[PDF] Top 20 City price convergence in Turkey with structural breaks

... more breaks may cause loss of power, ...two breaks on true data, determining the break point(s) endogenously and assuming the presence of break(s) under the null hypothesis of unit ... See full document

... relative price convergence for 18 cities in Turkey. The convergence implies stationarity in the long ...whether price convergence occurs or not, this study conducts unit root ... See full document

... When considered in general, the structural breaks widely coincide with developments in the Turkish economy. As is known, there was a financial crisis originating from the banking sector in the last quarter ... See full document

... in Turkey and ...a structural break occurs in the money supply-infl ation relationship as a result of the IT ...consumer price index and various money supply defi nitions will be ...the ... See full document

... In the recent period, there has been seen an upward trend and while the increases in oil prices contribute positively to the countries like Iran, Iraq, Kuwait, Saudi Arabia and Russia, of which economies are supported by ... See full document

... for structural breaks in the misalignment series using the Bai and Perron (1998) ...three structural regimes with the first one having a fixed exchange rate regime while the other two had floating ... See full document

... two structural breaks, which are placed in the Depression era or in the ...of convergence are not only faster than the estimates obtained by CMS and NS, they are also well below than Rogoff’s (1996) ... See full document

... These results, which are self-explanatory, imply that irrespective of which of the three models with structural breaks is used, there is a cointegrating relation between real money, real income and the ... See full document

... strong case for stochastic trends because models with deterministic trends are a limiting case with stochastic trends when the hyper-parameters (which allow for the level and slope of the trend to change) are equal to ... See full document

... stock price ac- cording to the cognitive bias of the ...asset price away from its fundamentals, while the HS model explains this phenomenon in the aspect of the mutual reaction of the investors with ... See full document

... Although the in fl uence of the prior is very minor given the sample size, we give to the standard probit model 1 the advantage of a prior centered at its maximum likelihood estimator. For all models we assume that the ... See full document

... of structural breaks in volatility in CARR model while modelling and fo- recasting the AddRS ...of structural breaks in volatility modelling does decrease the volatility ... See full document

... Beta convergence, and it is supporting our argument that we assert regarding not considering ...The convergence rate in Index 1 representing the original HDI of Mediterranean Region had shown an increase, ... See full document

... the structural breaks present in some of the main models of ...any structural breaks. Having identified the presence of structural breaks we then refit the models allowing for ... See full document

... with structural breaks, for example, by Zivot and Andrews ...about structural breaks and their specifications with two variables, for simplicity, are as follows: ... See full document

... However, standard unit root tests are biased in favour of identifying data as integrated if there is a structural break, as noted at the beginning of the paper. In fact, Figure 1 shows a change in both the ... See full document

... of price changes, on the other hand, the inflation is seen the main factor which affects the frequency of price changes in the macro ...of price changes is a function of the inflation rate in the ... See full document

... This branch of the literature has focused on …nancial markets in general. At the same time, an equally impressive literature has emerged exploring the functioning of prediction markets, which, for the most part, ... See full document

... focus prior elicitation e¤orts on . The parameters in A (L), controlling the short run dynamics for deviations from steady states, may be of less interest to the macroeconomist. For instance, DSGE modelers often have ... See full document

... of city estimates is less than 6 months with OLS and 5 months with ...of city price convergence and half life of price ...The price shock in Lahore dies out more quickly than a ... See full document