Yüksek LisansAçık Erişim

Türkiye ekonomisi üzerine iki makele

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2005
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Özet (EN)

This thesis comprise of two essays on Turkish Economy. Chapter 1 investigates therelationship between inflation and growth in Turkey. Historical data and statisticalanalysis suggest a negative relationship rather than a positive relationship. Thisoutcome is completely the reverse of what Philips Curve oriented theories tell. Theunderlying reason behind this relationship is analyzed and a third variable issuspected to be the reason. Vector Autoregressive (VAR) analysis suggest that thisvariable could be real exchange rate. Generalized Impulse Response analysis is usedwith various exogenous variables, which makes the analysis robust. Chapter 2investigates the day of the week effect on return and volatility for Istanbul StockExchange (ISE) through the period 1986 and 2003. Using generalized autoregressiveconditional heteroskedasticity (GARCH) model, we find statistically significantevidence to report that there is the day of the week effect. Friday has the highesteffect on return with 0,015 while Monday has the lowest return with-0,003 comparediiito return on Wednesday. When volatility of return is concerned, Monday has thehighest volatility with 0,933 and Tuesday has the lowest volatility with -0,716compared to return on Wednesday.Key Words: Phillips Curve, inflation, growth, and real exchange rate, Day of theweek effect, volatility, Emerging Marketiv

Yazar

Ali İnamlık

Bu Yayına Nasıl Atıf Yapılır

Ali İnamlık (Master Thesis). Türkiye ekonomisi üzerine iki makele, 2005, İhsan Doğramacı Bilkent University.

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