The J-curve dynamics of Turkey: an application of ARDL model

This article seeks an empirical evidence for the existence of the J-curve phenomenon both in the short-run and long-run for Turkey over the period 1980-2005. The bounds testing cointegration approach is employed to estimate the trade balance model. An augmented form of Granger causality analysis is implemented between trade balance, real effective exchange rates, foreign income and domestic income. The stability of the short-run as well as long-run coefficients in the trade balance model is tested too. The empirical results that the J-curve phenomenon is supported only in the short-run. Whilst causality tests reveal mix results, the parameter stability tests seem to be inconclusive.

On the Link between Dollarisation and Inflation: Evidence from Turkey1

This paper investigates the role of dollarisation in the dynamics of inflation in Turkey. Descriptive analysis suggests that, in addition to high inflation and economic instability, institutional factors also played an important role in the evolution of dollarisation in Turkey. The empirical findings corroborate the importance of dollarisation in the dynamics of inflation. The results suggest that shocks to dollarisation initially lead to a decline in the monetary base as the public switches from domestic to foreign money holdings. However, the monetary base increases later on to generate the required inflation tax for a given budget deficit. The findings also indicate that the fiscal authority tries to compensate part of the decline in inflation tax through raising administered prices. As expected, the exchange rate responds positively to shocks to dollarisation owing to the high elasticity of substitution between domestic and foreign currency. Comparative Economic Studies (2003) 45, 306–328. doi:10.1057/palgrave.ces.8100022

Density characteristics and density forecast performance: a panel analysis

In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of common macroeconomic shocks, we apply cross-sectional and fixed effect panel regressions linking such density characteristics and density forecast performance. Our empirical results suggest that many macroeconomic experts could systematically improve their density performance by correcting a downward bias in their variances. Aside from this shortcoming in second moment characteristics of the individual densities, other higher moment features, such as skewness or variation in the degree of probability mass given to the tails of the predictive distributions tend - as a rule - not to contribute significantly to enhancing individual density forecast performance