Relevant bibliographies by topics / Dickey-Fuller test

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  2. Dissertations / Theses
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Academic literature on the topic 'Dickey-Fuller test'

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Published: 4 June 2021
Last updated: 4 February 2022

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Journal articles on the topic "Dickey-Fuller test"

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Islam, Masudul, Afroza Akhtar, Sirajum Munira, Md Salauddin Khan, and Md Monzur Murshed. "Optimized Dickey-Fuller Test Refines Sign and Boundary Problems Compare to Traditional Dickey-Fuller Test." International Journal of Statistics and Probability 7, no. 5 (August 3, 2018): 19. http://dx.doi.org/10.5539/ijsp.v7n5p19.

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Impede nonstationarity is vigorous to study performance of time series data and removes long-term components to expose any regular short-term regularity. So, we find miscellaneous unit root tests for instance Dickey-Fuller test, Augmented Dickey-Fuller plus DF-GLS Tests and identify that almost all unit root tests with the estimated model suffer from sign and boundary problems of the parameters to smooth the progress of the non-stationarity problem. In this paper, we usage Dickey-Fuller test and impose some limits on the parameter. Our proposed optimized DF test based on error sum of square (ESS). Monto Carlo simulation method is used to generate simulated critical values for different sample size. Our proposed optimized DF test gives better result than the ordinary DF test with effectiveness, uniformity and power properties. Also, optimized DF improves the sign and boundary problems through imposing some limit on error sum of squares and capture more nonstationarity of time related data.
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Fotopoulos, Stergios B., and Sung K. Ahn. "Rank Based Dickey-Fuller Test Statistics." Journal of Time Series Analysis 24, no. 6 (November 2003): 647–62. http://dx.doi.org/10.1111/j.1467-9892.2003.00327.x.

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Cheolyong Park, 이희수, Sun Young Hwang, 하정철, and Kim Tae Yoon. "Dickey-Fuller Test for an Extended MA Model." Quantitative Bio-Science 38, no. 1 (May 2019): 1–21. http://dx.doi.org/10.22283/qbs.2019.38.1.1.

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Krämer, Walter. "Fractional integration and the augmented Dickey–Fuller Test." Economics Letters 61, no. 3 (December 1998): 269–72. http://dx.doi.org/10.1016/s0165-1765(98)00194-3.

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Dolado, Juan J., Jesus Gonzalo, and Laura Mayoral. "A Fractional Dickey-Fuller Test for Unit Roots." Econometrica 70, no. 5 (September 2002): 1963–2006. http://dx.doi.org/10.1111/1468-0262.00359.

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Bodhgire, Nandkumar Baburao. "Augmented Dickey - Fuller Unit Root Test for Household Saving." Asian Journal of Research in Banking and Finance 5, no. 8 (2015): 64. http://dx.doi.org/10.5958/2249-7323.2015.00101.7.

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Demetrescu, Matei. "On the Dickey–Fuller test with White standard errors." Statistical Papers 51, no. 1 (January 5, 2008): 11–25. http://dx.doi.org/10.1007/s00362-007-0112-1.

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Sephton, Peter S. "Critical values of the augmented fractional Dickey–Fuller test." Empirical Economics 35, no. 3 (January 23, 2008): 437–50. http://dx.doi.org/10.1007/s00181-007-0171-0.

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Cook, Steven. "Unit root testing in the presence of innovation variance breaks: a simple solution with increased power." Journal of Applied Mathematics 2, no. 5 (2002): 233–40. http://dx.doi.org/10.1155/s1110757x02107029.

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The Dickey-Fuller unit root test is known to suffer severe oversizing in the presence of innovation variance breaks. In this paper, forward and reverse Dickey-Fuller regressions are proposed as a means of correcting this size distortion. The results of Monte Carlo experimentation show such an approach to result in both satisfactory size properties and increased power relative to previously suggested solutions.
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Deng, Lu. "Augmented Dickey-Fuller Test and the Lag Length Selection Problem." Applied Mechanics and Materials 130-134 (October 2011): 3019–22. http://dx.doi.org/10.4028/www.scientific.net/amm.130-134.3019.

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Many studies indicated that ADF test is very sensitive to different leg length selection models. Based on Hall, and Ng, Perron’s works, this article simulates a more general ARIMA(0,1,q) process and compares the influence of different selection methods to the size and power of the ADF test. Finally, it is proved that the Modified Information Criteria always shows a more proper size and the General to Special Criteria has more robust ADF test properties.
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Dissertations / Theses on the topic "Dickey-Fuller test"

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Ferreira, Marcos Souza. "Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16704.

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Considering the importance of the proper detection of bubbles in financial markets for policymakers and market agents, we used two techniques described in Diba and Grossman (1988b) and in Phillips, Shi, and Yu (2015) to detect periods of exuberance in the recent history of the Brazillian stock market. First, a simple cointegration test is applied. Secondly, we conducted several augmented, right-tailed Dickey-Fuller tests on rolling windows of data to determine the point in which there’s a structural break and the series loses its stationarity.
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Jurvelin, Olsson Mikael, and Andreas Hild. "Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test." Thesis, Uppsala universitet, Statistiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385484.

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This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. The cryptocurrencies included in the study are 14 cryptocurrencies with the highest market capitalization on April 24th 2019. One trading strategy has been applied on every portfolio following the 3-month and the 6-month methodology with thresholds at 1.75 and stop-losses at 4 standard deviations. The performance of each portfolio is compared with their corresponding buy and hold benchmark. All portfolios outperformed their buy and hold benchmark, with and without transaction costs set to 2%. Following the 3-month methodology was superior to the 6- month method and the portfolios formed through Phillips Peron’s test had the highest return for both window methods.
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Cordeiro, Clara Maria Henrique. "Métodos de reamostragem em modelos de previsão." Doctoral thesis, ISA/UTL, 2011. http://hdl.handle.net/10400.5/3866.

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Doutoramento em Matemática e Estatística - Instituto Superior de Agronomia
The study of a time series has forecasting as one of its primary objectives. Exponential smoothing methods (EXPOS) stand out due to their versatility in the wide choice of models that they include. The widespread dissemination makes them the most widely used methods of modeling and forecasting in time series. An area that has given great support to the statistical inference is computational statistics, specifically the bootstrap methodology. In time series that methodology is most frequently used through the residual resampling. An automatic procedure that combines exponential smoothing methods and the bootstrap methodology was developed in environment. This procedure (Boot.EXPOS) selects the most appropriate model among a wide range of models, and performs an autoregressive (AR) adjustment to the EXPOS residuals. Once the stationarity of the residuals has been guaranteed, the AR residuals are resampled and the reconstruction of the original series is performed using the estimated components of the initial model. Point forecasts and prediction intervals are also provided. NABoot.EXPOS is an extension of that procedure that allows for the detection, estimation and imputation of missing values. An exhaustive study of several types of real time series given in competitions is presented in order to compare our procedures.
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Freitas, Leonardo Ribeiro de. "Elasticidade-PIB do Imposto de Renda Pessoa Física e Jurídica." Universidade do Estado do Rio de Janeiro, 2012. http://www.bdtd.uerj.br/tde_busca/arquivo.php?codArquivo=6021.

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O objetivo específico da presente dissertação é estimar a elasticidade-PIB do Imposto de Renda Pessoa Física (IRPF) e Imposto Renda Pessoa Jurídica (IRPJ) no Brasil entre 1986 e 2012. A pesquisa também incorpora em seus objetivos uma análise técnica a respeito da tributação e seus impactos sobre o sistema econômico, tanto a nível microeconômico e macroeconômico, além de abordar o IRPF e IRPJ em seu aspecto econômico e jurídico. No tratamento metodológico são utilizados modelos de Vetor de Correção de erros (VEC) para estimar as elasticidades-PIB do IRPF e IRPJ. Os resultados apontam uma elasticidade-PIB, tanto para IRPF quanto IRPJ, acima da unidade, na maioria dos modelos estimados, e existem períodos determinados que impactam consideravelmente sobre à arrecadação desses tributos.
This dissertation estimates the GDP elasticity of income tax revenue for individuals (IRPF) and corporations (IRPJ) between 1986 and 2012. Additionally the research incorporates an analysis of the macroeconomic and microeconomic effects of taxation. IRPF and IRPJ are analyzed in great detail, including economic as well as legal aspects. An Error Correction Model is estimated to obtain the elasticities. The results show that both elasticities are higher than unit and that reforms that took place in some periods have a significant impact on tax collection.
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Basoglu, Fatma. "Testing For Rational Bubbles In The Turkish Stock Market." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614505/index.pdf.

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In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market benchmark indices as well as sector indices. Our located bubble periods may give early warning signals of the subsequent Turkish financial crisis.
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Mattsson, Henrik, and Jonas Vikström. "Currency Future Efficiency : Do Currency Futures Predict Future Spot Exchange Rates?" Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-45940.

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This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies?   The main theory in the research is the Efficient Market Hypothesis and the Random Walk Hypothesis. The research was conducted with a positivistic philosophy in conjunction with a realistic approach. Since the research question has been deducted from the theoretical framework the research has a deductive approach, a quantitative technique was adapted when the data at hand was mainly future and spot rate data.   Data on 13 currencies ranging from 2005 to 2010 was used. The prices were available in weekly intervals for all currencies except for the Brazilian real, Swiss frank and the Mexican peso. The statistical test that was used is the Augmented Dickey-Fuller test and the Phillips-Ouliaris cointegration test. The test was conducted on the whole timeframe. After that, the data was divided into three sub periods to show if the efficiency where different in the period before the crises (2005-2007), during the crises (2008-2009) and after the crises (2010). The test has also been done on annual and quarterly data to show if the length of the time period tested has an effect on efficiency. The PO test has been conducted on all data and the ADF test has been conducted on the whole timeframe and the sub periods.   The results show that, ten of the currencies which we had weakly data, the future is a good predictor of the future spot exchange rate. This is true when the tests are done on an interval of one year and more. For the three currencies that we had monthly data, the results showed cointegration on the whole timeframe. When shorter time periods were tested the currencies that consisted of monthly data showed no cointegration sooner than the weakly data. When test is done on quarterly data, only one test is cointegrated. It cannot concluded that, the future was not a good predictor for the future spot exchange rate during this time, merely that this particular test might be the true one and that the tests where not able to capture it. Several reasons for this are presented in the analysis chapter, where the statistical tests and their design are mentioned among other reasons.
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Karangwa, Innocent. "Comparing South African financial markets behaviour to the geometric Brownian Motion Process." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_4787_1363778247.

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This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and monthly stock returns time series of some major securities trading in the South African financial market, more specifically the US dollar/Euro, JSE ALSI Total Returns Index, South African All Bond Index, Anglo American Corporation, Standard Bank, Sasol, US dollar Gold Price , Brent spot oil price, and South African white maize near future. The assumptions underlying the 
Geometric Brownian motion in finance, namely the stationarity, the normality and the independence of stock returns, are tested using both graphical (histograms and normal plots) 
and statistical test (Kolmogorov-Simirnov test, Box-Ljung statistic and Augmented Dickey-Fuller test) methods to check whether or not the Brownian motion as a model for South 
African financial markets holds. The Hurst exponent or independence index is also applied to support the results from the previous test. Theoretically, the independent or Geometric 
Brownian motion time series should be characterised by the Hurst exponent of ½
. A value of a Hurst exponent different from that would indicate the presence of long memory or 
fractional Brownian motion in a time series. The study shows that at least one assumption is violated when the Geometric Brownian motion process is examined assumption by 
assumption. It also reveals the presence of both long memory and random walk or Geometric Brownian motion in the South African financial markets returns when the Hurst index analysis is used and finds that the Currency market is the most efficient of the South African financial markets. The study concludes that although some assumptions underlying the 
rocess are violated, the Brownian motion as a model in South African financial markets can not be rejected. It can be accepted in some instances if some parameters such as the Hurst exponent are added.

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Duras, Toni. "Robust critical values for unit root tests for series with conditional heteroskedasticity errors using wild bootstrap." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-29781.

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PEREIRA, Marcelo Bourguignon. "Modelos inar sazonais e de raízes unitárias." Universidade Federal de Pernambuco, 2011. https://repositorio.ufpe.br/handle/123456789/6259.

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Conselho Nacional de Desenvolvimento Científico e Tecnológico
Séries temporais de contagem têm chamado a atenção pela importância em aplicações nas diversas áreas de conhecimento. Os processos estocásticos usuais assumem que as marginais são contínuas e, em geral, não são adequados para modelar séries de contagem. Portanto, surge a necessidade de investigar metodologias apropriadas para séries temporais com distribuições marginais discretas. Em particular, o estudo da presença de raízes unitárias e o comportamento sazonal do processo de valores inteiros motivam uma vertente de pesquisa de grande interesse para aplicações práticas e são os principais objetivos desta pesquisa. Nesse contexto, apresentamos o teste de Dikey & Fuller (1979) e verificamos o comportamento do teste, através de ensaios de Monte Carlo, em processos autorregressivos de valores inteiros de ordem um, quando o processo apresenta raiz unitária. Os pontos críticos empíricos da estatística de teste do teste de Dickey-Fuller, para vários valores do percentil α, são calculados quando o teste é utilizado em processos INAR(1) com erros Poisson, para diversos valores do parâmetro λ. Comparações entre a utilização do teste de Dickey-Fuller em processos com marginais contínuas e discretas também são abordadas. No que tange à sazonalidade em processos de contagem, é proposto um modelo de valores inteiros com estrutura sazonal baseado no modelo de Al-Osh & Alzaid (1987). As principais propriedades do modelo proposto são derivadas, tais como os momentos, a função de autocovariância e a função de autocorrelação. Ensaios de Monte Carlo são realizados para comparar os vícios e erros quadráticos médios de três estimadores para os parâmetros do modelo proposto. Como motivação do uso da metodologia sugerida, a série do índice da qualidade do ar da cidade de Cariacica-ES foi analisada
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Chuang, Chien-Min, and 莊建民. "The Asymptotic Distribution of the Augmented Dickey-Fuller t Test under a Generally Fractionally-Integrated Process." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/42184120549188372665.

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碩士
國立中山大學
經濟學研究所
92
In this paper, we derive the asymptotic distribution of the Augmented Dickey-Fuller t Test statistics, t_{ADF}, against a generalized fractional integrated process (for example: ARFIMA(p,1+d,q) ,|d|<1/2,and p, q be positive integer) by using the propositions of Lee and Shie (2003). Then we discuss why the power decreases with the increasing lags in the same and large enough sample size T when d is unequal to 0. We also get that the estimator of the disturbance''s variance, S^2, has slightly increasing bias with increasing k. Finally, we support the conclusion by the Monte Carlo experiments.
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Books on the topic "Dickey-Fuller test"

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Burke, Simon P. Augumented Dickey-Fuller unit root tests and the use of information criteria. Reading: University of Reading.Department of Economics, 1993.

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Leybourne, Stephen J. Spurious rejections by Dickey-Fuller tests in the presence of a break under the null. Loughborough: Loughborough University, Department of Economics, 1996.

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Book chapters on the topic "Dickey-Fuller test"

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Dickey, David G. "Dickey-Fuller Tests." In International Encyclopedia of Statistical Science, 385–88. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-04898-2_210.

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Johansen, Søren. "A Small Sample Correction of the Dickey–Fuller Test." In Contributions to Economic Analysis, 49–68. Elsevier, 2004. http://dx.doi.org/10.1016/s0573-8555(04)69003-1.

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Yıldız, Furkan. "Globalization, International Trade, and CO2 Convergence." In Handbook of Research on the Empirical Aspects of Strategic Trade Negotiations and Management, 53–64. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-7568-0.ch003.

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The goal of this study is to investigate the potential effects of international trade on per-capita CO2 emissions among trade partners. To achieve this purpose, the Group of Seven (G7) countries and each of their developing trade-partner countries with the highest trade volume have been selected as the sample. The stochastic convergence methodology has been employed using Augmented Dickey Fuller (ADF), Phillips-Perron (PP), and Enders-Lee Fourier unit root tests in order to test for convergence or divergence. Various results have been obtained from the unit root tests. These results suggest international trade to have no general or common effects on per capita CO2 emissions.
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"Analyzing Dynamic Causal Linkages Between Developed Stock Markets of Spain and Canada." In Emerging Research on Monetary Policy, Banking, and Financial Markets, 282–93. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-9269-3.ch015.

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The main objective of this chapter involves analyzing dynamic causal linkages between developed stock markets of Spain and Canada. The long-run dynamic causal linkages between international stock markets highlight the importance of a functional and stable financial environment. As an explanation based on chaos theory, seemingly insignificant structural imbalances can easily generate dramatic consequences in the context of a globalized and integrated worldwide financial structure. The empirical analysis is based on daily log-returns of selected developed stock markets major indices during the sample period between June 1993 and December 2013. The financial econometrics empirical research includes the Unit Root Test, the Augmented Dickey-Fuller stationary test, the BDS test and the Granger causality test. The empirical results provide a useful framework on international portfolio diversification and risk management.
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"Investigating International Causal Linkages Between Latin European Stock Markets in Terms of Global Financial Crisis." In Emerging Research on Monetary Policy, Banking, and Financial Markets, 238–58. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-9269-3.ch012.

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The main objective of this chapter is to investigate international causal linkages between selected Latin European stock markets, such as Romania, Spain, and Italy, in terms of global financial crises. Moreover, the structure of this book chapter includes both theoretical developments and new empirical findings. In recent past, the global phenomenon of increasing cointegration, co-movements and financial contagion patterns between developed and emerging stock markets have significantly influenced foreign investment behavior. The global financial crisis has seriously affected the international financial architecture and global economic stability due to unprecedented dynamic financial contractions. In addition, as strictly economic approach, Romanian labor migration is very high level in Italy and Spain. On the other hand, financial integration and the international causal linkages suggest a certain behavioral pattern between receiving societies. The financial econometrics approach includes various tools such as Unit Root Test, Hodrick-Prescott (HP) filter, Augmented Dickey-Fuller stationary test, BDS test and Granger causality test. The final results provide a comprehensive framework regarding international portfolio diversification, risk management and strategic investment decision making process.
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Goel, Nisha, Hima Bindu Kota, Gurinder Singh, Monir Mir, and Bhawna Kumar. "Technological Innovation and Regulation as Determinants of Business Growth." In Technological Innovations for Sustainability and Business Growth, 39–55. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-5225-9940-1.ch004.

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For growth and survival of the business, technological innovations and regulatory reforms in business are absolutely necessary. Over the years, it has become evident that businesses cannot sustain without innovation and since technology is the major facilitator of innovation, it is imperative to sustain and grow businesses. An easy and encouraging regulatory environment is icing on the cake. Technology in business caused tremendous growth in trade & commerce and business concepts & models were revolutionized as a result of the introduction of technology. This chapter studies the role of technological innovations and regulations in the growth of foreign direct investment in an emerging economy, India. Using data for a 10-year period (2008-2017), the sophisticated tools, namely augmented Dickey-Fuller test, Johansen Co-integration test, and Linear Regression analysis are applied. The results show that technological innovations and regulations have a positive impact on attracting foreign direct investment into India and in turn, helping the business in India to grow.
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Dinç, Dilek Temiz, Aytaç Gökmen, and Zehra Burçin Kanık. "Energy Policy Issues in Turkey." In Foreign Direct Investments, 1152–68. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-2448-0.ch049.

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Energy is the source of development of the mankind and an indispensable input for economic growth. Currently, most of the energy consumed in the world is composed of fossil fuels which are not environmentally friendly and reliable since their prices are volatile and their supply compels importing countries dependent on energy exporting countries. Thus, a good remedy to reduce fossil fuel dependency is to utilize more renewable energy resources. Renewable resources can be replenished quickly, are almost infinite and would lead a country to sustainable development. The Republic of Turkey is a net importer of energy. The diversification of energy sources and supply security is of great importance for it. Thus, the objective of this study is to analyze the relationship between renewable energy production and economic growth in Turkey by using Johansen Cointegration Test, Vector Error Correction Model (VECM), Granger Causality Test and the Augmented Dickey-Fuller Test (ADF). Consequently, both long run and short run a casualty running from GDP growth to renewable energy production is determined in the study.
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DIEBOLD, FRANCIS X., and GLENN D. RUDEBUSCH. "On the Power of Dickey-Fuller Tests against Fractional Alternatives." In Business Cycles, 258–64. Princeton University Press, 2020. http://dx.doi.org/10.2307/j.ctv15r57n1.17.

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Diebold, Francis, and Glenn Rudebusch. "13. On the Power of Dickey-Fuller Tests against Fractional Alternatives." In Business Cycles, 258–64. Princeton University Press, 1999. http://dx.doi.org/10.1515/9780691219585-015.

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Doğdu, Ali, Gökçe Kurucu, and İhsan Erdem Kayral. "Testing the Validity of Taylor's Rule on Developing Countries for Effective Financial Marketing." In Advances in Marketing, Customer Relationship Management, and E-Services, 450–70. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-2559-3.ch021.

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This chapter examines whether the central bank policy behaviors of E-7 countries are valid by using a Taylor type monetary policy response function. In this context, the policy response function of banks is analyzed by using monthly data for the 2008-2018 period. Then, unit root tests of ADF (Augmented Dickey Fuller), PP (Philips Perron), IPS (Im Peseran Shin) and LLC (Levin Lin Chu) were performed and analyzed by using Dumitrescu-Hurlin methodology. As a result of the analyses conducted using inflationary data, it was observed that short-term interest rates of the central bank affect price stability by causing inflation, but inflation rates did not cause an increase or decrease in short-term interest rates. According to the findings, although inflation does not cause interest rates to change in E7 countries, a causality relationship has emerged from interest rates to inflation rates. These results indicate that the monetary policies implemented in these countries are not carried out in accordance with the Taylor rule.
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Conference papers on the topic "Dickey-Fuller test"

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Bensalma, Ahmed. "New fractional Dickey Fuller test." In 2015 6th International Conference on Modeling, Simulation, and Applied Optimization (ICMSAO). IEEE, 2015. http://dx.doi.org/10.1109/icmsao.2015.7152263.

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Zhang, Fusheng, Yang Zhao, Shumei Zhang, Wentao Wu, and Chao Tan. "Spacecraft Equipment Health Condition Monitoring Based on Augmented Dickey-Fuller Test and Gaussian Mixture Model." In 2021 IEEE International Conference on Mechatronics and Automation (ICMA). IEEE, 2021. http://dx.doi.org/10.1109/icma52036.2021.9512583.

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Kuzu, Serdar, and H. Muhammet Kekeç. "Analysis of the Effect of Weighted Average Cost of the CBRT Funding on BIST100 Index, BISTXBANK Index and Exchange Rate." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01884.

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This study is found to find out how Weighted Average Funding Cost, which is new policy tool implemented by The Central Bank of Turkey (CBRT) in 2011, weighted average funding cost -aiming at removing the ambiguities seen in the financial variables and minimizing the effect of capital movements on these variables is reviewed. In this study, the effects of the interest rate policy of the Central Bank of the Republic of Turkey (CBRT) on BIST100 index, BISTXBANK index and exchange rate are tested by Augmented Dickey Fuller Test (ADF), ML-GARCH and DCC GARCH models based on ENGLE, R.F. and SHEPPARD, K. (2001). According to the findings obtained, it is concluded that the decisions of the Weighted Average Funding Cost related to Central Bank of the Republic of Turkey (CBTR) lending and borrowing interest rates are direct effective on BIST100 index, BISTXBANK index but indirect with Exchange rate.
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Uysal, Özgür, and Sultan Sat. "Causality Relationship between Export and Economic Growth: The Case of Russia." In International Conference on Eurasian Economies. Eurasian Economists Association, 2015. http://dx.doi.org/10.36880/c06.01438.

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Nowadays, together with the process of globalization, the relation between export and economic growth has begun to gain importance when decisions regarding economic situation of a country are taken, and when estimations concerning economy are made. The relation between economic growth and export has become one of the most disputable issues of the economic literature. The main objective of this study is to find out the direction of the relation between export and economic growth in Russia. Analysis was performed by using quarterly export and economic growth data of belonging from 1997:01 to 2014:04.The stability of the variables was initially determined by using Augmented Dickey – Fuller (ADF) unit root test. Subsequently, the existence of co-integration between variables was investigated by using Johansen Co–integration Test. In the last stage, the direction of the relationship between variables was determined by using Granger Causality Test. As a result of the analyses carried out, it was determined that bi-directional causality exists between export and economic growth in Russia between the years 1997-2014.
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Fisunoğlu, Mahir, and Gürçem Oransay. "Current Account Deficit Sustainability in the Asset Demand Approach." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00983.

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Despite moderate views about current deficit presence, which started with liberalization in 80’ies, current deficit problem continues to be one of the most debated economical issues in Turkey alike to other developing countries. Sustainability of current deficit has a critical importance in countries’ future decision making processes similar to current deficit itself. This is also important for macroeconomic stability. One of the basic statements for a sustainable current deficit is; current deficit ratio cannot be defined as a critical threshold for all countries as sustainability is related with inter-country dynamics. Due to this reason, the purpose of this study is; identifying current deficit for Turkey by asset demand approach. In this study the presence and direction of relationship between current deficit, asset demand and growth is empirically tested by employing Vector Error Correction Model, has been used to analyze the long term relationship between variables for the period 2001Q4-2012Q2. Before the implementation of model, Dickey-Fuller and Johansen -Cointegration Tests have been applied, which is needed for economical analysis. Initially, a positive relationship between current deficit and asset demand was founded. Since implementation of policies taking the serious consequences of current deficit problem into account is a must, the finds of this study is informative in determining current deficit level that can be sustainable for Turkey and to what extent Turkey is close to the end of its sustainability capacity at the present time.
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