Markov switching cointegration approach to modeling target zone behavior of the exchange rates with an application to FF/DM exchange rate

Gürgenci, Zerrin


Modeling of exchange rates by multivariate adaptive regression splines and comparison with classical statistical methods
Köksal, Ece; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2017)
Economic factors like inflation, interest rates and exchange rates are among the leading indicators of a country’s relative level of economic health. With the help of technological improvements and global requirements, trading volume and a wide range of commerce network, exchange rates play a vital role in economics and finance since a higher exchange rate may result in a lower trade balance of a country, whereas a lower rate may cause an increase. Inflation, interest rates, domestic money supply growth, a ...
Forecasting direction of exchange rate fluctuations with two dimensional patterns and currency strength
Özorhan, Mustafa Onur; Toroslu, İsmail Hakkı; Department of Computer Engineering (2017)
This thesis presents a method to predict the direction and magnitude of movement of currency pairs in the foreign exchange market. The method uses clustering and classification methods with a combination of two dimensional chart patterns, processed price data and technical indicator data. The input data is adapted to each trading day with a moving time-frame. The accuracy of the prediction models are tested across several different currency pairs. The experimental results suggest that using two dimensional ...
The relationship among reasoning ability, gender and students' understanding of diffusion and osmosis
Korkmaz, Oğuz; Öztekin, Ceren; Department of Secondary Science and Mathematics Education (2005)
This study investigated the 9th grade students' achievement regarding diffusion and osmosis in relation to reasoning ability, prior knowledge and gender. A total of 397 ninth grade students participated in the study. The Test of logical thinking (TOLT) and the Diffusion and Osmosis Diagnostic Test (DODT) were administered to determine students' reasoning ability and achievement in diffusion and osmosis, respectively. DODT results showed that the range of correct answers for the first tier was 41 % to 91%. W...
Exchange rate pass-through into domestic price indicators: a sectoral analysis of Turkish economy
Özen, Emine Özgü; Akbostancı Özkazanç, Elif; Department of Economics (2011)
The question of exchange rate pass-through into domestic inflation is a widely analyzed issue due to its importance as regards to monetary policy, exchange rate policy and in general macroeconomic policy for open economies. Although most of the literature is focused on the exchange rate pass-through at the aggregate level, there are fewer studies that are done at the sectoral level for the Turkish economy. In this study by using a distribution chain of pricing model developed by McCarthy (2000), pass-throug...
Testing the long-run validity of purchasing power parity for Eastern and Southern Europe Countries
Neslihan, Can; Yıldırım Kasap, Dilem; Department of Economics (2013)
This study examines the long-run validity of the Purchasing Power Parity, namely stationarity of real exchange rates for six Eastern and Southern Europe countries over the period of January 1994- December 2012. Despite extensive research to date, the empirical evidence on the PPP hypothesis remains inconclusive. A number of very recent studies ascribe this to the low power of the standard unit root tests in identifying stationarity of potentially nonlinear real exchange rates. In this sense, this study empl...
Citation Formats
Z. Gürgenci, “Markov switching cointegration approach to modeling target zone behavior of the exchange rates with an application to FF/DM exchange rate,” Ph.D. - Doctoral Program, Middle East Technical University, 1999.