Hasan Olgun

Inflation Uncertainty and Interest Rates: Is the Fisher Relation Universal?

This paper tests the validity of the Fisher hypothesis, which establishes a positive relation between interest rates and expected inflation, for the G7 countries and 45 developing economies. For this purpose, we estimate a version of the GARCH specification of the hypothesis for all countries included in the sample. We also test the augmented Fisher relation by including the inflation uncertainty in the equation. The simple Fisher relation holds in all G7 countries but in only 23 developing countries. There is a positive and statistically significant relationship between interest rates and inflation uncertainty for six of the G7 and 18 of the developing countries and this relationship is negative for seven developing countries.

The centre and periphery relations in international stock markets

Encouraged by the findings of the recent studies it is argued that a kind of centre-periphery relation has been emerging between the equity markets of the developed and less developed countries. To test the argument the VAR model is employed with block exogeneity. Empirical results show that S&P500 returns, representing the centre, affect the equity markets of the emerging markets either instantaneously or with a time lag depending on their geographical location.

Trade liberalization and the structure of protection in Turkey in the 1980s: A quantitative analysis

ZusammenfassungHandelsliberalisierung und die Struktur der Protektion in der Türkei der achtziger Jahre. Eine quantitative Analyse. — Die Autoren haben die StrukturverÄnderungen in der Protektion der Türkei untersucht, die sich aus den aufeinanderfolgenden ZollsatzÄnderungen von 1983 bis 1989 ergaben. Sie zeigen, da\ die Revisionen der Jahre 1988 und 1989 sowohl die Höhe als auch die interindustrielle Streuung der Protektion verringert haben. Trotzdem fördert die Struktur der Protektion noch nicht die optimale Allokation der heimischen Ressourcen, wenn man die relativen Preise an der Grenze und damit das türkische Au\enhandelspotential in Betracht zieht. Au\erdem wurde gezeigt, da\ die türkischen Exportindustrien stÄrker geschützt werden als die Industrien, die mit Importen konkurrieren.RésuméLibéralisation du commerce et la structure de la protection en Turquie dans les années 1980: une analyse quantitative. — Cette étude a analysé les changes dans la structure de la protection en Turquie à cause de plusieurs révisions successives des tarifs douaniers de 1983 jusqu’à 1989. Il est prouvé que les révisions de 1988 et 1989 ont baissé le niveau et la dispersion inter-industrielle de la protection. Malgré cela, la structure de la protection n’est pas encore convenable à une répartition optimale des ressources nationales si l’on considère les prix relatifs à la frontière et par cela le potentiel pour le commerce extérieur de la Turquie. En outre, on peut constater qu’on protège les industries d’exportation turques plus fortement que les secteurs industriels étant en concurrence avec les importations.ResumenLiberalización comercial y estructura de la protección en Turquía en los años 80: un análisis cuantitativo. — En este trabajo se analizan los cambios en la estructura de la protección en Turquía debidos a revisiones sucesivas de los aranceles entre 1983 y 1989. Se demuestra que las revisiones de 1988 y de 1989 han disminuído tanto el nivel como la dispersión intersectorial de la protección. A pesar de ello, la estructura de la protección aÚn no conduce a una asignación óptima de los recursos nacionales dados los precios relativos en la frontera y, po lo tanto, el potencial del comercio exterior turco. Además, se demuestra que las industrias de exportación turcas exhiben mayor protección que las industrias que compiten con las importaciones.

The Feldstein – Hoiroka puzzle across countries

This article tests the Feldstein–Hoiroka ‘puzzle’ for a sample of 49 countries from two angles; that of co-movements in the saving-investment series and the magnitude of the saving-retention coefficient (SRC). The overall conclusion we obtain from the results of three different cointegration tests leaves no room for ‘puzzle’ in the majority of the countries included in the sample. On the other hand, various statistical tests applied to the SRCs show that there are significant differences among the high-income, middle-income and low-income country groups with regards to the salient aspects of capital mobility. First, there are significant differences in the average SRCs of the country groups. Second, the SRCs are differently distributed around their means among the country groups. The results yielded by a third test dictate that future research should pay more attention to the underlying distribution of the SRCs within country groups when testing the ‘country size’ argument.

Testing the PPP hypothesis for G-7 countries

This article applies the model free, seasonality robust periodogram test, and the conventional augmented Dickey–Fuller (ADF) unit root test to the real exchange rates (RER) of the G-7 countries. The empirical results show that the periodogram test rejects the null of unit root for a larger number of countries compared to the ADF test.