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REEL DÖVİZ KURUNUN OTOREGRESİF ANALİZİ VE RASSAL GİDİŞ SÜRECİ

Year 1995, Volume: 1 Issue: 3, 11 - 20, 05.06.1995
https://doi.org/10.14783/maruoneri.708554

Abstract

Türkiye'de yaygın talebi olan ABD
Dolan ve Alman Markına ait 1980 - 1994
dönemini kapsayan nominal döviz kurları
zaman serilerinin ( sırası ile DKTLS ve
DKTLDM) grafiklerinin incelenmesi sonucu,
serilerin sürekli arttığı ve bu artış seyrinin
Türkiye TEFE (Toptan Eşya Fiat Endeksi) ve
TEE (Tüketici Fiat Endeksi) endekslerinin seyri
ile hemen hemen aynı olduğu gözlenmektedir,
yani bir ortak hareket etme söz konusudur.

References

  • Abuaf N. ve P.Jorion(1990),” Purchasing Power Parity in the Long Run,” Journal of Finance, Vol:XLV(No:l), ss.157-174.
  • Adler M. ve B.Lehmann(1983)," Deviations from Purchasing Power Parity in the Long Run," The Journal of Fianance, Vol.XXXVlll ÇNo:5), ss.1471-1487)
  • Beng G.W.(1991).”On the Deviations from Purchasing Power Parity :the case o f the Ringgit Effective Exchange Rate,” Applied Economics. Vol:23,ss. 1461-1471.
  • Bleaney M.(1992),” A test of Long-run Purchasing Power Parity using Annual Data for Seven Countries, 1900-88," Vol: XL V,ss. 180-96.
  • Canarella G.,S.K.Pollard ve K.S.Lai(1990),“ Cointegration between Exchange Rates and Relative Prices:Another View,“ European Economic Review,Vol.34,ss. 1303-1322.
  • Conejo C.-M.P.Shields(1993)," Relative PPP and the Long-run Terms of Trede for five Latin American Countries: A Cointegration Approach," Applied Economics,Vol:25, ss.1511-1515.
  • Copeland L.S.(1991),"Cointegration Tests with Daily Exchange Rate Data," Oxford Bulletin of Economics and Statistics,Vol.53(No:2),ss.l85-198.
  • Corbea D.ve S.Ouliaris(1988),” Cointegration and Tests of Purchasing Power Parity" The Review of Economics and Statistics,Vol: ,ss.508-511.
  • Cuthbertson K.,S.G.Hall ve M.P.TAylor(1992), Applied Econometric Techniques, Philip Allan, GB.
  • Dickey D.A-WA.Fuîler(1981),” Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Vol:49 (No:4), ss.1057-1072.
  • Edison H. J. (1987),"Purchasing Power Parity in the Long Run:A Test of the Dollar/pound Exchange Rate(1890-1978)," Journal of Money Credit and Banking,Vol.l9, ss.376-387.
  • Engel C. (1993),"Real Exchange Rates and Relative Prices," Journal of Monetary Economics, Vol.32,ss.35-50.
  • Engle R.F. ve C.W.J.Granger(1987), ” Cointegration and Error Correctıon: Representation, Estimation andTesting," Econometrica, Vol:55(No:2),ss.251-276.
  • Engle R.F. ve B.S. Yoo(1987), ” Forecasting and Testing m Co-mtegrated Systems," Journal of Econometrics,voi:35, ss.143-159.
  • Frenkel J.A(1981),” The Collapse of Purchasing Power Parities during the 1970s," European Economic Review, Vol. 16,ss. 145-165.
  • Glen J.D. (1992)," Real Exchange Rates in the Short,Medium and Long Run," Journal of International Economics, Vol.33,ss. 147-166.
  • Hail S.G. (1986)," An Application of the Granger and Engle Two-step Estimation Procedure to UK Aggregate Wage Data,” Oxford .Bulletin of Economics and Statistics, Vol: 48 (3), ss.229-239.
  • Hendry D.F.(1986),"Econometric Modeeling with Comtegrated Variables:An Overview," Oxford Bulletin of Economics and Statistics, Vol: 48, ss.201-212.
  • Johnson D.R.(1990),"Co-integration, error correction," Canadian Journal of Economics, Vol:23,ss.839- 855.
  • McNovvn R.ve M.S.Wallace(1994),” Comtegration Tests of the Monetary Exchange Rate fot Three Hıgh-Inflation Economies," Journal o f Money Credit and Banking, Vol.26 (no:3), ss.396-411.
  • Moosa I.A (1994)," Testing Proportionality, Symmetıy and Exclusiveness in Long-run PPP," Journal of Economic Studies, Vol: 21 ,ss.
  • Nachane D.M. ve AChrissanthaki(1991)," Purchasing Power Parity in the Short and Long Run: A Reappraisal of the Post-1973 Evidence,” Applied Economics, Vol:23,ss. 1257-1268.
  • Salvatore D.(1993), International Economics, Mac Millan Pub. Comp. 4.basım. USA.
  • Sargan J.D.ve A.Bjargava(1983),"Testing Residuals from Least Squares Regression for being Generated by the Gaussian Random Walk,”Econometrica,Vo:51 (no: 1) ,ss. 153-174.
  • Taylor M.P.(1988),” An Emprical Examination of Long-run Purchasing Power Parity usin Cointegration Tecniques,"Applied Economics, Vol.20,ss. 1369-1381.
  • TaylorM.P.ve P.C.McMahon(1988),” Long-run Purchasing Power Parity in the 1920s," European Economic Review,Vol.32, ss. 179-197
  • Tronzano M.(1992), ” Long-run Purchasing Power Parity and Mean-reversion in Real Exchange Rates: A Further Assessment," Economia Intemazionale, Vol.XLV, ss.77-99.
Year 1995, Volume: 1 Issue: 3, 11 - 20, 05.06.1995
https://doi.org/10.14783/maruoneri.708554

Abstract

References

  • Abuaf N. ve P.Jorion(1990),” Purchasing Power Parity in the Long Run,” Journal of Finance, Vol:XLV(No:l), ss.157-174.
  • Adler M. ve B.Lehmann(1983)," Deviations from Purchasing Power Parity in the Long Run," The Journal of Fianance, Vol.XXXVlll ÇNo:5), ss.1471-1487)
  • Beng G.W.(1991).”On the Deviations from Purchasing Power Parity :the case o f the Ringgit Effective Exchange Rate,” Applied Economics. Vol:23,ss. 1461-1471.
  • Bleaney M.(1992),” A test of Long-run Purchasing Power Parity using Annual Data for Seven Countries, 1900-88," Vol: XL V,ss. 180-96.
  • Canarella G.,S.K.Pollard ve K.S.Lai(1990),“ Cointegration between Exchange Rates and Relative Prices:Another View,“ European Economic Review,Vol.34,ss. 1303-1322.
  • Conejo C.-M.P.Shields(1993)," Relative PPP and the Long-run Terms of Trede for five Latin American Countries: A Cointegration Approach," Applied Economics,Vol:25, ss.1511-1515.
  • Copeland L.S.(1991),"Cointegration Tests with Daily Exchange Rate Data," Oxford Bulletin of Economics and Statistics,Vol.53(No:2),ss.l85-198.
  • Corbea D.ve S.Ouliaris(1988),” Cointegration and Tests of Purchasing Power Parity" The Review of Economics and Statistics,Vol: ,ss.508-511.
  • Cuthbertson K.,S.G.Hall ve M.P.TAylor(1992), Applied Econometric Techniques, Philip Allan, GB.
  • Dickey D.A-WA.Fuîler(1981),” Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Vol:49 (No:4), ss.1057-1072.
  • Edison H. J. (1987),"Purchasing Power Parity in the Long Run:A Test of the Dollar/pound Exchange Rate(1890-1978)," Journal of Money Credit and Banking,Vol.l9, ss.376-387.
  • Engel C. (1993),"Real Exchange Rates and Relative Prices," Journal of Monetary Economics, Vol.32,ss.35-50.
  • Engle R.F. ve C.W.J.Granger(1987), ” Cointegration and Error Correctıon: Representation, Estimation andTesting," Econometrica, Vol:55(No:2),ss.251-276.
  • Engle R.F. ve B.S. Yoo(1987), ” Forecasting and Testing m Co-mtegrated Systems," Journal of Econometrics,voi:35, ss.143-159.
  • Frenkel J.A(1981),” The Collapse of Purchasing Power Parities during the 1970s," European Economic Review, Vol. 16,ss. 145-165.
  • Glen J.D. (1992)," Real Exchange Rates in the Short,Medium and Long Run," Journal of International Economics, Vol.33,ss. 147-166.
  • Hail S.G. (1986)," An Application of the Granger and Engle Two-step Estimation Procedure to UK Aggregate Wage Data,” Oxford .Bulletin of Economics and Statistics, Vol: 48 (3), ss.229-239.
  • Hendry D.F.(1986),"Econometric Modeeling with Comtegrated Variables:An Overview," Oxford Bulletin of Economics and Statistics, Vol: 48, ss.201-212.
  • Johnson D.R.(1990),"Co-integration, error correction," Canadian Journal of Economics, Vol:23,ss.839- 855.
  • McNovvn R.ve M.S.Wallace(1994),” Comtegration Tests of the Monetary Exchange Rate fot Three Hıgh-Inflation Economies," Journal o f Money Credit and Banking, Vol.26 (no:3), ss.396-411.
  • Moosa I.A (1994)," Testing Proportionality, Symmetıy and Exclusiveness in Long-run PPP," Journal of Economic Studies, Vol: 21 ,ss.
  • Nachane D.M. ve AChrissanthaki(1991)," Purchasing Power Parity in the Short and Long Run: A Reappraisal of the Post-1973 Evidence,” Applied Economics, Vol:23,ss. 1257-1268.
  • Salvatore D.(1993), International Economics, Mac Millan Pub. Comp. 4.basım. USA.
  • Sargan J.D.ve A.Bjargava(1983),"Testing Residuals from Least Squares Regression for being Generated by the Gaussian Random Walk,”Econometrica,Vo:51 (no: 1) ,ss. 153-174.
  • Taylor M.P.(1988),” An Emprical Examination of Long-run Purchasing Power Parity usin Cointegration Tecniques,"Applied Economics, Vol.20,ss. 1369-1381.
  • TaylorM.P.ve P.C.McMahon(1988),” Long-run Purchasing Power Parity in the 1920s," European Economic Review,Vol.32, ss. 179-197
  • Tronzano M.(1992), ” Long-run Purchasing Power Parity and Mean-reversion in Real Exchange Rates: A Further Assessment," Economia Intemazionale, Vol.XLV, ss.77-99.
There are 27 citations in total.

Details

Primary Language Turkish
Journal Section Eski Sayılar
Authors

Işıl Akgül This is me

Publication Date June 5, 1995
Published in Issue Year 1995 Volume: 1 Issue: 3

Cite

APA Akgül, I. (1995). REEL DÖVİZ KURUNUN OTOREGRESİF ANALİZİ VE RASSAL GİDİŞ SÜRECİ. Öneri Dergisi, 1(3), 11-20. https://doi.org/10.14783/maruoneri.708554

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Öneri

Marmara UniversityInstitute of Social Sciences

Göztepe Kampüsü Enstitüler Binası Kat:5 34722  Kadıköy/İstanbul

e-ISSN: 2147-5377