Nezir Kose

The interest rate–inflation relationship under an inflation targeting regime: The case of Turkey

This paper examines the relationship between nominal interest rates and the expected inflation rate for the Turkish economy between 2002 and 2009, a period when the inflation-targeting regime was implemented as monetary policy. We use the test of cointegrating rank with a trend-break (a method introduced by Inoue, 1999) and we also apply exogeneity tests. Empirical findings indicate that monetary policy rates depend on inflationary expectations; long-term interest rates are affected by monetary policy; and the weak form of the Fisher effect is valid. This evidence implies that monetary policy has actually influenced the real long-term interest rates; the inflation targeting regime pursued by the Central Bank of Turkey is reliable; and hence realized inflation has remained close to its targeted level.

MONEY-PRICE RELATIONSHIPS UNDER A CURRENCY BOARD SYSTEM: THE CASE OF ARGENTINA

The relationship between money and prices, and the endogenous money hypothesis, is examined within the framework of a currency board-like system by using monthly data for the Argentinean economy in the period 1991–2001. Employing exogeneity tests, the empirical findings support the endogenous money hypothesis for the relationship between monetary variables (M1, M2, monetary base) and the producer price index, but reject it when the consumer price index is used instead as price variable.

The Kalman filter method for break point estimation in unit root tests

In this study, in addition to Zivot–Andrews (1992), Perron (1997) and Schwarz Bayesian Criteria (SBC) approaches of the true break point estimation performances of the Kalman filter method is examined using Monte Carlo simulation experiments. Our simulation results show that the SBC and Kalman filter methods both exhibit a good performance in estimating true break point.

An econometric model of tourism demand and room rates: a study in Belek, Antalya.

ABSTRACT In this study, International tourism demand and short-run supply for Antalya-Belek hotel industry are examined via simultaneous equations econometric model using monthly data between 1998-M01 and 2006-M10. The overall goodness-of-flt of both demand and supply models is very high, suggesting a high predictive power. Through empirical Implementation of the theoretical model, several important determinants of supply and demand are identified. On the demand side, “tourist arrivals” is a significant factor driving the demand for beds, while “room rate” has a significant negative impact on the bed demand. At the same time, “bed demand”, “the Consumer Price Index based on real effective exchange rate index”, and “the GAP between bed supply and demand” have a significant positive impact on room rates. Empirical results suggest that the hotel operators in Antalya-Belek attempt to raise the room rates in order to close the gap between actual and expected incomes, when they face high excess gap between the bed supply and demand. Also, yield management is employed by the hotel operators in Antalya-Belek due to the positive impact of the bed demand on room rates.

Effect of cross correlations in error terms on the model selection criteria for the stationary VAR process

In this paper we investigate the finite sample properties of several model selection criteria in case of bivariate Vector AutoRegressions (VARs) of order one and two by a simulation study, particularly focusing on the effects of the degree of cross correlation in the error terms in combination with the values of more or less extreme values of the characteristic roots of the VAR-process. The Monte Carlo experiments show that the degree of cross correlation has an influence on the model selection criteria.