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Yayın Causal relations among macroeconomic variables under various exchange rate levels: an implementation of threshold vector autoregression model(EconJournals, 2018-07-04) Teker, Dilek; Teker, Suat; Aykaç, Alp, ElçinThe paper examines interaction between selected macroeconomic determinants such as exchange rates, stock exchange market indexes, gold prices, money supply and inflation rates. Considering a nonlinear relationships in various macroeconomic indicators, a threshold vector autoregression (AVR) model is implemented. The data covers a period from 2003:01 to 2017:07. The results of the analysis points out the relationship between those macroeconomic indicators above and below the specific threshold value for exchange rate. The estimations indicate that policy maker may use monetary variables as policy variable for the stability of this system if they do not ignore the level of exchange rate.Yayın Granger causality relation between interest rates and stock markets evidence from emerging markets(European Journal of Business and Social Sciences, 2014-01) Teker, Dilek; Aykaç, Alp, ElçinThis research analyses the granger cause relation between interest rates and stock market for four emerging markets as Turkey, Brasil, China and Hungary. The database includes daily prices of stock market indices of BIST100 Index (Turkey), the IBOV Index (Brasil), the SHCOMP Index (China), and the BUX Index (Hungary) and government securities with different maturities. As the initial step, the stationarity of the variables is tested with Augmented DickeyFuller (ADF) and Phillips-Perron (PP) unit root tests. Then Granger Causality is implemented.
