Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations

The differing dynamics of the inflations of the services and goods sectors has been of major concern in Turkey. The persistence of the services sector inflation during disinflation periods hampered the efforts of the Central Bank of Turkey of hitting inflation targets in a country with long-lasting high inflation experience. In search of a possible long-run relationship between the services and goods sectors’ inflations, this paper employs a method based on periodograms of the series in addition to time series tools. A periodogram-based test has pros over conventional tests; this test is model-free, seasonally robust and mean invariant. Empirical findings obtained from the methods employed in this study, Engle-Granger’s and Johansen’s conventional long-run time series tools as well as periodogram based test, suggest that services and goods sector inflations in Turkey are not cointegrated.Cointegration, Periodogram, Time-Series Analysis, Inflation, Services Sector

An investigation on the shuttle trade dynamics of a small-open-economy

In this article we have tried to assess the possible relationships between shuttle trade and the expletory variables and the expletory variables, export (f.o.b.), import (c.i.f.) and CPI based real effective US dollar exchange rate. We employed monthly data of Turkey covering the years from 1996:01 to 2006:12 and forecasted the parameters by Ordinary Least Square (OLS) estimation method. In order to find out whether there is a linear relationship among these series; we have checked each series whether are integrated at the same order or not. According to the ADF unit root test results, we have found that all the variables are integrated of order one, I(1), but shuttle trade. Besides we detected a case of multicollinearity among some of the expletory variables. Therefore we used first order autoregression model of shuttle trade. We have derived that, previous month's shuttle trade have positive impacts on the current level shuttle trade. We also used the same specification to indicate that the shuttle trade value increases in the months of fall and decreases in months of summer

An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes

This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes.