This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence ...

In this paper we address efficiency of eight transition stock markets, namely, Bulgarian, Chinese, Czech, Hungarian, Polish, Romanian, Russian and Slovakian stock markets by testing whether the price series of these ...

In this chapter we investigate whether the term structure of interest rates contains useful information about future real economic activity in Turkey for the period 1995:1 to 2003:3. The best model to describe the relationship ...

In this study, a Fractional Frequency Flexible Fourier Form DF-type unit root test is proposed. The small sample properties of the proposed test are found to be better than that of the integer frequency counterpart. ...

In this study, we consider the hybrid nonlinear features of the Exponential Smooth Transition Autoregressive-Fractional Fourier Function (ESTAR-FFF) form unit root test. As is well known, when developing a unit root test ...

This paper analyzes the interaction between the inflation and growth within the Mankiw-Romer-Weil (1992) framework. Our results indicate that the inflation level has a significant negative effect on output in advanced ...

This paper investigates possible asymmetries in the monetary policy reaction function of the Central Bank of Republic of Turkey over the business cycles. It is found that the bank reacted more aggressively towards output ...

This paper investigates the validity of the real interest rate parity hypothesis (RIPH) using a panel unit root approach. For this purpose, first we estimate the possible nonlinear data-generating processes of the real ...

In this study, we re-examine the PPP hypothesis in the light of the new developments in the unit root testing literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric ...

In this study, we investigate the validity of the purchasing power parity (PPP) proposition for 34 European and selected global countries. For this purpose, we propose a new unit root test for cross-sectionally dependent ...