show that there exists a common movement among the currencies of emerging market economies that implemented the exible exchange rate regime after 2000. Also, we examine if this common movement is closely related to financial markets and some macroeconomic fundamentals...

In this paper, we produce short term forecasts for the inflation in Turkey, using a large number of econometric models. In particular, we employ univariate models, decomposition based approaches (both in frequency and time domain), a Phillips curve motivated time varying parameter model, a suite...

The aim of this study is to determine if the common movement among the currencies of emerging market economies that implement flexible exchange rate regime after 2000 is closely related to financial variables. This common movement, which has been derived using a dynamic factor model, is...

We use linear regression models and Bayesian Model Averaging procedure to investigate whether Google search query data can improve the nowcast performance of the monthly nonagricultural unemployment rate for Turkey for the period from January 2005 to January 2012. We show that Google search...

Theoretically, the risk premium captured by Credit Default Swap (CDS) and bond yield spreads should be equal. However, data reveals a significant difference between the two spreads. We explore the presence of a mean-reverting behavior in this difference (CDS-bond basis), for selected emerging...

[TR] Ulke kredi riskinin alternatif gostergeleri olan kredi temerrut takasi (CDS) orani ve EMBI+ulke farki degerlerinin teoride arbitraj imkanina yer vermeyecek sekilde esit olmasi beklense de; iki veri donemsel olarak oldukca farkli hareketler gosterebilmektedir. Bu not, soz konusu farkin...

This paper has two major objectives. First, we develop and implement a Bayesian generalized factor model that allows for non-orthogonality of the idiosyncratic factors and the flexibility of cross-sectional and time series dimensions. Second, we evaluate the significance of the orthogonality...

This paper has two main objectives. The first objective is to propose a new indicator of core inflation, which is obtained by cleaning month on month relative price fluctuations from overall price changes and idiosyncratic dynamics. We use a factor model with the subcomponents of CPI inflation...