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STAR models : An Application to Turkish Inflation and Exchange Rates
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Date
2004
Author
Yıldırım, Dilem
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The recent empirical literature has shown that the dynamic generating mechanism of macroeconomic variables can be asymmetric. Inspiring from these empirical results, this thesis uses a class of nonlinear models called smooth transition autoregressive models to investigate possible asymmetric dynamics in inflation and nominal exchange rate series of Turkey. Estimation results imply that variables under consideration contain strong nonlinearities and these can be modeled by STAR models.
Subject Keywords
Business cycles.
,
Business cycles.
URI
http://etd.lib.metu.edu.tr/upload/12605735/index.pdf
https://hdl.handle.net/11511/14841
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Graduate School of Social Sciences, Thesis
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D. Yıldırım, “STAR models : An Application to Turkish Inflation and Exchange Rates,” M.S. - Master of Science, Middle East Technical University, 2004.
