A Vector Auto-Regressıve (VAR) Model for the Turkish Financial Markets
AbstractIn 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 30475.
Date of creation: 24 Apr 2011
Date of revision:
multivariate financial time series; vector auto-regressive (VAR) model; impulse response analysis; Granger causality;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-07 (All new papers)
- NEP-ARA-2011-05-07 (MENA - Middle East & North Africa)
- NEP-FOR-2011-05-07 (Forecasting)
- NEP-MIC-2011-05-07 (Microeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Daniel F. Waggoner & Tao Zha, 1998.
"Conditional forecasts in dynamic multivariate models,"
98-22, Federal Reserve Bank of Atlanta.
- 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.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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