This paper examines the intertemporal behaviour in consumption for Turkey which has been experiencing high and chronic inflation since the late 1970s. The Frisch demand system is used to estimate three separate but inextricably intertemporal elasticities: intertemporal price elasticities of...

We re-examine the validity of Purchasing Power Parity (PPP) proposition using Taylor's (2002) data set. Applying the Kalman filter process, our findings not only demonstrate the strong instability in the relationship between the dollar denominated foreign price levels and the US price level, but...

The purpose of this study is to re-examine the convergence hypothesis both linear and nonlinear time series techniques for 21 OECD countries during the period of 1950-2008. The linear augmented Dickey Fuller (ADF) test results support the existence of a unit root which means that there is...

In this paper we have estimated the monetary reaction function of the Central Bank of Republic of Turkey. The originality of the paper is that we have used smooth transition functions (STR) that allow for proper modelling of nonlinearities and asymmetries in the relationship between variables...

In this paper, we examine causal relationships among inflation rate, output growth rate, inflation uncertainty and output uncertainty for ten Central and Eastern European transition countries. For this purpose, we estimate a bivariate GARCH model that includes output growth and inflation rates...

In this paper, we propose a nonlinear cointegration test for heterogeneous panels where the alternative hypothesis is an exponential smooth transition (ESTAR) model. We apply our tests for investigating cointegration relationship between energy consumption and economic growth for the G7...

In this study, we propose a new unit root test procedure that allows for both gradual structural break and asymmetric nonlinear adjustment towards the equilibrium level. Small-sample properties of the new test are examined through Monte-Carlo simulations. The simulation results suggest that the...

In this paper, we propose a nonlinear cointegration test for heterogeneous panels where the alternative hypothesis is an exponential smooth transition (ESTAR) model. We apply our tests for investigating cointegration relationship between energy consumption and economic growth for the G7...

In this study, we propose a new unit root test procedure that allows for both gradual structural break and asymmetric nonlinear adjustment towards the equilibrium level. Small-sample properties of the new test are examined through Monte-Carlo simulations. The simulation results suggest that the...