T.C. KAHRAMANMARAŞ SÜTÇÜ İMAM ÜNİVERSİTESİ SOSYAL BİLİMLER DERGİSİ Journal of Social Sciences, Jun 1, 2006
In this paper, we investigate main determinants of Turkish inflation using some
contemporaneous... more In this paper, we investigate main determinants of Turkish inflation using some
contemporaneous time series estimation techniques. Considering quarterly data for the period 1992Q1-2006Q3, for this purpose, multivariate co-integration and dynamic vector error correction estimation techniques have been applied to the Turkish data. Our main findings indicate that there exist two potential co-integrating vectors lying in the long-run variable space, of which one carries the knowledge of domestic inflationary process and the other identifies an aggregate demand equation revealing also the role of excess
aggregate demand on inflationary process. Results obtained bring out that nominal exchange rate and excess aggregate demand are the main leading factors of inflationary process, whereas real exchange rate has a strong negative effect relieving the inflationary pressures dominated in the economy.
In this paper, a monetary model for the Turkish economy is tried to be tested. For this
purpose... more In this paper, a monetary model for the Turkish economy is tried to be tested. For this
purpose, first, the stationary linkages between the data have been investigated and a
multivariate cointegrating model inclusive of two long run relationships, one for a nominal money demand model and the other consisting of a relationship between two interest rates considered, is constructed in turn yielding inferences derived from a structural vector error correction modeling approach. The results reveal that there exists evidence of a liquidity effect - a negative relationship between a measure of money and an interest rate - and also that the non-existence of a price puzzle - a rise in the aggregate price level in response to a contractionary innovation to monetary policy - cannot be rejected by the Turkish data.
This study aims to consider the relationship between aviation demand and economic growth in an em... more This study aims to consider the relationship between aviation demand and economic growth in an empirical way. For this purpose, the Turkish data are used in light of the advances in time series estimation techniques. The results reveal that cointegration between the variables cannot be rejected. Aviation demand is found like a luxury good and economic growth tend to act as a constraint on demand conditions. Further, a positive real income shock in a structural vector error correction framework leads nearly one-to-one significant response in aviation demand. The forecast error variance decomposition findings give support to these results.
In our paper, we try to investigate the courses of inflation tax and seigniorage revenue for poli... more In our paper, we try to investigate the courses of inflation tax and seigniorage revenue for policy makers of the Turkish economy. For this purpose, we first construct an ex-ante seigniorage revenue maximizing inflation model, and then calculate annual inflation tax and seigniorage revenues for the post-1980 period Turkish economy. Following these theoretical issues, an empirical model is constructed upon Turkish economy, and our expost estimation results reveal that inside the period considered, the Turkish economy lies on the correct or efficient side of the seigniorage maximizing Laffer curve.
This paper tries to examine that in-country prices from the Turkish economy can be specified as a... more This paper tries to examine that in-country prices from the Turkish economy can be specified as a stationary relationship giving support to the long-run purchasing power parity in economics theory. For this purpose, a sub-regional categorization of the economy is considered over the investigation period of 2005-2012, and, following Esaka (2003), the study uses a panel estimation framework consisting of 12 disaggregated consumer price indices to search for whether the relative prices of goods between sub-regions of the Turkish economy can be represented by stationary time series properties.Bu çalışma Türkiye ekonomisinden ülke-içi fiyatların iktisat kuramındaki uzun-dönem satın alma gücü paritesine destek veren durağan bir ilişki olarak belirtilebilmesi durumunu incelemeye çalışmaktadır. Bu amaçla ekonominin alt-bölgesel bir sınıflandırması 2005-2012 araştırma dönemi için dikkate alınmakta, ve Esaka (2003) izlenerek, çalışma 12 toplulaştırılmamış tüketici fiyat endeksinden oluşan bir...
İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 2010
In this paper, the preceding / causal relationships between inflation and inflation uncertainty h... more In this paper, the preceding / causal relationships between inflation and inflation uncertainty have been tried to be examined for the Turkish economy. Dealing with the information content of this relationship, we estimate that positive inflationary shocks are associated with statistically significant and quantitatively larger levels of inflation uncertainty than are negative shocks. Our estimation results indicate that inflation in fact leads to inflation uncertainty in line with the Friedman-Ball hypotheses. However, our findings contradict the Cukierman-Meltzer hypotheses that inflation uncertainty leads to inflation in a positive way. We find that the larger the inflation uncertainty the lower would likely to be the level of inflation.
In our paper, we investigate exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q... more In our paper, we investigate exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q4 period using quarterly observations. Following a large literature review, we first highlight various approaches explaining monetary model exchange rate determination based on economic fundamentals, and then, construct an empirical model revealing both longrun stationary relationships and short-run dynamic adjustment processes of the nominal exchange rate for the Turkish economy. Our findings employing multivariate Johansen-Juselius type co-integrating approach indicate that nominal exchange rate is co-integrated with the fundamentals suggested by economics theory. Besides, short-run deviations from the fundamental-based equilibrium course of the nominal exchange rate have permanent effects on the long-run equilibrium exchange rate, and so have been stemmed from the existence of some form of hysteresis effects dominated in the nominal exchange rate.
Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2008
Bu calismada, bir rezerv para talebi modeli Turkiye ekonomosi icin kurulmustur. Cagdas cokdegiske... more Bu calismada, bir rezerv para talebi modeli Turkiye ekonomosi icin kurulmustur. Cagdas cokdegiskenli es-butunlesim tahmin yontemi kullanilarak elde ettigimiz bulgular, rezerv para buyukluklerinin elde tutumu icin baslica almasik maliyet ogelerinin ekonomide suregelen para ikamesi olgusunu temsil eden beklenen doviz kuru deger kayiplari ve hisse fiyatlari oldugunu gostermektedir. Enflasyon yari esnekligi reel parasal buyuklukler ve dayanikli mallar arasindaki yuksek ikame derecesini ortaya koymaktadir. Ayrica, para talebi islevsel iliskisi uzerinde finansal gelismenin etkilerini gosterecek sekilde bulgular elde edilmekte, parasal buyukluk talebi karsisinda elde tutulan finansal araclarincesitlendirilmesinin para politikasinin uzun donemli gelisim yolunun belirlenmesi acisindan gerekli bir kosul oldugu sonucuna ulasilmaktadir.
In this paper, a reserve money demand model is tried to be constructed for the Turkish economy. U... more In this paper, a reserve money demand model is tried to be constructed for the Turkish economy. Using contemporaneous multivariate co - integration methodology for the investigation period 1987Q1 - 2007Q3 of the quarterly observations, we find that the real income elasticity of money demand is highly greater than unity which means that there exists an ongoing monetization process with regard to the increases in the real income in the economy. The most important alternative cost against the real money holdings seems to be the expected depreciation rate of the domestic currency against the exchange rate. Such a finding reveals the importance of currency substitution phenomenon dominated in the economy when the economic agents determine the motives of demand for monetary balances. Furthermore, a critical finding estimated in the paper is that domestic inflation has a weakly exogenous characteristic in the money demand variable space which requires no dynamic error correction model cons...
In this paper, a structurally identified vector autoregressive (SVAR) model is constructed to exa... more In this paper, a structurally identified vector autoregressive (SVAR) model is constructed to examine the determinants of the portfolio-based capital flows for the Turkish economy. Our estimation results using data from the post-floating period reveal that the “push” factors based on the external developments for the Turkish economy have a dominant role to explain the behavior of the portfolio flows. Furthermore, the domestic real interest rates as a main “pull” factor are found in a negative dynamic relationship with the portfolio flows and such a finding is attributed to that the dynamic course of the portfolio flows should not be related to the excess return possibilities of the real interest structure, but rather they shold be related to the risk considerations of the economic agents, resulted from the negative fundamentals of the economy associated with high risk premiums.
A cost-based empirical model of the aggregate price determination for the Turkish economy: a mult... more A cost-based empirical model of the aggregate price determination for the Turkish economy: a multivariate cointegration approach
The main purpose in this paper is to investigate the determinants of inflationary process in Turk... more The main purpose in this paper is to investigate the determinants of inflationary process in Turkish economy. For this purpose, based on some potential causes of inflation, an empirical model is contructed upon emphasizing the roles of various factors on inflationary process. The results obtained support the view of cost-push inflation led by exchange rate depreciations, wage indexation mechanism, real interest structure and public sector pricing behaviour which is considered some part of wholesale prices, rather than the demand-pull monetary factors. Some other factors such as the course of real effective exchange rate have been found indicating a relieving effect on the cost pressure settled in domestic economy as well. Supporting these arguments, we find that the smaller the growth performance of the economy given the cost-pressure through exchange-rate pass-through effects, wage indexation mechanism and the real interest structure be imposed, the larger would be the inflation st...
In this paper the convergence hypothesis based on the neo-classical growth theory is tried to be ... more In this paper the convergence hypothesis based on the neo-classical growth theory is tried to be re-examined by using per capita real income data of 26 OECD countries. Considering some contemporaneous panel unit root tests for the 1970 – 2007 sample period, the main findings obtained indicate that we are unable to reject that the per capita real income levels of OECD countries converge to the USA per capita real income level, chosen as the benchmark country. However, when the convergence of per capita real income levels of OECD countries to the average of OECD per capita real income level is considered, the panel unit root null hypothesis is seen to be supported by the actual data.
In this paper the convergence hypothesis based on the neo-classical growth theory is tried to be ... more In this paper the convergence hypothesis based on the neo-classical growth theory is tried to be re-examined by using per capita real income data of 26 OECD countries. Considering some contemporaneous panel unit root tests for the 1970 – 2007 sample period, the main findings obtained indicate that we are unable to reject that the per capita real income levels of OECD countries converge to the USA per capita real income level, chosen as the benchmark country. However, when the convergence of per capita real income levels of OECD countries to the average of OECD per capita real income level is considered, the panel unit root null hypothesis is seen to be supported by the actual data.
In this paper, we investigate the determinants of foreign exchange operations of the CBRT for the... more In this paper, we investigate the determinants of foreign exchange operations of the CBRT for the post-crisis period. Using modern time series econometrics, we try to analyze the different characteristics of FOREX market, and based on the estimation results, indicate the degree of effectiveness of the interventions of monetary authority throughout the implicit inflation targeting framework. The main policy conclusion is that the CBRT interventions seem to be under the control of uncertainties in economic environment, rather than decreasing the volatilities in exchange market, and this case in turn leads the interventions being inefficient.
In our paper, we try to investigate the main determinants of the Turkish business cycles. Having ... more In our paper, we try to investigate the main determinants of the Turkish business cycles. Having examined some important issues of interest in business cycle theory, we estimate the business cycle stylized facts for the Turkish economy and compare the estimation results obtained in this paper to some benchmark papers chosen in business cycle literature. All in all, our estimation results give support to the importance of supply side models in explaining the Turkish business cycles in line with the contemporaneous Real Business Cycle Theory.
T.C. KAHRAMANMARAŞ SÜTÇÜ İMAM ÜNİVERSİTESİ SOSYAL BİLİMLER DERGİSİ Journal of Social Sciences, Jun 1, 2006
In this paper, we investigate main determinants of Turkish inflation using some
contemporaneous... more In this paper, we investigate main determinants of Turkish inflation using some
contemporaneous time series estimation techniques. Considering quarterly data for the period 1992Q1-2006Q3, for this purpose, multivariate co-integration and dynamic vector error correction estimation techniques have been applied to the Turkish data. Our main findings indicate that there exist two potential co-integrating vectors lying in the long-run variable space, of which one carries the knowledge of domestic inflationary process and the other identifies an aggregate demand equation revealing also the role of excess
aggregate demand on inflationary process. Results obtained bring out that nominal exchange rate and excess aggregate demand are the main leading factors of inflationary process, whereas real exchange rate has a strong negative effect relieving the inflationary pressures dominated in the economy.
In this paper, a monetary model for the Turkish economy is tried to be tested. For this
purpose... more In this paper, a monetary model for the Turkish economy is tried to be tested. For this
purpose, first, the stationary linkages between the data have been investigated and a
multivariate cointegrating model inclusive of two long run relationships, one for a nominal money demand model and the other consisting of a relationship between two interest rates considered, is constructed in turn yielding inferences derived from a structural vector error correction modeling approach. The results reveal that there exists evidence of a liquidity effect - a negative relationship between a measure of money and an interest rate - and also that the non-existence of a price puzzle - a rise in the aggregate price level in response to a contractionary innovation to monetary policy - cannot be rejected by the Turkish data.
This study aims to consider the relationship between aviation demand and economic growth in an em... more This study aims to consider the relationship between aviation demand and economic growth in an empirical way. For this purpose, the Turkish data are used in light of the advances in time series estimation techniques. The results reveal that cointegration between the variables cannot be rejected. Aviation demand is found like a luxury good and economic growth tend to act as a constraint on demand conditions. Further, a positive real income shock in a structural vector error correction framework leads nearly one-to-one significant response in aviation demand. The forecast error variance decomposition findings give support to these results.
In our paper, we try to investigate the courses of inflation tax and seigniorage revenue for poli... more In our paper, we try to investigate the courses of inflation tax and seigniorage revenue for policy makers of the Turkish economy. For this purpose, we first construct an ex-ante seigniorage revenue maximizing inflation model, and then calculate annual inflation tax and seigniorage revenues for the post-1980 period Turkish economy. Following these theoretical issues, an empirical model is constructed upon Turkish economy, and our expost estimation results reveal that inside the period considered, the Turkish economy lies on the correct or efficient side of the seigniorage maximizing Laffer curve.
This paper tries to examine that in-country prices from the Turkish economy can be specified as a... more This paper tries to examine that in-country prices from the Turkish economy can be specified as a stationary relationship giving support to the long-run purchasing power parity in economics theory. For this purpose, a sub-regional categorization of the economy is considered over the investigation period of 2005-2012, and, following Esaka (2003), the study uses a panel estimation framework consisting of 12 disaggregated consumer price indices to search for whether the relative prices of goods between sub-regions of the Turkish economy can be represented by stationary time series properties.Bu çalışma Türkiye ekonomisinden ülke-içi fiyatların iktisat kuramındaki uzun-dönem satın alma gücü paritesine destek veren durağan bir ilişki olarak belirtilebilmesi durumunu incelemeye çalışmaktadır. Bu amaçla ekonominin alt-bölgesel bir sınıflandırması 2005-2012 araştırma dönemi için dikkate alınmakta, ve Esaka (2003) izlenerek, çalışma 12 toplulaştırılmamış tüketici fiyat endeksinden oluşan bir...
İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 2010
In this paper, the preceding / causal relationships between inflation and inflation uncertainty h... more In this paper, the preceding / causal relationships between inflation and inflation uncertainty have been tried to be examined for the Turkish economy. Dealing with the information content of this relationship, we estimate that positive inflationary shocks are associated with statistically significant and quantitatively larger levels of inflation uncertainty than are negative shocks. Our estimation results indicate that inflation in fact leads to inflation uncertainty in line with the Friedman-Ball hypotheses. However, our findings contradict the Cukierman-Meltzer hypotheses that inflation uncertainty leads to inflation in a positive way. We find that the larger the inflation uncertainty the lower would likely to be the level of inflation.
In our paper, we investigate exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q... more In our paper, we investigate exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q4 period using quarterly observations. Following a large literature review, we first highlight various approaches explaining monetary model exchange rate determination based on economic fundamentals, and then, construct an empirical model revealing both longrun stationary relationships and short-run dynamic adjustment processes of the nominal exchange rate for the Turkish economy. Our findings employing multivariate Johansen-Juselius type co-integrating approach indicate that nominal exchange rate is co-integrated with the fundamentals suggested by economics theory. Besides, short-run deviations from the fundamental-based equilibrium course of the nominal exchange rate have permanent effects on the long-run equilibrium exchange rate, and so have been stemmed from the existence of some form of hysteresis effects dominated in the nominal exchange rate.
Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2008
Bu calismada, bir rezerv para talebi modeli Turkiye ekonomosi icin kurulmustur. Cagdas cokdegiske... more Bu calismada, bir rezerv para talebi modeli Turkiye ekonomosi icin kurulmustur. Cagdas cokdegiskenli es-butunlesim tahmin yontemi kullanilarak elde ettigimiz bulgular, rezerv para buyukluklerinin elde tutumu icin baslica almasik maliyet ogelerinin ekonomide suregelen para ikamesi olgusunu temsil eden beklenen doviz kuru deger kayiplari ve hisse fiyatlari oldugunu gostermektedir. Enflasyon yari esnekligi reel parasal buyuklukler ve dayanikli mallar arasindaki yuksek ikame derecesini ortaya koymaktadir. Ayrica, para talebi islevsel iliskisi uzerinde finansal gelismenin etkilerini gosterecek sekilde bulgular elde edilmekte, parasal buyukluk talebi karsisinda elde tutulan finansal araclarincesitlendirilmesinin para politikasinin uzun donemli gelisim yolunun belirlenmesi acisindan gerekli bir kosul oldugu sonucuna ulasilmaktadir.
In this paper, a reserve money demand model is tried to be constructed for the Turkish economy. U... more In this paper, a reserve money demand model is tried to be constructed for the Turkish economy. Using contemporaneous multivariate co - integration methodology for the investigation period 1987Q1 - 2007Q3 of the quarterly observations, we find that the real income elasticity of money demand is highly greater than unity which means that there exists an ongoing monetization process with regard to the increases in the real income in the economy. The most important alternative cost against the real money holdings seems to be the expected depreciation rate of the domestic currency against the exchange rate. Such a finding reveals the importance of currency substitution phenomenon dominated in the economy when the economic agents determine the motives of demand for monetary balances. Furthermore, a critical finding estimated in the paper is that domestic inflation has a weakly exogenous characteristic in the money demand variable space which requires no dynamic error correction model cons...
In this paper, a structurally identified vector autoregressive (SVAR) model is constructed to exa... more In this paper, a structurally identified vector autoregressive (SVAR) model is constructed to examine the determinants of the portfolio-based capital flows for the Turkish economy. Our estimation results using data from the post-floating period reveal that the “push” factors based on the external developments for the Turkish economy have a dominant role to explain the behavior of the portfolio flows. Furthermore, the domestic real interest rates as a main “pull” factor are found in a negative dynamic relationship with the portfolio flows and such a finding is attributed to that the dynamic course of the portfolio flows should not be related to the excess return possibilities of the real interest structure, but rather they shold be related to the risk considerations of the economic agents, resulted from the negative fundamentals of the economy associated with high risk premiums.
A cost-based empirical model of the aggregate price determination for the Turkish economy: a mult... more A cost-based empirical model of the aggregate price determination for the Turkish economy: a multivariate cointegration approach
The main purpose in this paper is to investigate the determinants of inflationary process in Turk... more The main purpose in this paper is to investigate the determinants of inflationary process in Turkish economy. For this purpose, based on some potential causes of inflation, an empirical model is contructed upon emphasizing the roles of various factors on inflationary process. The results obtained support the view of cost-push inflation led by exchange rate depreciations, wage indexation mechanism, real interest structure and public sector pricing behaviour which is considered some part of wholesale prices, rather than the demand-pull monetary factors. Some other factors such as the course of real effective exchange rate have been found indicating a relieving effect on the cost pressure settled in domestic economy as well. Supporting these arguments, we find that the smaller the growth performance of the economy given the cost-pressure through exchange-rate pass-through effects, wage indexation mechanism and the real interest structure be imposed, the larger would be the inflation st...
In this paper the convergence hypothesis based on the neo-classical growth theory is tried to be ... more In this paper the convergence hypothesis based on the neo-classical growth theory is tried to be re-examined by using per capita real income data of 26 OECD countries. Considering some contemporaneous panel unit root tests for the 1970 – 2007 sample period, the main findings obtained indicate that we are unable to reject that the per capita real income levels of OECD countries converge to the USA per capita real income level, chosen as the benchmark country. However, when the convergence of per capita real income levels of OECD countries to the average of OECD per capita real income level is considered, the panel unit root null hypothesis is seen to be supported by the actual data.
In this paper the convergence hypothesis based on the neo-classical growth theory is tried to be ... more In this paper the convergence hypothesis based on the neo-classical growth theory is tried to be re-examined by using per capita real income data of 26 OECD countries. Considering some contemporaneous panel unit root tests for the 1970 – 2007 sample period, the main findings obtained indicate that we are unable to reject that the per capita real income levels of OECD countries converge to the USA per capita real income level, chosen as the benchmark country. However, when the convergence of per capita real income levels of OECD countries to the average of OECD per capita real income level is considered, the panel unit root null hypothesis is seen to be supported by the actual data.
In this paper, we investigate the determinants of foreign exchange operations of the CBRT for the... more In this paper, we investigate the determinants of foreign exchange operations of the CBRT for the post-crisis period. Using modern time series econometrics, we try to analyze the different characteristics of FOREX market, and based on the estimation results, indicate the degree of effectiveness of the interventions of monetary authority throughout the implicit inflation targeting framework. The main policy conclusion is that the CBRT interventions seem to be under the control of uncertainties in economic environment, rather than decreasing the volatilities in exchange market, and this case in turn leads the interventions being inefficient.
In our paper, we try to investigate the main determinants of the Turkish business cycles. Having ... more In our paper, we try to investigate the main determinants of the Turkish business cycles. Having examined some important issues of interest in business cycle theory, we estimate the business cycle stylized facts for the Turkish economy and compare the estimation results obtained in this paper to some benchmark papers chosen in business cycle literature. All in all, our estimation results give support to the importance of supply side models in explaining the Turkish business cycles in line with the contemporaneous Real Business Cycle Theory.
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Papers by LEVENT KORAP
contemporaneous time series estimation techniques. Considering quarterly data for the period 1992Q1-2006Q3, for this purpose, multivariate co-integration and dynamic vector error correction estimation techniques have been applied to the Turkish data. Our main findings indicate that there exist two potential co-integrating vectors lying in the long-run variable space, of which one carries the knowledge of domestic inflationary process and the other identifies an aggregate demand equation revealing also the role of excess
aggregate demand on inflationary process. Results obtained bring out that nominal exchange rate and excess aggregate demand are the main leading factors of inflationary process, whereas real exchange rate has a strong negative effect relieving the inflationary pressures dominated in the economy.
purpose, first, the stationary linkages between the data have been investigated and a
multivariate cointegrating model inclusive of two long run relationships, one for a nominal money demand model and the other consisting of a relationship between two interest rates considered, is constructed in turn yielding inferences derived from a structural vector error correction modeling approach. The results reveal that there exists evidence of a liquidity effect - a negative relationship between a measure of money and an interest rate - and also that the non-existence of a price puzzle - a rise in the aggregate price level in response to a contractionary innovation to monetary policy - cannot be rejected by the Turkish data.
contemporaneous time series estimation techniques. Considering quarterly data for the period 1992Q1-2006Q3, for this purpose, multivariate co-integration and dynamic vector error correction estimation techniques have been applied to the Turkish data. Our main findings indicate that there exist two potential co-integrating vectors lying in the long-run variable space, of which one carries the knowledge of domestic inflationary process and the other identifies an aggregate demand equation revealing also the role of excess
aggregate demand on inflationary process. Results obtained bring out that nominal exchange rate and excess aggregate demand are the main leading factors of inflationary process, whereas real exchange rate has a strong negative effect relieving the inflationary pressures dominated in the economy.
purpose, first, the stationary linkages between the data have been investigated and a
multivariate cointegrating model inclusive of two long run relationships, one for a nominal money demand model and the other consisting of a relationship between two interest rates considered, is constructed in turn yielding inferences derived from a structural vector error correction modeling approach. The results reveal that there exists evidence of a liquidity effect - a negative relationship between a measure of money and an interest rate - and also that the non-existence of a price puzzle - a rise in the aggregate price level in response to a contractionary innovation to monetary policy - cannot be rejected by the Turkish data.