Uygulamalı makroekonomi hakkında çalışmalar

ABSTRACTESSAYS ON APPLIED MACROECONOMICSİnce, OnurMaster of EconomicsSupervisor: Asst. Prof. Ümit ÖzlaleJuly, 2005This study contains three studies, the relationship between FED intervention andemerging markets, the effect of S&P500 return on Istanbul Stock Exchange and theconnection between Turkish industrial production growth and the success of Beşiktaş. Thesecond chapter analyzes the effect of FED intervention on emerging markets with usingevent-study analysis. Considering Emerging Market Bond Index (EMBI) and grouping theeffect under five different categories, the effect of FED intervention on emerging markets areshown. The third chapter assesses the effect of S&P500 return on the Istanbul Stock Exchangewithin a dynamic framework. In order to capture the effect, we build a block recursive VARmodel allowing that S&P500 affects the ISE returns with its current and lag values but notvice versa. The estimates from daily data suggest that returns on S&P500 affect ISE returnpositively up to 4 days. The fourth chapter investigates the connection between Turkishindustrial production growth and the success of Beşiktaş, which is a popular Turkish soccerteam. The empirical evidence provided in the paper suggests that industrial production growthtends to increase with the success of Beşiktaş in European cups. Moreover, if the winnings arein displacement, the increase in industrial production is higher than if the winnings are in thehome field. On the other hand, findings on the effects of domestic games on industrialperformance are not statistically significant.Keywords: Block Recursive VAR, EMBI, Emerging Markets, Event Study Analysis,Industrial Production, Sports Economics