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We analyze the evolution of the price of paintings in the XVII century Amsterdam art market to test a hypothesis of endogenous entry: higher profitability should attract more entry of painters, which in turn should lead to artistic innovations and more intense competition. We build a price index for the representative painting inventoried in Dutch houses through hedonic regressions controlling for characteristics of the paintings (size, genre, placement in the house), the owners (job, religion, value of the collection, size of the house) and the painters. After a peak at the beginning of the century, the real price of paintings decreases until the end of the century: we provide anecdotal evidence for which high initial prices attracted entry of innovators, and econometric evidence on the causal relation between price movements and entry of painters. The time series analysis supports the idea for which increasing prices attracted entry of innovative painters.

Bu çalışmada, ekonomik büyümenin temel unsurlarından biri olan sağlık ile ekonomik büyüme arasındaki ilişkinin araştırılması amaçlanmıştır. Bu amaç doğrultusunda Türkiye?de sağlık harcamaları ve GSYH arasındaki ilişki 1998-2012 dönemleri için incelenmiştir. Analizden elde edilen sonuçlara göre: Türkiye?de sağlık harcamalarından hasılaya doğru bir nedensellik ilişkisi mevcuttur. In this study, health is one of the pillars of economic growth and, aim to investigate the relationship between health and economic growth. For this purpose, in Turkey, the relationship between health expenditure and GDP for the period 1998-2012 was examined. The outcomes of the analysis show that there is a linear causality between health expenditure and GNP in Turkey.

Italian monetary policy formally became independent in 1981 after the well-known “divorce” between the Bank of Italy and the Treasury. The policy then adopted the implicit goal of low inflation and at the same time moderating cyclical fluctuations of the economy (Clarida et al., 1998). It is also entrenched the idea that before the divorce, namely before 1979, Italian monetary policy had assumed the target of control of aggregate demand in both a countercyclical and pro-cyclical perspective through the management of domestic credit.

This study focuses on the causality relationship between international tourism revenue and economic growth in the Turkish economy during the period 1963-2013. Yearly time series data were obtained from the World Data Indicators and the Turkish Statistical Institute. Three different methodologies were employed to test the causality: pairwise Granger causality, unrestricted VAR and Toda-Yamamoto VAR analysis. All tests yielded strong evidence for unidirectional positive significant causality running from tourism revenue to economic growth. Additionally, IR and VD analyses also showed that the two variables affect each other. The findings of this study support the view that tourism-led growth hypothesis is valid for the Turkish economy. Bu çalışmada uluslararası turizm gelirleri ile ekonomik büyüme arasındaki nedensellik ilişkisi 1963-2013 dönemi Türkiye ekonomisi için incelenmiştir. Araştırmada kullanılan yıllık zaman serileri Dünya Kalkınma Göstergeleri’nden (WDI) ve Türkiye İstatistik Kurumu’ndan (TÜİK) derlenmiştir. Nedenselliği test etmek amacıyla bu çalışmada standart Granger nedensellik, kısıtsız ve Toda Yamamoto VAR nedensellik gibi üç farklı nedensellik analizi kullanılmıştır. Tüm testler nedenselliğin güçlü bir şekilde turizm gelirlerinden ekonomik büyümeye doğru, pozitif ve tek yönlü olduğunu; ayrıca ET ve VA analizleri iki değişkenin birbirlerini karşılıklı olarak etkilediklerini göstermektedir. Bu çalışmanın bulguları, turizme dayalı büyüme hipotezinin Türkiye için geçerli olduğunu göstermektedir.

2007’de Amerikan konut piyasasında ortaya çıkan, 2008’de ülkemizi ve tüm dünyayı etkisi altına alan küresel kriz mevcut iktisadi politika ve önerilerin yeniden ele alınması gerektiği konusunda tartışmalara yol açmıştır. Borç–gelir ilişkisinin bozulması sonucu ortaya çıkan istikrarsızlık kavramını Hyman Minsky “Finansal İstikrarsızlık Hipotezi” ile açıklamıştır. Finansal İstikrarsızlık Hipotezine göre finansal krizlerin ortaya çıkış nedeni finansal sistemdeki aşırı borçlanmadır. Literatürde küresel krizle birlikte yeniden tartışılan Finansal İstikrarsızlık Hipotezi ile ilgili teorik çalışmalara çoğunlukla rastlanırken istatistiksel boyutun ele alındığı çalışmaların oldukça az olduğu görülmüştür. Bu çalışmada Türkiye özelinde finansal istikrarsızlık göstergesi olarak kredi/gelir oranı ile ekonomik istikrar veya istikrarsızlık göstergesi olarak reel GSYİH’nin 6 çeyreklik hareketli standart sapması arasındaki ilişkiler VAR analizi altında 1980 sonrası dönem için incelenmiştir., The global crisis which has arisen from American housing market in 2007 and has affected the whole world and Turkey has motivated to re-examine current economic policies and its implications. Hyman Minsky explained the concept of instability that resulted from the deterioration of debt-income ratio as the Financial Instability Hypothesis. According to Financial Instability Hypothesis, the cause of the financial crisis is the fact of excessive borrowing in the financial system. In the literature, although there have been many theoretical studies on Financial Instability Hypothesis, recently discussed with the global crisis, there have been few studies in which statistical dimension of the hypothesis was examined. In this study, the relationships between and credit/income rate as financial fragility 6-quarter moving standard deviation of the real GDP as economic stability or instability indicator in Turkey have been analyzed by using VAR approach for the period after 1980.

Tez (Yüksek Lisans) -- İstanbul Teknik Üniversitesi, Fen Bilimleri Enstitüsü, 2015, Thesis (M.Sc.) -- İstanbul Technical University, Instıtute of Science and Technology, 2015, Bu çalışmada, Türkiye hisse senedi piyasası ile ABD, İngiltere, Brezilya, Hindistan, Hong Kong, Japonya, Meksika ve Rusya gibi bazı gelişmiş ve gelişmekte olan ülkelerin hisse senedi piyasaları arasındaki getiri ve volatilite yayılımı ile diğer dinamik ilişkiler Johansen eşbütünleşme testi, VAR-EGARCH modelleri ve VAR analizi yöntemleri aracılığıyla araştırılmıştır. Bu çalışmada, 01.01.2009–30.06.2014 dönemini kapsayan, günlük hisse senedi piyasa endeksi kapanış verileri kullanılmıştır. Bu çalışmada, çalışmada kullanılan zaman serilerinin durağanlığını araştırmak amacıyla Genişletilmiş Dickey-Fuller testi kullanılmıştır. Dickey-Fuller testi, çalışmaya konu olan tüm değişkenlerin düzey değerlerinde durağan olmadığını, birinci farkları alındığında durağan hale geldiklerini göstermektedir. Dickey-Fuller testinin ardından, Türkiye hisse senedi piyasası ile seçilmiş diğer ülkelerin hisse senedi piyasaları arasındaki eşbütünleşme ilişkisi Johansen tarafından geliştirilen test ile araştırılmıştır. Elde edilen sonuçlara göre; Türkiye'nin incelemeye konu olan diğer hisse senedi piyasalarından İngiltere, Hindistan, Hong Kong ve Meksika ile eşbütünleşme ilişkisi mevcut olasına rağmen Türkiye ile ABD, Brezilya, Japonya ve Rusya arasında ise 2009-2014 döneminde anlamlı bir eşbütünleşme ilişkisi mevcut değildir. Getiri ve volatilite yayılmasının araştırıldığı bu tip çalışmalarda, genel olarak ABD, Japonya ve Avrupa hisse senedi piyasaları gibi gelişmiş ülkelerin hisse senedi piyasaları dışsal değişken olarak kullanılmaktadır. Ancak ekonomik ilişkilerin ve finansal liberalizasyonun kuvvetlendiği günümüzde, gelişmekte olan ülkeler de diğer ülkelerin hisse senedi piyasalarını etkileyebilmektedir. Bir hisse senedi piyasasından diğerine olan yayılma etkisi getiriler yönünden olabildiği gibi, ikinci moment kanalıyla yani volatiliteler yönünden de olabilmektedir. Bu nedenle; bu çalışmada hem getiri gem de volatilite yayılması incelenmiş, seçilmiş gelişmiş ve gelişmekte olan hisse senedi piyasalarından Türkiye hisse senedi piyasasına olan getiri ve volatilite yayılmasının büyüklüğü ve bu yayılmaların asimetrik karakter taşıyıp taşımadığı iki değişkenli EGARCH modelleri aracılığıyla incelenmiştir. Bu amaç doğrultusunda, hisse senedi piyasalarının getiri serileri AR(p)-EGARCH(p,q) yöntemi aracılığıyla modellenmiş, bu modelin hata terimleri hisse senedi piyasalarının volatilite serileri olarak kullanılmıştır. Çalışmaya konu olan diğer hisse senedi piyasalarının volatilite serilerinin gecikmeli değerleri, Türkiye hisse senedi piyasasının volatilitesi tahmin edilirken, getiri serilerinin gecikmeli değerleri ise Türkiye hisse senedi piyasasının getirisi tahmin edilirken dışsal değişken olarak kullanılmıştır. Asimetri etkisini görebilmek açısından modellere uygun kukla değişkenler dâhil edilmiş, diğer hisse senedi piyasalarından Türkiye hisse senedi piyasasına doğru olan yayılmaları asimetri etkisini göz önüne almadan inceleyen modellerle, asimetri etkisini de içeren modellerin sonuçları karşılaştırılmıştır. Bu doğrultuda, seçilmiş diğer gelişmiş ve gelişmekte olan hisse senedi piyasalarından Türkiye hisse senedi piyasasına doğru olan getiri ve volatilite yayılımının büyüklüğü ve asimetrik bir karakter gösterip göstermediği, bu çalışmada iki değişkenli EGARCH modeli ile araştırılmıştır. Buna göre Türkiye hisse senedi piyasasının hem getiri hem de volatilite açısından çalışmaya konu olan diğer hisse senedi piyasalarının etkisinde olduğu bulgusuna erişilmiştir. Buna ek olarak, Türkiye hisse senedi piyasasının volatilitesi üzerinde ABD ve Brezilya hisse senedi piyasalarının, getirisi üzerinde ise ABD, İngiltere ve Rusya hisse senedi piyasalarının kısmi etkilerinin daha fazla olduğu görülebilmektedir. Finansal serbestleşme politikaları, uluslararası yatırımların artması, iletişim ve bilgisayar teknolojilerindeki gelişmeler; borsaları birbirinden ayıran coğrafi ve fiziki engelleri neredeyse ortadan kaldırmıştır. Günümüzde, 24 saat sürekli işleyen ve coğrafi sınırları olmayan bir piyasalar sistemi ortaya çıkmıştır. Küresel sistem içersindeki bir piyasada ortaya çıkan olumsuzluk diğer piyasalara yansıyabilmektedir. Bu nedenle, bu çalışmanın ikinci aşamasında Türkiye hisse senedi piyasası ile seçilmiş diğer hisse senedi piyasaları arasındaki uzun ve kısa dönemli ilişkiler korelasyon analizi ve dokuz değişkenli VAR modeline dayanan Granger nedensellik analizi, varyans ayrıştırması ve etki-tepki fonksiyonları aracılığıyla analiz edilmiştir. Korelasyon analizi sonuçları Türkiye hisse senedi piyasasının, ABD, Hindistan, Hong Kong, İngiltere ve Meksika hisse senedi piyasalarıyla entegrasyonun oldukça yüksek olduğunu göstermektedir. Korelasyon analizinden sonra, çalışmaya konu olan tüm hisse senedi piyasaları arasında uzun dönemli bir ilişki olup olmadığını kontrol etmek amacıyla Johansen eşbütünleşme testi uygulanmış, bu hisse senedi piyasaları arasında uzun dönemli bir ilişkinin olmadığı tespit edilmiştir. Johansen eşbütünleşme testinin ardından, öncelikle hisse senedi piyasalarının getirileri arasındaki dinamik ilişkiler, VAR yöntemleri kullanılarak, araştırılmıştır. Hisse senedi piyasalarının getirileri arasındaki kısa dönemli nedensellik ilişkilerini araştırmak üzere uygulanan Granger nedensellik analizi sonuçları, ABD, Brezilya ve Rusya hisse senedi piyasalarının getirilerinin Türkiye hisse senedi piyasasının getirisinin Granger nedeni olduğunu göstermektedir. Varyans ayrıştırması, incelemeye konu olan bağımlı değişkenin varyansındaki değişmenin ne kadarının kendi geçmiş şoklarından, ne kadarının diğer değişkenlerdeki şoklardan kaynaklandığını gösteren bir yöntemdir. Bizim varyans ayrıştırması analizimiz, Türkiye hisse senedi piyasasının getirisinin varyansının önemli ölçüde kendi gecikmeli değerlerinden etkilendiğini, buna ek olarak diğer hisse senedi piyasaları arasında en çok ABD ve İngiltere hisse senedi piyasalarının Türkiye hisse senedi piyasasının getirisinin varyansına önemli ölçüde katkıda bulunduğu görülmektedir. Varyans ayrıştırması testi sonuçlarına göre, Türkiye hisse senedi piyasası, kendi varyansının %66.08'ini açıklarken, Türkiye hisse senedi piyasasının getirisinin varyansının %16.74'ü ABD, %7.90'ı İngiltere, %3.09'u Rusya ve %2.63'ü Brezilya hisse senedi piyasaları tarafından açıklanmaktadır. Bunlara ek olarak, bu çalışmada diğer hisse senedi piyasalarındaki şokların Türkiye hisse senedi piyasasının getirisi üzerindeki göreceli etkilerini ölçmek üzere etki-tepki fonksiyonları kullanılmıştır. Etki-tepki fonksiyonları, VAR modelindeki bağımlı değişkenin diğer değişkenlerdeki şoklara verdiği tepkiyi ölçmek üzere kullanılmaktadır. Granger nedensellik testi ve varyans ayrıştırması analizi, bağımlı değişkenin diğer değişkenlerdeki şoklara verdiği tepkinin işareti ve bu tepkinin ne kadar sürdüğü konusunda bilgi vermemektedir. Etki-tepki fonksiyonları bu soruların cevabını vermektedir. Etki-tepki fonksiyonlarının analizinden elde edilen sonuçlar Türkiye hisse senedi piyasasının getirisinin ABD ve İngiltere hisse senedi piyasasındaki şoklara önemli ölçüde tepki verdiğini göstermiştir. Türkiye hisse senedi piyasası ile çalışmaya konu olan diğer hisse senedi piyasalarının getirileri arasındaki ilişkilerin tespit edilmesinin ardından, hisse senedi piyasalarının volatiliteleri arasındaki dinamik etkileşimleri belirleyebilmek için VAR yöntemi kullanılmış ve Hong Kong ile İngiltere dışındaki çalışmaya konu olan tüm hisse senedi piyasalarının volatilitesinin Türkiye hisse senedi piyasasının volatilitesinin Granger nedeni olduğu tespit edilmiştir. Etki-tepki fonksiyonları kullanılarak, Brezilya, ABD, İngiltere ve Rusya hisse senedi piyasalarının volatilitesinde meydana gelen şokların Türkiye hisse senedi piyasasının volatilitesi üzerinde anlamlı etkileri olduğu tespit edilmiştir. Volatiliteler üzerinden yapılan varyans ayrıştırması sonuçları ise, Türkiye hisse senedi piyasası volatilitesi varyansının önemli bir kısmının kendi geçmiş şokları ve Brezilya ile ABD hisse piyasalarının volatilitesindeki şoklarla açıklanabileceğini göstermektedir. Varyans ayrıştırması sonuçlarına göre, Türkiye hisse senedi piyasası volatilitesinin varyansının %70'i kendi geçmiş şoklarıyla, %13.6'sı Brezilya hisse senedi piyasasının, %6.5'i ise ABD hisse senedi piyasasının volatilitesindeki şoklarla açıklanmaktadır., In this study, the return and volatility spillover and dynamic linkages between Turkish stock market and major developed and developing stock markets including USA, England, Brazil, Mexico, India, Japan, Hong Kong and Russia is investigated by using Johansen cointegration test, VAR-EGARCH model and VAR analysis methods. For this study the most recent data of daily closing stock prices indices taken for the period 01.01.2009 to 30.06.2014. This study has used Augmented Dickey-Fuller (ADF) tests for judging the stationarity of the data series. ADF test reveals that all the variables under study are non-stationary at level, but integrated of order 1. After the Augmented Dickey-Fuller test, the long-run cointegration relationship between Turkish stock market and other selected stock markets is investigated by using Johansen cointegration test. According to the results obtained; although there is cointegration relation between Turkey and some of other stock exchanges under study; England, Hong Kong, India and Mexico; a meaningful cointegration relation does not exist between Turkey and USA, Brazil, Japan and Russia for the period between 2009 and 2014. Generally, developed markets (U.S., Japan and European markets) are used as exogenous (control) variable in this type of studies. However in current scenario of economic trade and financial liberalization it is plausible that the emerging markets may also affect the other countries' stock markets. The spillover from one market to another market may not be limited to the first movements of the return series. It is also possible that the volatility (the second movement) in one market gets transmitted to another market. Therefore, we include the volatility spillover as well as return spillover in this study and examine the magnitude of return and volatility spillovers from selected developed and developing stock markets to Turkish stock market and whether these spillover effects display asymmetric characteristics through bivariate EGARCH models. For this purpose, first we model stock market returns using an AR(p)-EGARCH(p,q). The standardized residuals are obtained from this model and their squared values are used as volatility shocks from the stock markets. The lagged values of these shocks are included in the volatility specification of Turkish stock market returns to allow volatility spillover from the other selected markets to Turkish stock market, while the lagged returns of these stock markets are included in the mean equation of turkish stock market returns to allow the return-spillover. Suitable dummies are used representing negative shocks to allow sign asymmetries. We construct a benchmark model, which includes both return and volatility spillover from the other selected markets to Turkish stock market, but does not include any asymmetry in spillover effect. The results from this model are compared with those of other models with asymmetric spillover to examine whether the asymmetric spillover gives a better fit to the data. The evidence is found that Turkish stock market is affected from developed and developing stock markets under study in terms of both return and volatility. The partial effects of the stock markets of USA and Brazil in the volatility of Turkish stock market and the partial effects of the stock markets of USA, England and Russia in the return of Turkish stock market are higher than other markets under study. Furthermore, the study observes a significant asymmetry in this spillover effects. Returns and volatility in Turkish stock market are generally more sensitive to negative shocks in the other selected stock markets rather than the positive shocks. Positive shocks in the stock markets of England, Russia and Hong Kong do not affect the volatility in the Turkish stock market, but negative shocks significantly increase the volatility. Financial liberalization policies, increasing international investment, developments in communication and computer technologies almost removed geographical and physical barriers that separate stock exchange markets. Today, a market system that operates continuously for 24 hours and that does not have geographical boundaries has emerged. A negative development that appears in a market in the global system can be reflected upon other markets. Therefore, in the second part of this study, long-term and short-term relations between the Turkish stock market and the stock markets of other selected countries are analyzed through a correlation analysis and the nine-variable VAR (Auto-regressive) model. The results obtained from the VAR model were interpreted by the Granger Causality Test, Impulse-Response Analysis and the Variance Decomposition methods for the purpose of explaining relations between the Turkish stock market and other countries’ stock markets. Correlation matrix was applied for finding associationship between Turkish stock market and other selected stock markets which shows evidence of integration of Turkish and USA, India, Hong Kong, England and Mexico stock markets. After the correlation analysis, the Johansen cointegration approach was applied for checking the long run relationship between all variables which shows no evidence of cointegration among these stock markets but short-run causality could not be rejected. After the Johansen co-integration test, firstly the dynamic interactions between the returns of stock markets have been investigated in this study by using VAR methods. Granger Causality test reveals that Turkish stock market's return is granger caused by USA, Brazil and Russia stock markets' returns. Variance decomposition provides the proportion of variance in the dependent variables that is due to their own shocks versus shocks from other variables. Our variance decomposition analysis implies that variances in stock market's return of Turkey are due to their own market innovation and USA and England of other selected stock markets have significant contribution to variances in stock market's return of Turkey. According to variance decomposition results, Turkish stock market explains 66.08% of variance of its return itself and 16.74%, 7.90%, 3.09% and 2.63% variances of Turkish stock market's return are being explained by stock markets of USA, England, Russia and Brazil respectively. Furthermore, we use impulse response functions to analyze the relative impact of shocks in the other selected stock markets on Turkish stock market's return. Impulse response represents the responsiveness of the dependent variable in the VAR to shocks from each of the variables. Granger causality and variance decomposition does not give any information about the sign of relationship or how long it requires for these effects to takeplace. Impulse response answers these questions. Evidence suggests that Turkish stock market's return responses significantly to schocks in the stock markets of USA and England. After the investigation of relations between the returns of Turkish stock market and other countries’ stock markets under study, we have investigated the potential dynamic interactions among our variables' volatilities by using VAR model and we have seen that volatility index of stock markets that employed in this study are found to Granger cause Turkish stock market volatility index except stock markets of Hong Kong and England. Also we have found that a shock to the volatility index of Brazil, USA, England, Russia stock markets have significant effect on the Turkish stock market volatility by using impulse-response analysis. On the basis of the variance decomposition analysis we have found that a substantial fraction of variance in the volatility of Turkish stock market is explained by past changes in the volatility of stock market of Turkey, Brazil and USA. According to variance decomposition results, Turkish stock market explains 70% of variance of its volatility itself and 13.6%, 6.5% variances of Turkish stock market's volatility are being explained by stock markets of Brazil, USA respectively., Yüksek Lisans, M.Sc.

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These markets are represented by the following major indices: The Shanghai composite and the Hangseng. (in the case of China, as both China and Hong Kong appear in Australian trade statistics), the S&P500 index, the Nikkei225 and the Kospi index. We apply the Diebold and Yilmaz (2009)Spillover Index, constructed in a VAR framework, to assess spillovers across these markets in returns and in volatilities. The analysis confirms that the US and Hong Kong markets have the greatest influence on the Australian one. We then move to a GARCH framework to apply further analysis and apply a tri-variate Cholesky-GARCH model to explore the effects from the US and Chinese market, as represented by the Hang Seng Index.

Para birliği, iktisadi ilişkileri yoğun olan bir grup ülkenin paralarını sabit kurlarla birbirlerine bağladıktan sonra tek para ve merkez bankasına geçmeleridir. Para birliğine katılarak ülkeler, para politikasının kontrolünü uluslar üstü bir otoriteye devretmiş olurlar. Normal zamanlarda, para politikasının kontrolünün kaybedilmesi bir sorun yaratmasa ve enflasyonla mücadelede yararlı olarak görülse de finansal kriz yönetimi söz konusu olduğunda önemli bir politika aletinin yitirilmesi anlamına gelir. Avrupa Ekonomik ve Parasal Birliği (EPB)'nin kuruluş aşamasında da para politikasının kontrolünün güvenilir bir kuruma devredilmesi avantaj olarak görülmüş ve Avrupa Merkez Bankası (AMB), fiyat istikrarı hedefiyle hayata geçirilmiştir. Bu hedefle yola çıkan AMB, Global Finansal Kriz sonrası finansal kriz yönetiminde diğer Merkez Bankalarına göre daha tutucu davranmış ve kriz yönetimini büyük ölçüde ulusların maliye politikalarına yüklemiştir. Finansal kriz yönetiminde ortak bir çerçevenin geliştirilememiş olması bazı ülkelerin Borç Krizine sürüklenmesine de zemin hazırlamıştır. Global Finansal Kriz sonrası, finansal kriz yönetimin birlik çapında ele alınması gerekliliği ortaya çıkmış ve AB çapında kurumsal düzenlemelere gidilmiştir. Ancak bu kurumsal düzenlemelerin bir kısmı hala yürürlüğe girmemiştir. Bu çalışmada finansal kriz yönetimi para birliği içinde ve AB'ye üye ancak para birliği dışında kalan ülkeler açısından değerlendirilmiştir. İlk olarak finansal kriz yönetiminde politika aletlerini kullanma açısından para birliğinin içinde ya da dışında olmanın ne gibi farkları olduğuna bakılmıştır. İkinci olarak finansal kriz yönetiminde para birliğinin içinde olup tek bir para politikasına bağlı kalmak ya da dışında olup bağımsız para politikası uygulamanın finansal kriz yönetimi açısından etkin olup olmadığı araştırılmıştır. 2007 Ağustos- 2013 Aralık arasını kapsayan dönemde incelenen 15 ülke için ayrı ayrı VAR modelleri kurulmuştur. Analizin sonucunda para birliğinin dışında kalan ülkelerin finansal kriz yönetiminde uyguladıkları para politikasının etkin olduğu tespit edilmiştir. Para birliği ülkelerinde ise çevre ülkeler de etkin, merkez ülkelerde ise etkin olmadığı sonucuna varılmıştır.Anahtar Sözcükler: Para Birliği, Finansal Kriz Yönetimi, Ekonomik ve Parasal Birlik (EPB), VAR Analizi In a monetary union, countries irreverisbly fixed their exchange rates and switch into a common currency and central bank. This leads to a loss of national sovereignty on monetary policy. In normal times, delegating a monetary policy to a credible institution may be defendable. But in the wake of financial crisis, this means loosing an important policy tool. While desining monetary union, delegating monetary policy to a credible institution -which has a solely price stability mandate- was an important motivation. With this mandate, ECB act conservatively in financial crisis management and left it mostly to the national fiscal policies and that provoked some countires to face with debt crisis. After global financial crisis, the need of common financial crisis management framework have become apparent. So; institutional changes have been approved accordingly, but some of them have not came into force yet. In this study, financial crisis management in EMU have been analyzed by considering being an insider or outsider. First, this difference have been studied in the context of using policy tools. Second, the effectiveness of monetary policy in financial crisis management have been analyzed considering the difference of being insider that means following ECB's monetary policy and an outsider that means following independent monetary policy. This arguement have been examined using VAR models for 15 countries between August 2007 and December 2013. According to these models monetary policies of the outsiders are effective. However, monetary policy of the ECB is effective in periphery countires while ineffective in core countries.Keywords: Monetary Union, Financial Crisis Management, Economic and Monetary Union (EMU), VAR Analysis 340

After the transition to flexible exchange rate regime in Turkey the question of how to implement the monetary policy still maintains its importance The transition to inflation targeting as a new monetary policy implementation that is the use of determined inflation target as nominal anchor requires inflation forecasting models with high level credibility in application This study is concerned with putting forth the leading indicator variables of inflation in Turkey After reviewing the prerequisites for transition to inflation targeting a set of indicator variables of inflation are determined by using VAR analysis Whatever the criticisms against the VAR methodology in choosing the VAR analysis various aspects of it played a crucial role such as having no constraints over the structure of the relation presenting dynamic relations and having no difficulty in deciding which variable is internal and which external Due to the prospective feature of the inflation target forward looking variables indicators are emphasized To this end the analysis made should be regarded as a pre model study on the basis of determinant indicators to be enlarged with policy instruments and new inflation series to be developed Keywords: Inflation Inflation targeting VAR Analysis Monetary policy JEL Classification: E3 E42 E52, Türkiye’de esnek döviz kuru uygulamasına geçilmesinin ardından para politikasının ne şekilde uygulanacağı sorusu önemini korumaktadır Yeni bir para politikası uygulaması olarak enflasyon hedeflemesine geçilmesi diğer bir ifade ile nominal çapa olarak belirlenen enflasyon hedefinin kullanılması uygulamada güvenirlik derecesi yüksek enflasyon tahmin modellerinin oluşturulmasını gerektirmektedir Bu çalışma Türkiye’deki enflasyon olgusuna ilişkin gösterge değişkenlerin saptanmasına yöneliktir Enflasyon hedeflemesine geçilebilmesi için gerekli ön koşulların ortaya konulmasının ardından enflasyon üzerinde belirleyici gösterge niteliğinde olan değişkenler VAR analiziyle belirlenmiştir VAR modeline karşı yapılan eleştirilere rağmen enflasyon modellemesi için VAR analizinin seçilmesinde bu analiz tekniğinin yapısal model üzerinde herhangi bir kısıtlama gerektirmeksizin dinamik ilişkileri verebilmesi ve hangi değişkenin içsel hangi değişkenin dışsal olduğuna karar verme zorluğunun yaşanmamasıdır Enflasyon hedefinin geleceğe yönelik olmasından dolayı tahmin modellerinde ileriye dönük belirleyici nitelikteki değişkenlere büyük ağırlık verilmektedir Bu çerçevede çalışma diğer politika araçları ve geliştirilecek yeni enflasyon serileri ile genişletilebilecek belirleyici göstergeler bazında bir ön model çalışması olarak değerlendirilmelidir Anahtar Kelimeler: Enflasyon Enflasyon hedeflemesi VAR analizi Para politikası JEL Sınıflaması: E3 E42 E52

In the current context where the limited role for monetary policy instruments apparently endows fiscal policy with higher effectiveness, European fiscal policy authorities are rather constrained by the fact of most countries being struggling against recessions together with the need to put public finances in a sustainable path. In this context, we assess how large are fiscal multipliers in Europe, for both aggregated and disaggregated spending and revenue variables. Moreover, we analyze how cycle phases and fiscal consolidation episodes shape the size of fiscal multipliers. We present evidence for the Euro area, relying on a VAR model with pooled annual data from 1998 to 2008. Estimation results show that, on average, transfers are the main driving force for the overall expenditure dynamics; moreover, wages exhibit negative impacts on output while positive effects are strongly driven by shocks in public investment and, to a lesser extent, by intermediate consumption. On the revenue side, all items impinge negatively on output growth. Additionally, our results show that public spending multiplier is positive in recessions while in expansions is smaller, inclusively, negative. Similarly, the effectiveness of the tax multiplier is, also, higher in recessions. Finally, we have found that consolidation phases affect negatively the size of multipliers.

This paper provides evidence that unemployment rates across US states are stationary and therefore behave according to the natural rate hypothesis. We provide new insights by considering the effect of key variables on the speed of adjustment associated with unemployment shocks. A highly-dimensional VAR analysis of the half-lives associated with shocks to unemployment rates in pairs of states suggests that the distance between states and vacancy rates respectively exert a positive and negative influence. We find that higher homeownership rates do not lead to higher half-lives. When the symmetry assumption is relaxed through quantile regression, support for the Oswald hypothesis through a positive relationship between homeownership rates and half-lives is found at the higher quantiles. © 2013 Elsevier B.V. All rights reserved.

Balıkesir Üniversitesi, Sosyal Bilimler Enstitüsü, İktisat Ana Bilim Dalı, Günümüzde yaşanan hızlı küreselleşme süreciyle beraber reel döviz kuru, ihracat ve ekonomik büyüme ilişkisi bir ülkenin ekonomik yapısı hakkında kararlar alınabilmesi ve gelecekle ilgili tahminler yapılabilmesi için ekonomi literatürünün en tartışmalı konularından biri haline gelmiştir. Türkiye verilerine dayalı olarak gerçekleştirilen bu çalışmada amaç; 2004:1-2012:2 dönemine ait reel efektif döviz kuru, ihracat birim değer endeksi ve ekonomik büyüme değişkenleri ele alınarak Türkiye'nin yakın geçmişte bu değişkenler arasındaki ilişkisini incelemektir. Çalışmanın amacı doğrultusunda VAR analizi yapılarak etki-tepki fonksiyonları, varyans ayrıştırması ve Granger nedensellik testi incelenmiştir. Granger nedensellik analizinden elde edilen sonuçlara göre ise, Türkiye'de ihracattan ekonomik büyümeye doğru tek yönlü bir nedensellik ilişkisinin mevcut olduğu görülmüştür. İhracat artışının ülkede üretilen mal ve hizmet talebini artırarak daha fazla mal ve hizmet üretiminde artış sağladığı bilinmektedir. Bu öğretiler doğrultusunda bu çalışmada ele alınan dönemde, Türkiye için yapılan analizde literatürle uygun olarak ihracata dayalı büyüme hipotezini destekler nitelikte sonuçlar ortaya konmuştur., Together with todays rapid process of globalization the relationship between real exchange rate, export and economic growth have become the most controversial issues of the economic literature for making decisions regarding a country's economical structure and making assumptions for the future. The aim of this research based on Turkey's data is to focus on the relationship between the real effective exchange rates, export price index, and economic growth variables during the 2004:1-2012:2 period by considering Turkey's recent past to investigate the relationship between these variables. A VAR analysis, impulse-response functions, variance decomposition and Granger's causality tests have been observed within the scope of this research. According to the results of the Granger's causality test Turkey showed a unidirectional causality relationship from export towards economic growth. It is a known fact that an increase in export increases the demand for goods and services provided in a country, thus the production of the mentioned goods and services increase. Accordingly with this discipline, the results that are revealed by this analysis made for Turkey during in the period covered are in a nature that supports the hypothesis of export-led growth.

The purpose of this study is to determine factors influencing the choice of university and study program in management and economics for first-year students in public and private universities in Lithuania. The quantitative research method – Internet survey – was used to survey first-year management and economics students studying at Lithuanian universities. The survey questionnaire consists of questions relating to the factors of study program selection, university selection, and general questions on respondent and his/her demographic data. A total of 224 properly filled questionnaires were obtained, making the sample representative, with a 6.5 percent sample error and a 95 percent confidence level. The review of the scientific literature revealed that students behave as consumers when choosing a university and a study program. The empirical research revealed that when choosing a study program student’s personal characteristics as well as study related factors, e.g. career possibilities, study prestige, etc., had the biggest influence. When choosing a university, university reputation and city the university is in were ranked highest. University and city infrastructure and social life were ranked lowest. Regarding the stakeholders having an impact on the decision, parents and current students were ranked highest. However, the influence in general was rated rather low which shows that respondents mostly rely on their own opinion. There are several limitations of the study. The questionnaire response rate could be higher. In addition, the majority of respondents represent one university which might have an impact on the final results. Therefore, future surveys could complement the results by proportionally distributing respondents to all the universities. The survey gives an insight to the universities offering study programs in management and economics. The survey reveals which factors admission and marketing departments should emphasize in order to attract students.

This dissertation thesis deals with relation between labour market and monetary policy referring to two fundamental theoretical concepts -- natural rate hypothesis (or NAIRU) and unemployment hysteresis hypothesis. The first chapter outlines the most frequent values of the Phillips curve, the fundamental model of macroeconomics theory in the relation between the labour market and the monetary policy. The following chapter deals with the exogenous NAIRU concept which works as natural unemployment rate approximation. The unemployment hysteresis deals with the NAIRU as endogenous variable which is dependent on preceding imbalanced situations on labour market. The thesis outlines the main causes of the hysteresis: capital scrapping effect, role of the long-term unemployment and the insider-outsider hypothesis. The third chapter also comprises simple econometric tests of both particular mechanisms and the hysteresis itself based on usual unit roots tests. The results show the hysteresis using data from both the Czech Republic and Central and Eastern Europe countries (CEEC). The fourth chapter deals with monetary-political implications of the unemployment hysteresis. The practical part of the thesis is based on two hypotheses of the relation between inflation (policy interest rate) and NAIRU. The last chapter based on the VAR model outlines short-term relations between the labour market and monetary policy variables. Long-term relations are tested by both the co-integration analysis and vector error correction model (VECM). These models are examined on the data from the Czech Republic and Poland (2000-2013). The thesis also applies pooled regression estimate for ten CEEC. The results show that the monetary policy does have impact on the labour market not only in the short-term but also in the long-term period and thus they confirm the hysteresis hypothesis

This paper investigates the role of published stock recommendations in print and online media as investor sentiment in the near-term German stock market. In line with extant literature on other sentiment measures, vector autoregressions reveal that past stock returns drive today's sentiment, but not the other way around, and that sentiment is a powerful predictor of itself. In particular, sentiment based on printed analyst recommendations follows reversals, that is, when analysts face a stock market downturn, they see a buying opportunity and become optimistic.

Günümüzde tüm dünyada bir hizmet sektörü olarak turizm sektörü çok hızlı bir gelişme göstermektedir. turizm sektörü bakıldığında tüm dünyadaki hizmet sektörünün tek başına % 30’unu teşkil etmektedir. Turizmin ekonomilere olan net katkısını hesaplamak pek çok açıdan çok mümkün olamamaktadır. Bununla birlikte ulusal ve uluslar arası yazında üzerinde mutabakata varılan husus turizmin ekonomik büyümeye olumlu katkı yaptığıdır. Buna göre denilebilmektedir ki Türkiye ekonomisi özelinde turizm özellikle 1980 sonrası geçirdiği evrimle rekabet edebilir sektörler arasında değerlendirilebilmektedir. Bu bağlamda bu çalışmada tartılan konu ekonomik büyüme ve turizm sektörü gelirleri arasında özellikle uzun dönemli bir ilişki olup olmadığının Vektör Oto Regresif Model ışığında test edilmesidir. Buna göre çalışmanın ampirik bulguları da göstermektedir ki; turizm gelirleri ekonomik büyüme üzerinde olumlu bir etkiye sahiptir. Öyle ki; söz konusu iki değişken arasındaki ilişkiyi ölçmeye yarayan kointegrasyon analizi de bu iki değişken arasındaki ilişkinin uzun dönemli olduğunu raporlamaktadır., Tourism, a service sector, has shown a very rapid development throughout the world. Today, tourism sector accounts for the 30% of total world services trade on its own. Net contribution of tourism to the economies of countries cannot be calculated precisely in that tourism is a coalescence of sectors, that is, it embodies a number of large and small service sectors. Nevertheless, theoretical and empirical studies on this subject, in both national and international literature, have revealed that tourism has a positive effect on economic growth. Based on this consideration, it is seen that tourism in Turkey, which is a tourism country, developed rapidly especially after 1980 and tried to gain competitive advantage in international tourism sector, consistently with the Heckscher-Ohlin theory. In this context, the aim of this study is to test whether there is a long term relationship between tourism and economic growth, and to display the likely contribution of the sector to economic growth. Time series regarding the tourism receipts of 1963- 2004 and GNP have been analyzed through VAR model. The empirical findings obtained have shown that tourism has had a positive effect on economic growth, and the cointegration test has proved that there is a mutual relationship between the two variables in the long term. Global system dominating all of the world leads to any social or economic crisis experienced in a country to be felt more or less in all over the world. Under such difficult conditions, when regarding especially in terms of the developed and developing countries, the tourism sector, whose importance grows increasingly, has a character of being a lifesaver. When the natural beauty and cultural richness possessed are marketed with the correct and rational policies, they become an indispensable income resource (Aktaş, 2005: 164). In this respect, tourism becomes dominant as one of the fastest developing sectors in the world. Especially, rapid improvement experienced in information and transportation, beyond the expected one, has accelerated the development of tourism having economic and social dimensions. Beginning from the second half of 20th century, tourism becoming important from economic point of view, constitutes a potential revenue resource for the economies of the developing countries (Opuş, 2001: 37). Along with the development of tourism in a country, shortage of foreign money moderates; competition power of domestic firms with their competitors abroad increases, as a consequence, their productivities; scale economies are utilized; tourism makes an effect on foreign trade balance; it creates employment; and as a whole, leading to an increase in national income, it brings fourth a positive effect on economic growth (Brohman, 1996: 49- 52). As the number of tourist coming to the country, the demand for producing goods and service in destination country also increases. In parallel with the level of increase in demand, if the country has resources to meet the increase in production, all expenditures of the tourists will remain in that country. So, tourism will make important contribution to the economic growth of country. However, if the county cannot find a power to increase the production in parallel with the increase in demand, it will be necessary to import the production factors remaining insufficient. In this case, if the foreign money profits the country provides from tourism are more than foreign money losses, tourism will positively make to the payments balance, otherwise, negatively affect the pavements balance. Tourism, the fastest developing and growing sector of the world, is seen as an instrument of economic development, in terms of developing countries like Turkey, especially. Turkey, after 1980 transformation, realized important progresses in tourism sector. After 1980, while tourism turned into one of the most remarkable sub-sectors, the social, cultural, and economic effects of this development reached the significant dimensions. When the studies carried out all over the world on the effect of tourism on economic growth are examined, in their studies, Hazari and Ng (1993) argued that tourism will reduce the economic prosperity, and that will create an adverse effect on the growth, in case that a monopole power is existent. However, the analysis of Hazari ve Sgro (1995) investigated the relationship between the variables such as tourism, capital accumulation, consumption per capita, and commercial rates, and concluded that tourism, especially in small counties, positively affected the long termed growth. Modeste (1995), in Caribbean countries, which is considered in his study, demonstrated that tourism developed the country, but this development reasoned in shrinking in agricultural sector. Balaguer ve Jorda (2002), for Spain, found a long termed and positive relationship between tourism revenues and economic growth. Dritsakis (2004) investigating the relationship between tourism revenues and economic grown for the example Greece used cointegration and causality analysis and found a strong causality relationship between the two variables of interest in the period 1960-2000. In the study carried out by Oh (2005) on Korean economy, while a short termed relationship from growth to tourism was found between tourism and economic growth, any long termed relationship could not be found between two variables. In economic model that Durbarry (2004) formed for Mauritius, it is seen that tourism has a positive effect on the economic growth and a great contribution on the economic development of Mauritius. When the studies carried out for Turkey on the relationship between tourism and economic growth are examined, Kırbaş-Kasman and Kasman (2004) used Granger Causality Test and concluded that tourism revenues affected the economic growth in one-direction. Also, Yıldırım and Öcal (2004) reached the similar result for long period, but could not discover any relationship for short period. Uysal et.al (2004) determined a two –ways causality between the variables of interest. Gündüz and Hatemi (2005) tested whether or not 2005 “tourism focused growth hypothesis” was valid for Turkey and concluded that this hypothesis was valid for Turkey. Yavuz (2006), in the study he carried out, could not find any causality relationship between the variables. Bahar (2006), applying VAR Analysis to the variables of tourism revenues and GNP between the years 1963 -2004, concluded that there was a reciprocal relationship between two variables in the long period and that tourism had a positive effect on economic growth. Gökovalı ve Bahar (2006), using the panel data belonging to 19 touristic countries in Mediterranean Region, carried out a study and suggested the result that tourism positively affected the economic growth. Finally, in the study carried out by Aslan (2008), the relationship between economic growth and tourism was investigated for the period 1992:1- 2007:2; and a result, it was identified that tourism supported the economic growth.

In Denmark official quarterly national accounts are only available for the period since 1977. The paper constructs a set of summary non-seasonally adjusted quarterly national accounts for Denmark for 1948-2010 in current and constant prices as well as a set of other key quarterly macroeconomic indicators covering the Danish economy since 1948. As a first exploratory analysis of these two new data sets the paper reviews some of the stylised empirical evidence on the business cycle, the monetary transmission mechanism and shocks to financial stability that can be uncovered using filtering techniques and reduced-form vector autoregressive (VAR) models. The long-span data sets make it possible to estimate VAR models of a higher dimension than is usually found in the literature due to degrees-of-freedom problems. The results from the VAR analysis indicate a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write-down ratio.

This paper provides evidence of spillover effects from the Indian to the US financial markets. We use VAR and Kalman filter analysis to assess the influence of financial stress indicators like the LIBOR-OIS, CDS, the S&P 500 volatility and the exchange rate of the rupee against the Dollar on two indicators of financial stress in India, namely the illiquidity of stock indices and their volatility. We conduct an analysis bases on both daily and monthly frequency and use a database that consists of both aggregate and disaggregated indexes. Our results points to a signification contagion effect after the period following the Lehman Brothers collapse.

This paper performs a Structural VAR analysis on UK economy using quarterly non-interpolated data from 1981 to 2005 in the attempt to verify and quantify private consumption’s response to different components of public expenditure (government consumption, social spending and wage component). Our findings suggest that any empirical support of competing theoretical models on the issue would probably benefit from a disaggregation of government expenditure, rather than focusing on the aggregate measure. In fact, while shocks to pure government consumption trigger a RBC-like reduction in private consumption, shocks to the non-systematic component of social spending generate positive reaction, in line with the “credit-constrained-agents” approach. The cumulative impact on GDP after three years of a government spending shock (close to a negative 1% of GDP) is twice as much the social spending shock, with opposite sign. Government wage shocks do not seem to have any significant effects on private consumption. Public expenditure composition, rather than level, seems to be actually playing the most crucial role when it comes to aggregate demand support via effects on private consumption.

This thesis builds on the established body of research into the suitability of a country joining other countries in a monetary union by focusing on the potential costs resulting from the loss of monetary policy independence that is a corollary to forming a monetary union. We continue in the tradition of several other authors by extracting supply and demand shocks for a range of countries from VAR analysis and comparing the symmetry of these economic shocks between potential members of a monetary union. The theoretical contribution of this thesis is that we explicitly incorporate the size of each potential currency union member in the analysis. This contribution is motivated by the observation that a large country would be a more significant part of a given currency union than would a small country. Thus the monetary policy settings of a given currency union would to a larger extent reflect the economic dynamics of a given country the larger that country is relative to the size of the union overall. Previous authors have largely neglected this issue. We explicitly incorporate the size of each potential members' economy in our analytical framework and re-assess the merits of a range of regions forming a currency union. Using the framework developed, we also inquire into the optimality of current monetary regimes in two regions, the North American continent and in Australia. The first of these is motivated by Mundell's seminal article on currency unions where he asked in largely qualitative terms whether the US and Canada are better currency realms than a hypothetical north south divide of the continent. The second is motivated by the observation that Australia's economy embodies (economically) very different sub-regions due to the difference importance of commodities production in different parts of the country. We ask whether these different regions experience symmetrical or largely idiosyncratic shocks and find support for the latter.

Monetary policies effect the reel economy through interest rate channel, Exchange rate channel, credit channel and other assets channel. Credit channel consists of bank credit channel and balance sheet channel. In this study, firstly monetary transmission mechanism is examined in the light of Keynesian and Monetarist opinions. After that, credit channel is handled with all details and tried to understand how it works in Turkey., Asymetric information which is widely encountered problem in the financial markets, prevents to work of credit channel. And also this situation exists in Turkey. Credit rationing is One of the ways to prevent the harmful effects of asymetric information. In the end of study, we are tested whether credit rationing exist or not in turkey by econometric analysis. Key Words:Monetary Transmission Mechanism,Credit Channel, Credit rationing,VAR Analysis, Toda-Yamamoto Causality Test.

This paper assesses the response of a set of emerging markets' domestic interest rates to the US monetary policy surprises within a dynamic framework. Monthly data from Algeria, Bahrain, Israel, Jordan, Kuwait, Tunisia and Turkey for the 1989:03 to 2005:12 period reveal positive effects of the unanticipated Federal Funds target changes on the short-term interest rates of these countries. When we look at the effect of US monetary policy surprises for different Turkish interest rates, the evidence is robust for the 3 and 12-month rates, but government controlled interbank and treasury auction rates have reverse positions.

Global monetary dynamics has been particularly strong in recent years. At the same time, house prices in many OECD countries increased sharply, significantly outpacing the relatively subdued development in consumer prices. In this paper we argue that different price elasticities on asset and consumer markets help to explain the observed relative price change between assets and consumer goods. Using a VAR analysis and aggregated data for the major OECD countries, our empirical results are supportive of this relationship. Both house and consumer prices are determined by global monetary conditions; however, while global liquidity shocks lead to relatively fast responses in global house prices, significant responses of the global CPI index to money shocks occur only after long time lags. In addition, we find subsequent spillovers from asset prices to consumer prices on a global scale.

İşsizlik, birey üzerinde olumsuz birçok soruna neden olan karmaşık bir olgudur. Bireyin intihar eğiliminin artması da bu olumsuzluklardan biridir. Çalışmada, işsizlik intihar ilişkisi 1974– 2005 dönemi Türkiye verileri altında VAR analizi yardımıyla incelenmiştir. Analiz sonucunda işsizliğin intiharın istatistiksel olarak anlamlı bir nedeni olduğu sonucuna ulaşılmıştır. Unemployment which has been effect on the person is a complex phenomenon. One of this effect is increasing suicide tendency. In this paper we have investigated relationship between unemployment and suicide by using VAR Analysis from 1974 to 2005 in Turkey. Conclusion we have determined causation between unemployment rate and suicide rate.

The belief that house prices are driven by specific regional and institutional variables and not at all by monetary conditions is so entrenched with some market participants and some commentators that the search for empirical support would seem to be a trivial task. However, this is not the case. This paper investigates the relationship between global excess liquidity and asset prices on a global scale:How important is global liquidity? How are asset (especially house) prices and other important macro variables like consumer prices affected by global monetary conditions? This paper analyses the international transmission of monetary shocks with a special focus on the effects of a global monetary aggregate ('global liquidity') on consumer prices and different asset prices.We estimate a variety of VAR models for the global economy using aggregated data that represent the major OECD countries. The impulse responses show that a positive shock to global liquidity leads to permanent increases in the global GDP deflator and in the global house price index, while the latter reaction is even more distinctive. Moreover, we find that there are subsequent spillovers to consumer prices. In contrast, we are not able to find empirical evidence in favour of the hypothesis that the MSCIWorld index as a measure of stock prices significantly reacts to changes in global liquidity.

This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.

We propose an index of the fiscal stance that is convenient for practical use. It is based on a finite time horizon, not on an infinite time horizon like most tests. As it employs VAR analysis it is simple to compute and easily automated. We also show how it is possible to analyse a change of policy within a VAR framework. We use this methodology to examine the effect on fiscal sustainability of a change in policy. We then conduct an empirical examination of the fiscal stances of the US, the UK and Germany over the last 25 or more years, and we carry out a counter-factual analysis of the likely consequences for fiscal sustainability of using a Taylor rule to set monetary policy over this period. Among our findings are that the recent fiscal stances of all three countries are not sustainable, and that using a Taylor rule in the past would have improved the fiscal stances of the US and UK, but not that of Germany.

We propose an index of the fiscal stance that is convenient for practical use. It is based on a finite time horizon, not on an infinite time horizon like most tests. As it employs VAR analysis it is simple to compute and easily automated. We also show how it is possible to analyse a change of policy within a VAR framework. We use this methodology to examine the effect on fiscal sustainability of a change in policy. We then conduct an empirical examination of the fiscal stances of the US, the UK and Germany over the last 25 or more years, and we carry out a counter-factual analysis of the likely consequences for fiscal sustainability of using a Taylor rule to set monetary policy over this period. Among our findings are that the recent fiscal stances of all three countries are not sustainable, and that using a Taylor rule in the past would have improved the fiscal stances of the US and UK, but not that of Germany.

Bu çalışmada, 1987:01-2002:04 dönemine ait veriler kullanılarak Türkiye ekonomisi için enflasyon, milli gelir, döviz kuru, para arzı ve faiz oranı değişkenleri arasındaki ilişkiler VAR analiziyle incelenmektedir. Elde edilen sonuçlar faiz oranının döviz kuru, para arzı ve enflasyonu etkileyen kritik bir değişken olduğunu, para arzının enflasyonu doğrudan, döviz kurunu ise dolaylı olarak etkilediğini göstermektedir. Varyans ayrıştırması sonucuna göre, enflasyonu en çok etkileyen iki değişkenin sırasıyla %29’luk ve %25’lik pay ile döviz kuru ve faiz oranı olduğu tespit edilmiştir. Bu iki değişkenin enflasyonla mücadelede politika aracı olarak kullanılıp kullanılamayacağını tespit etmek amacıyla yapılan etki-tepki fonksiyonları, faizleri kontrol etmenin döviz kurunu sabitlemeye oranla daha uygun bir enflasyonla mücadele aracı olabileceğine işaret etmektedir. Bu bulgu, döviz kurunu çıpa olarak kullanan istikrar programlarının uygulandıkları ekonomilerde makro dengeleri etkileyen krizlerle sonuçlanmış olması deneyimiyle uyum içindedir., This study investigates the relationship between such macro variables as inflation, interest rates, exchange rates, output, and money supply using VAR analysis based on quarterly time series data for 1987:01-2002:04 period. The results indicate that interest rate is a critical variable affecting exchange rate, money supply, and inflation; money supply affects inflation directly while exchange rate does the same thing indirectly. According to variance decomposition results, it is found that two variables that affect inflation most are exchange rate and interest rate with 29% and 25%, respectively. Impulse-response functions are employed to demonstrate whether these two variables can be used as policy tools to control inflation. The results show that keeping interest rates under control would be a better policy tool than fixing exchange rates. This result is in conformity with recent experiences that stability programs using exchange rate as an anchor to curb inflation eventually resulted in crises.

El objetivo de este estudio consiste en analizar las causas económicas de la variación temporal en el componente sistemático de la liquidez de los activos negociados en el mercado bursátil español en el periodo 1992-2003. Empleando una modelización VAR, estudiamos las relaciones dinámicas entre la liquidez agregada del mercado y diversas variables macroeconómicas, financieras y de mercado. Los resultados obtenidos nos indican la influencia en la liquidez de diferentes estados del mercado y de la economía y se observan como principales variables explicativas la variación en la rentabilidad del mercado, el tipo de interés de referencia fijado como indicador de la política monetaria y las variaciones no anticipadas en el diferencial entre los tipos de la deuda corporativa y la deuda pública. This paper investigates economic sources of time variation in aggregated liquidity on the Spanish stock market over the 1992-2003 sample period. Using a vector autoregression approach, we examine the dynamic relation between market liquidity and various macroeconomics, financial and market factors. The results show that credit quality spread and monetary policy are particularly important in explaining the liquidity’s variation. Market liquidity improves significantly in response to a negative shock in credit quality spread. The results therefore suggest that credit quality spread shocks not only influence market-wide liquidity directly, but also indirectly through their effects on monetary policy.

Instead of making R&D expenditures, developing countries generally obtain technology either directly by transferring technology or indirectly by importing technology contained commodities. In this study, using the Turkey’s case, the relationship between foreign trade and economic growth is investigated in terms of knowledge transfer through foreign trade for the period 1989-2009. Using Johansen cointegration method and VAR methodology, the effect of knowledge transfer through foreign trade on economic growth is investigated in terms of direction and dimension. The estimations reveal that knowledge transfer through capital and intermediate goods imports has no significant effect on economic growth of Turkey in the period investigated. Comparisons of variables show that the effect of knowledge transfer through less knowledge contained intermediate goods imports is higher than the effect of knowledge transfer through high knowledge contained capital goods imports. This result implies that Turkey should import more capital goods and have enough human capital to use technology within capital goods.

Fisher effect which can be defined as a positive relation between nominal interest rate and inflation rate without any impact upon real interest rates is something that holders of savings and investments, as well as implementers of monetary policy, pay attention to. In this study, the seasonal series between 1989:Q1 and 2011:Q4 are used to test the validity of Fisher Hypothesis for Turkish economy by Johansen cointegration analysis and VAR method. It is concluded that in the long term, Fisher impact is valid for Turkish economy.