Consumer Confidence, Stock Prices And Exchange Rates: The Case Of Turkey
During the last few years a large number of economist and institutions have expressed increasing concerns regarding to importance of confidence on economic variables. They believe that increase in economic agents’ confidence will affect economic variables positively. The main objective of this study is to investigate the effect of Consumer Confidence Index (CCI) on real exchange rate and stock market in Turkey over the 2002:1 – 2008:12 periods by utilizing several econometric techniques. Most of the empirical studies have examined the effect of macroeconomics variables on confidence and ignored the effect of confidence on macroeconomics variables. In this study, we will try to fill up this gap by examining the effect of CNBC-e Consumer Confidence Index on reel exchange rate and stock market in Turkey. The results showed that Granger-causality run from stock price and real exchange rate to CCI but not vice versa. Also, the results from GARCH-M and OLS model showed that CCI affect reel exchange rate and stock price.
Volume (Year): 10 (2010)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.usc.es/economet/eaa.htm |
|Order Information:|| Web: http://www.usc.es/economet/info.htm Email: |
References listed on IDEAS
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.:
- Guisan, M.Carmen, 2003. "Causality Tests, Interdependence and Model Selection: Aplication to OECD countries 1960-97," Economic Development 63, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics..
- Jason Bram & Sydney Ludvigson, 1998.
"Does consumer confidence forecast household expenditure? a sentiment index horse race,"
Economic Policy Review,
Federal Reserve Bank of New York, issue Jun, pages 59-78.
- Jason Bram & Sydney Ludvigson, 1997. "Does consumer confidence forecast household expenditure?: A sentiment index horse race," Research Paper 9708, Federal Reserve Bank of New York.
- E. Philip Howrey, 2001. "The Predictive Power of the Index of Consumer Sentiment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 175-216.
- Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 29-50, Spring.
- M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
- Francis Fukuyama, 2000. "Social Capital and Civil Society," IMF Working Papers 00/74, International Monetary Fund.
- Guisan, M.C. & Exposito, P., 2006. "Production by sector in China, India and OECD Countries, 1985-2005," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 6(2).
- N.J. Nahuis, 2000. "Are Survey Indicators Useful for Monitoring Consumption Growth: Evidence from European Countries," MEB Series (discontinued) 2000-8, Netherlands Central Bank, Monetary and Economic Policy Department.
- Qiao, Zhuo & McAleer, Michael & Wong, Wing-Keung, 2009. "Linear and nonlinear causality between changes in consumption and consumer attitudes," Economics Letters, Elsevier, vol. 102(3), pages 161-164, March.
- Carroll, Christopher D & Fuhrer, Jeffrey C & Wilcox, David W, 1994.
"Does Consumer Sentiment Forecast Household Spending? If So, Why?,"
American Economic Review,
American Economic Association, vol. 84(5), pages 1397-1408, December.
- Christopher D. Carroll & Jeffery C. Fuhrer & David W. Wilcox, 1994. "RATS code for Does Consumer Sentiment Forecast Household Spending? If So, Why?," QM&RBC Codes 49, Quantitative Macroeconomics & Real Business Cycles.
- Matsusaka, John G & Sbordone, Argia M, 1995.
"Consumer Confidence and Economic Fluctuations,"
Western Economic Association International, vol. 33(2), pages 296-318, April.
- Atsuo Utaka, 2003. "Confidence and the real economy - the Japanese case," Applied Economics, Taylor & Francis Journals, vol. 35(3), pages 337-342.
- Bob McNabb & Karl Taylor, 2002.
"Business Cycles and the Role of Confidence: Evidence from Europe,"
Discussion Papers in Economics
02/3, Department of Economics, University of Leicester.
- Karl Taylor & Robert McNabb, 2007. "Business Cycles and the Role of Confidence: Evidence for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 185-208, 04.
- Guisan, M.Carmen, 2004. "A Comparison of Causality Tests Applied to the Bilateral Relationship between Consumption and GDP in the USA and Mexico," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(1), pages 115-130.
- W. Jos Jansen & Niek J. Nahuis, 2002.
"The Stock Market and Consumer Confidence: European Evidence,"
MEB Series (discontinued)
2002-11, Netherlands Central Bank, Monetary and Economic Policy Department.
- Jansen, W. Jos & Nahuis, Niek J., 2003. "The stock market and consumer confidence: European evidence," Economics Letters, Elsevier, vol. 79(1), pages 89-98, April.
When requesting a correction, please mention this item's handle: RePEc:eaa:aeinde:v:10:y:2010:i:2_9. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan)
If references are entirely missing, you can add them using this form.