Exchange rates, administered prices and inflation in Turkey

Download
116733.pdf
2002
Yavuz, Devrim
Show full item record
68
views
0
downloads
Inflation (Finance), Exchange rates
https://hdl.handle.net/11511/13490
Graduate School of Social Sciences, Thesis

Suggestions

Exchange rate pass-through to domestic prices in Turkish economy
Alper, Koray; Gaygısız Lajunen, Esma; Department of Economics (2003)
In this study, determinants and the evolution of the exchange rate passthrough to domestic inflation in the Turkish economy is analyzed. The analyses cover the 1987-2003 period. In the analyses, single equation أError Correction Modelsؤ are used to estimate the exchange rate pass-through. Estimation results suggest that alike other emerging countries, the degree of exchange rate passthrough to domestic prices is high and the pass-through is completed in a very short time span. Estimations results also indic...
Comparative study of risk measures
Ekşi, Zehra; Körezlioğlu, Hayri; Department of Financial Mathematics (2005)
There is a little doubt that, for a decade, risk measurement has become one of the most important topics in finance. Indeed, it is natural to observe such a development, since in the last ten years, huge amounts of financial transactions ended with severe losses due to severe convulsions in financial markets. Value at risk, as the most widely used risk measure, fails to quantify the risk of a position accurately in many situations. For this reason a number of consistent risk measures have been introduced in...
Macroeconomic announcements and intraday stock market volatility
Yılmaz, Berna Nisa; Danışoğlu, Seza; Department of Financial Mathematics (2017)
This study examines the effects of interest and inflation rate announcements on stock market volatility by using a standard event study methodology. The BIST-30 Index volatility is modelled and forecasted by the multiplicative component GARCH model. This is one of the first studies where the announcement effects are analyzed on the basis of volatility forecasts produced by the multiplicative component GARCH. The announcement effects are observed clearly with the advantage of using high-frequency data. While...
Macroeconomic variables and the housing market in Turkey
Sarı, Ramazan; AYDIN, Bahadir (Informa UK Limited, 2007-09-01)
This paper investigates the relation between housing starts and macroeconomic variables in Turkey from 1961 to 2000. The generalized variance decomposition approach is used to examine relations between housing market activity and prices, interest rates, output, money stock, and employment. In contrast to previous findings for developed countries, our results indicate that the monetary aggregate has a relatively more important and substantial effect on housing investment than does employment. Generally speak...
Stochastic volatility, a new approach for vasicek model with stochastic volatility
Zeytun, Serkan; Hayfavi, Azize; Department of Financial Mathematics (2005)
In the original Vasicek model interest rates are calculated assuming that volatility remains constant over the period of analysis. In this study, we constructed a stochastic volatility model for interest rates. In our model we assumed not only that interest rate process but also the volatility process for interest rates follows the mean-reverting Vasicek model. We derived the density function for the stochastic element of the interest rate process and reduced this density function to a series form. The para...
Citation Formats
D. Yavuz, “Exchange rates, administered prices and inflation in Turkey,” M.S. - Master of Science, Middle East Technical University, 2002.
METU IIS - Integrated Information Service open@metu.edu.tr