Causal relationships between financial markets: the case of Turkey
Benamraoui, A., Caglayan, E. and Yasgul, Y.S. 2010. Causal relationships between financial markets: the case of Turkey. Middle Eastern Finance and Economics. 6, pp. 41-49.
Benamraoui, A., Caglayan, E. and Yasgul, Y.S. 2010. Causal relationships between financial markets: the case of Turkey. Middle Eastern Finance and Economics. 6, pp. 41-49.
Title | Causal relationships between financial markets: the case of Turkey |
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Authors | Benamraoui, A., Caglayan, E. and Yasgul, Y.S. |
Abstract | This study aims to test causal relationship between financial markets of Turkey in the pre-crises and post-crises periods and to determine the similarities and differences of these markets in these periods. The bounds testing approach used in this study follows an autoregressive distributed lag framework which can be used to infer direction of causality and therefore examine the determination of general tendencies of relations between foreign exchange market, money market and stock market prior to the financial crises; and after the financial crises. The periods of crises are determined by calculating the exchange market pressure index. The findings show that there is causal link running from interest rates to exchange rate in the both pre-crises periods. It also found that bi-directional causality between interest rates and foreign exchange rate in the post-crises period. |
Journal | Middle Eastern Finance and Economics |
Journal citation | 6, pp. 41-49 |
ISSN | 1450-2889 |
Year | 2010 |
Publisher | EuroJournals |
Publication dates | |
Published | 2010 |
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