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Currency and yield Co-integration between a developed and an emerging Country: The Case of Turkey

  • Ahmet Can Ýnci
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    File URL: http://www.bujournal.boun.edu.tr/docs/13315906351.Ahmet%20Can%20Inci.pdf
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    Article provided by Bogazici University, Department of Economics in its journal Bogazici Journal of Economics and Administrative Sciences.

    Volume (Year): 21 (2007)
    Issue (Month): 1+2 ()
    Pages: 1-20

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    Handle: RePEc:boz:journl:v:21:y:2007:i:1+2:p:1-20
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    1. Shu Wu, 2005. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200519, University of Kansas, Department of Economics, revised Oct 2005.
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    5. Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007. "Uncovered interest rate parity and the term structure," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 1038-1069, October.
    6. Zhou, Anjun, 2002. "Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 35-56, January.
    7. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
    8. David K. Backus, 2001. "Affine Term Structure Models and the Forward Premium Anomaly," Journal of Finance, American Finance Association, vol. 56(1), pages 279-304, 02.
    9. Charles Engel & Kenneth D. West, 2004. "Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One," NBER Working Papers 10267, National Bureau of Economic Research, Inc.
    10. Alexius, Annika, 2000. "UIP for Short Investments in Long-Term Bonds," Working Paper Series 115, Sveriges Riksbank (Central Bank of Sweden).
    11. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
    12. James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
    13. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
    14. Telatar, Erdinc & Telatar, Funda & Ratti, Ronald A., 2003. "On the predictive power of the term structure of interest rates for future inflation changes in the presence of political instability: the Turkish economy," Journal of Policy Modeling, Elsevier, vol. 25(9), pages 931-946, December.
    15. Kempa, Bernd & Nelles, Michael & Pierdzioch, Christian, 1999. "The term structure of interest rates in a sticky-price target zone model," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 817-834, October.
    16. Jefferson Duarte, 2004. "Evaluating an Alternative Risk Preference in Affine Term Structure Models," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 379-404.
    17. Bansal, Ravi & Dahlquist, Magnus, 2000. "The forward premium puzzle: different tales from developed and emerging economies," Journal of International Economics, Elsevier, vol. 51(1), pages 115-144, June.
    18. Driskill, Robert & McCafferty, Stephen, 1987. "Exchange-rate determination: An equilibrium approach with imperfect capital substitutability," Journal of International Economics, Elsevier, vol. 23(3-4), pages 241-261, November.
    19. Us, Vuslat, 2004. "Inflation dynamics and monetary policy strategy: some prospects for the Turkish economy," Journal of Policy Modeling, Elsevier, vol. 26(8-9), pages 1003-1013, December.
    20. Hsieh, David A., 1993. "Using non-linear methods to search for risk premia in currency futures," Journal of International Economics, Elsevier, vol. 35(1-2), pages 113-132, August.
    21. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001.
    22. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
    23. Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004. "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers 10756, National Bureau of Economic Research, Inc.
    24. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    25. Haluk Erlat, 2003. "The Nature of Persistence in Turkish Real Exchange Rates," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 39(2), pages 70-97, March.
    26. Berument, Hakan, 2007. "Measuring monetary policy for a small open economy: Turkey," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 411-430, June.
    27. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
    28. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
    29. Selin Sayek & David D. Selover, 2002. "International Interdependence and Business Cycle Transmission between Turkey and the European Union," Southern Economic Journal, Southern Economic Association, vol. 69(2), pages 206-238, October.
    30. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
    31. Baxter, Marianne, 1994. "Real exchange rates and real interest differentials: Have we missed the business-cycle relationship?," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 5-37, February.
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