Recent financial crises and especially large corporate bankruptcies, have led bank managements and financial authorities to follow and monitor both financial and real sector risks, and to focus on firm failures. Bank of International Settlements, has therefore, taken the decision to include the...

Volatility in financial markets urges importance of risk management with respect to investors and especially firms. Information and interaction between spot and futures markets plays an important role on formation of market prices. In this study, causality and information flows are examined on...

Turkish Abstract: Finansal zaman serilerinde görülen değişen varyans sorununun sonucu olarak otoregresif koşullu değişen varyans modelleri bulunmuştur. Bu kapsamda simetrik ve asimetrik modeller uygulanmıştır. Bu çalışmada, Türkiye'de altın piyasası endeksi volatiliteleri için...

Turkish Abstract: Çalışmada, İMKB 100 endeksinin 1995-2004 dönemine ait günlük ve haftalık verileri kullanılarak, finansal verilerde sıkça rastlanan volatilite kümelenmesi, asimetrik fiyat hareketleri, kaldıraç etkisi ve kalın kuyruk özellikleri araştırılmış, volatiliteyi...

Turkish Abstract: Çalışmada, 15 adet simetrik ve asimetrik GARCH modeli ile İMKB Bileşik, Mali, Hizmet ve Sınai endekslerindeki volatilite modellenerek, örneklem dışı öngörülerde bulunulmakta ve öngörülerin güvenilirliği ele alınmaktadır. Bu amaçla öncelikle 1997-2004...

Turkish Abstract: Bu çalışmada Dolar ve Euro kurlarının 2002-2015 döneminde günlük getirileri kullanılarak döviz kuru volatiliteleri için en uygun modeller belirlenmiş ve söz konusu volatilitelerin döviz kuru getirileri ile olan nedensellikleri araştırılmıştır....

This study explores the impact of the economic crisis on the agricultural sector of Turkey. The data used covers the period of 1980-2008. This study employs some agricultural macro variables namely, gross value added of the agricultural sector, quantity index of agricultural export and import...

The relationships between inflation and its uncertainty have long been perceived in the economics literature as a special research area based mainly on empirical findings. Testing the causality between these aggregates enables us to attain the significant knowledgement of whether or not...

In this paper the causality relationships between the inflationary process, experienced by the Turkish economy, and some main money supply measures have been tried to be investigated, and the direction of these relationships has also been aimed to be determined through the vector autoregression...

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...