Yilmaz Akdi

An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes

This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes.

Pfriodograms of unit root time series: distributions and tests

Periodograms are often used to characterize time series. They decompose the variation in the data into periodic components and their statistical properties for stationary series are well understood. The periodogram can be computed for any sequence of numbers and we are interested in studying its statistical properties when the underlying data have a time series structure with a unit root. Knowing these properties gives us the ability to look at nonstationarity on a frequency by frequency basis. The pervasive use of periodogram ordinates in applied work and the frequent occurrence of apparently nonstationary data in practice are sufficient alone to motivate interest in these distributions, however we also suggest a way to use the results in a formal test for unit roots. The test has the advantage of using nonseasonal ordinates of the periodogram, thus being invariant to regular periodicities in the data. Section 1 of the paper is introductory. Section 2 develops the periodogram and a convenient normalizati...

The effect of different inflation risks on interest rates of the US

This article examines the effect of different inflation uncertainty measures on interest rates of the US in a Fisher hypothesis framework. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) specification with a time-dependent parameter model is used to obtain three types of inflation uncertainties, namely, impulse uncertainty, structural uncertainty and steady-state uncertainty. It has been observed that the impulse uncertainty has negative but the structural uncertainty has positive impact on both short-term and long-term interest rates. Both of these effects are statistically significant. The influence of steady-state uncertainty on interest rates is positive, but the level of significance depends on the inclusion of output gap. Without the inclusion of output gap, the effect is insignificant, whereas the effect becomes significant when output gap is introduced.

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.

Çiftçinin eline geçen fiyatların, genel fiyat endeksleri ve döviz kuruyla ilişkileri

Calismada 1996:1-2004:12 donemi aylik verileri icin Ciftcinin Eline Gecen Fiyatlar Endeksi (CEF) ile Tuketici Fiyatlar Endeksi (TUFE), Toptan Esya Fiyat Endeksi (TEFE) ve doviz kuru arasi kointegrasyon iliskisi bulunmustur. Endeksler arasi kisa donemli iliskinin de pozitif oldugu tespit edilmistir. Cikan iliskiye bagli olarak, fiyatlar genel duzeyinin citcinin eline gecen fiyatlara duyarli oldugu sonucu cikmaktadir

Mevsimsel eşbütünleşme: Tüketim ve GSYİH

Bu calismada, Gayri Safi Yurtici Hasila ile tuketim serileri arasinda 1987:1–2003:4 donemi icin mevsimsel esbutunlesme iliskisi olup olmadigi Turkiye icin arastirilmistir. Esbutunlesme testine gecebilmek icin serilerin butunlesme siralari hesaplanmistir. Mevsimsel birim kok testleri icin HEGY metodu kullanilmis ve her iki seride de mevsimsel birim koke rastlanmistir. Daha sonra mevsimsel esbutunlesme testleri Hylleberg, Engle, Granger, Yoo (1990) ve Engle, Granger, Hylleberg, Lee (1993) yontemleri ile yapilmistir. Serilerde 0, 1/4 ve 3/4 frekansta esbutunlesme bulunmustur. Fakat 1/2 frekansta esbutunlesmeye rastlanamamistir