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A Vector Auto-Regressıve (VAR) Model for the Turkish Financial Markets

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  • Bayraci, Selcuk
  • Ari, Yakup
  • Yildirim, Yavuz
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    Abstract

    In this paper, we develop a vector autoregressive (VAR) model of the Turkish financial markets for the period of June 15 2006 – June 15 2010 and forecasts ISE100 index, TRY/USD exchange rate, and short-term interest rates. The out-of-sample forecast performance of the VAR model is compared with the results from the univariate models. Moreover, the dynamics of the financial markets are analyzed through Granger causality and impulse response analysis.

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    File URL: http://mpra.ub.uni-muenchen.de/30475/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 30475.

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    Date of creation: 24 Apr 2011
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    Handle: RePEc:pra:mprapa:30475

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    Keywords: multivariate financial time series; vector auto-regressive (VAR) model; impulse response analysis; Granger causality;

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    1. Daniel F. Waggoner & Tao Zha, 1999. "Conditional Forecasts In Dynamic Multivariate Models," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 639-651, November.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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