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Asset Returns, Inflation and Real Activity: The Case of Mexico and Turkey

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Author Info

  • Yilmaz, K.
  • Altug, S.

Abstract

This study seeks to uncover the factors determining the dynamic behavior of key macroeconomic variables in two emerging market economies, Turkey and Mexico, from the late 1980's to the present. For this purpose, we analyze the behavior of real interest rates, real stock returns, inflation, industrial production, and the real exchange rate using a multivariate vector autoregression (VAR) model.

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Bibliographic Info

Paper provided by Koc University in its series Papers with number 1998/03.

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Length: 23 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:kocuni:1998/03

Contact details of provider:
Postal: Koc University. Intinye 80860. Istanbul Turkey
Phone: (90+212)-338-1302
Fax: (90+212)-338-1393
Email:
Web page: http://case.ku.edu.tr/tr/econ/home
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Related research

Keywords: INFLATION ; TURKEY ; MEXICO ; INTEREST RATE ; STOCK MARKET;

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Cited by:
  1. Sumru Altug & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," Koç University-TUSIAD Economic Research Forum Working Papers 1009, Koc University-TUSIAD Economic Research Forum.
  2. Levent, Korap, 2006. "An essay upon the business cycle facts: the Turkish case," MPRA Paper 21717, University Library of Munich, Germany.
  3. Levent, Korap, 2007. "Structural VAR identification of the Turkish business cycles," MPRA Paper 21971, University Library of Munich, Germany.
  4. Korap, Levent, 2010. "A small scaled business-cycle analysis of the Turkish economy: some counter-cyclical evidence using new income series," MPRA Paper 28647, University Library of Munich, Germany.

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