In this paper, we examine the relationship between crude oil and natural gas prices. Using smooth transition regression modelling approach, we find that both the long-run and short-run relationships between oil and gas prices are more aptly modelled by simultaneous structural breaks and...

In this paper, we investigate possible nonlinearities in the inflation-output relationship in Turkey for the 1980-2008 period. We first estimate a linear bivariate model for the inflation rate and output gap, and test for linearity of the estimated model against nonlinear alternatives. Linearity...

In this paper, we re-examine the stochastic behaviour of per capita total primary energy consumption across 178 countries around the world. For this purpose, in addition to conventional unit root tests, we apply newly developed tests that allow for nonlinear adjustments and structural breaks in...

In this paper we investigate the real interest parity hypothesis for ten post-Soviet transition countries with respect to Russia, the USA and Germany. For this purpose, we employ conventional linear unit root tests as well as a nonlinear unit root test developed by Kapetanios et al. (2003) to...

In this study we examine possible nonlinearities in dynamic interrelationship between energy consumption and economic growth in Turkey for the 1960–2010 period by using a smooth transition vector autoregressive model. In order to trace the effects of one variable on another, we calculate...

This paper investigates possible asymmetries in the monetary policy reaction function of the Central Bank of Republic of Turkey over the business cycles. It is found that the bank reacted more aggressively towards output stabilisation during recessions than expansions. The empirical evidence...