Filters

2006 - 200912010 - 20201
Reset filters

Settings

COAR Access Rights: metadata only accessSubject: Cointegration

Search Results

Now showing 1 - 2 of 2
  • Thumbnail Image
    Conference Object
    Relationships Between Stock Markets: Causality Between G8 Countries and Turkey
    (Springer international Publishing Ag, 2020) Unlu, Kamil Demirberk; Potas, Nihan; Yilmaz, Mehmet
    This study investigated relationships between stock markets in the Group of Eight (G8) countries (Canada, France, Germany, Italy, Japan, Russia, the UK, and the USA) and the Istanbul Stock Exchange (ISE) by estimating eight different vector autoregressions (VARs). We applied the Johansen and Juselius cointegration test to identify the long-run relations between the indices. The modified Granger causality test proposed by Toda and Yamamoto was conducted to identify the causality, then forecast variance decomposition and impulse response analysis were employed to explore the impacts of unexpected shocks in the G8 countries' stock markets on the ISE. The results showed that there was no cointegration between the ISE and the G8 countries' markets, but they still affected the ISE to different degrees, and the DAX-ISE 100, CAC 40-ISE 100, and FTSE MIB-ISE 100 causal relationships were bidirectional.
  • Thumbnail Image
    Article
    Citation - Scopus: 3
    The Relationship Between Different Price Indexes: a Set of Evidence From Inflation Targeting Countries
    (IOS Press, 2006) Akdi,Y.; Berument,H.; Cilasun,S.M.; Olgun,H.
    The possible long-run relationships between the Consumer Price Index and the Wholesale Price Index are analyzed for three inflation targeting countries - Canada, Sweden and the UK - using three different statistical techniques. The Engle-Granger test finds cointegration only for Sweden. The Johansen's test and the model-free and seasonality robust periodogram based test conclusively show that the two price indexes are not cointegrated in the three countries included in the sample. Hence, the values of these indexes may consistently diverge over time. However, the two price indexes move together in the short run. These findings have some implications for the success of inflation targeting monetary policies. © 2006 - IOS Press and the authors. All rights reserved.