INVESTIGATION OF THE RELATIONSHIP BETWEEN ISE NATIONAL-100 INDEX WITH USD EXCHANGE RATE AND CPI (1986:01-2008:12)
Abstract
In this study, the relationship between Istanbul Stock Exchange (ISE) National-
100 index with USD exchange rate and CPI was investigated using cointegration
analysis for the period of 1986:01-2008:12 in Turkish economy.
In order to determine the causality between these variables, the Vector
Error Correction (VEC) method and causality tests were employed. Test results
indicate that, for the period, there was a long run relationship of ISE
National-100 index with USD exchange rate negatively and CPI positively.
In addition to this a casuality relationship existing from USD exchange rate and CPI to ISE National-100 index was determined for the period.
References
- Mackinnon, James G. (1991). Critical Values for Cointegration Tests, Long Run Economic Relationships, Readings in Cointegration (Edts. R. F. ENGLE ve C. W. GRANGER), Oxford Univ. Press, Oxford.
- Mackinnon, James G., Alfred Haug ve Leo Michelis (1999). Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration, Journal of Applied Econometrics, Vol. 14, No. 5, 563-577.
İMKB ULUSAL-100 ENDEKSİ İLE ABD DOLARI KURU VE TÜFE ARASINDAKİ İLİŞKİNİN İNCELENMESİ (1986:01-2008:12)
Abstract
Bu çalışmada, 1986:01-2008:12 dönemi için Türkiye ekonomisinde İMKB
Ulusal-100 endeksi ile ABD doları kuru ve TÜFE arasındaki ilişki eşbütünleşme
yöntemiyle incelenmiştir. Vektör Hata Düzeltme (VEC) yöntemi ve
nedensellik testlerinden yararlanılarak bu değişkenler arasındaki ilişkinin
yönü tespit edilmiştir. Test sonuçları, İMKB Ulusal-100 endeksi ile negatif
yönlü olarak ABD doları kuru ve pozitif yönlü olarak TÜFE arasında uzun
dönemli bir ilişki olduğunu göstermektedir. Ayrıca ele alınan dönemde,
ABD doları kurundan ve TÜFE’den İMKB Ulusal-100 endeksine doğru bir
Granger nedensellik ilişkisinin var olduğu belirlenmiştir.
References
- Mackinnon, James G. (1991). Critical Values for Cointegration Tests, Long Run Economic Relationships, Readings in Cointegration (Edts. R. F. ENGLE ve C. W. GRANGER), Oxford Univ. Press, Oxford.
- Mackinnon, James G., Alfred Haug ve Leo Michelis (1999). Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration, Journal of Applied Econometrics, Vol. 14, No. 5, 563-577.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Business Administration |
| Journal Section | Issue |
| Authors | |
| Publication Date | July 1, 2011 |
| Submission Date | January 1, 2011 |
| Acceptance Date | May 1, 2011 |
| Published in Issue | Year 2011 Volume: 4 Issue: 2 |
This Journal Licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
This license allows reusers to distribute, remix, adapt, and build upon the material in any medium or format for noncommercial purposes only, and only so long as attribution is given to the creator.