A Vector Auto-Regressıve (VAR) Model for the Turkish Financial Markets
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.
|Date of creation:||24 Apr 2011|
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- Daniel F. Waggoner & Tao Zha, 1999.
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MIT Press, vol. 81(4), pages 639-651, November.
- Daniel F. Waggoner & Tao Zha, 1998. "Conditional forecasts in dynamic multivariate models," FRB Atlanta Working Paper 98-22, Federal Reserve Bank of Atlanta.
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