Determinants of housing inflation in Turkey: a conditional frequency domain causality

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mustafa Kırca ◽  
Şerif Canbay
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Frequency Domain ◽  
Test Results ◽  
Housing Supply ◽  
Causality Test ◽  
Content Type ◽  
Consumer Interest ◽  
Causality Tests ◽  
The Subject

Purpose This study aims to investigate whether changes in consumer interest rate, exchange rate and housing supply have permanent effects on housing inflation in Turkey. Design/methodology/approach For this purpose, data from 2010M01 to 2020M06 and changes in consumer interest rate, exchange rate, housing supply and housing inflation were used. Relationships between variables are analyzed first by the Granger causality tests and then the conditional frequency domain causality tests. The conditional frequency domain causality test specifically reveals the permanent causality between variables, whether there is a permanent effect. Findings According to the Granger causality test results, there are causality relationships from changes in the consumer interest rate and exchange rate to housing inflation. However, there is no causality relationship between housing supply and housing inflation. According to the conditional frequency domain causality test results, there is causality for the permanent and mid-term from changes in the consumer interest rate to housing inflation and causality for the mid-term and temporary from changes in the exchange rate to housing inflation. Additionally, it was found that there are causality relationships between changes in the consumer interest rate and changes in the exchange rate. Research limitations/implications The first limit of the study is that only 2010M01-2020M06 months can be considered. Because the date that variables started common is 2010M01. Besides, there is a limit in the study in variables used. Many variables, both micro and macro, can be added to affect housing inflation. Originality/value Housing inflation is a remarkable issue in Turkey. There is an increase in the number of studies on the subject in recent years. For this reason, the study is trying to contribute by approaching the subject from a different angle. The most important contribution of the study is that it has not been investigated whether the determinants of housing inflation have permanent or temporary effects, which were not done in previous studies. In addition, the method used reveals how many months the effects of changes in exchange rates, consumer interest rates and housing supply on housing inflation last. Based on the findings obtained from the methods, important economic and political implications have been put forward in depth.

scholarly journals The Relationship between Oil Prices and Exchange Rate: The Case of Romania

2013 ◽  
Author(s):  
AHMET ŞAHBAZ ◽  
Uğur Adıgüzel ◽  
Tayfur Bayat ◽  
Selim Kayhan
Keyword(s):  
Exchange Rate ◽  
Frequency Domain ◽  
Oil Prices ◽  
Test Results ◽  
Causality Analysis ◽  
Causality Test ◽  
Crude Oil Prices ◽  
Long Run ◽  
Causality Tests ◽  
The Relationship

This study investigates to causality between crude oil prices and exchange rates in Romania employing monthly data from the beginning of floating exchange regime for November 2004 to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out non-linear causality and frequency domain causality tests. According to nonlinear causality test results there is no causality between the variables. Results show that frequency domain causality results slightly differentiate from the nonlinear causality analysis and imply that there is a causality running from real exchange rate to real oil price on the mediun and long run.

Economic policy uncertainty and stock prices in BRIC countries: evidence from asymmetric frequency domain causality approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mucahit Aydin ◽  
Ugur Korkut Pata ◽  
Veysel Inal
Keyword(s):  
Economic Policy ◽  
Frequency Domain ◽  
Stock Prices ◽  
Policy Uncertainty ◽  
Causality Test ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Bric Countries ◽  
Causality Tests ◽  
Asymmetric Causality

Purpose The aim of this study is to investigate the relationship between economic policy uncertainty (EPU) and stock prices during the period from March 2003 to March 2021. Design/methodology/approach The study uses asymmetric and symmetric frequency domain causality tests and focuses on BRIC countries, namely, Brazil, Russia, India and China. Findings The findings of the symmetric causality test confirm unidirectional permanent causality from EPU to stock prices for Brazil and India and bidirectional causality for China. However, according to the asymmetric causality test, the findings for China show that there is no causality between the variables. The results for Brazil and India indicate that there is unidirectional permanent causality from positive components of EPU to positive components of stock prices. Moreover, for Brazil, there is unidirectional temporary causality from the negative components of EPU to the negative components of stock prices. For India, there is temporary causality in the opposite direction. Originality/value The reactions of financial markets to positive and negative shocks differ. In this context, to the best of the authors’ knowledge, this study is the first attempt to examine the causal relationships between stock prices and uncertainty using an asymmetric frequency domain approach. Thus, the study enables the analysis of the effects of positive and negative shocks in the stock market separately.

The dynamic linkage between exchange rate, stock price and interest rate in India

2017 ◽  
Vol 34 (3) ◽  
pp. 383-406 ◽  
Author(s):  
Malepati Jayashankar ◽  
Badri Narayan Rath
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Price ◽  
Stock Return ◽  
Foreign Exchange Market ◽  
Empirical Relationship ◽  
Discrete Wavelet ◽  
Content Type ◽  
Causality Tests ◽  
The Relationship

Purpose The purpose of this study is to examine linkage between exchange rate, stock return and interest rate for India. Design/methodology/approach Using monthly data from January 2000 to December 2014, this study has scrutinized the linkage between exchange rate, stock return and interest rate using maximum overlap discrete wavelet transform (MODWT) which is very much appropriate when the variables are discrete in nature. Findings Our major findings indicate that the empirical relationship between these variables is not significant at lower scales. As we go on higher scales, there is a clear linkage between them, and three markets are associated with each other. Moreover, the direction and type of the relationship depends on the frequency bands, and finally with the help of Granger causality tests, we established a lead/lag relationship between stock price, exchange rate and interest rate. Research limitations/implications The linkage between stock market, foreign exchange market and money market in case of emerging countries like India is more relevant because negative or positive shocks affecting one market may be transmitted quickly to another through contagious effect. Originality/value Little attention has been given to examine the link between stock return, exchange rate and interest rate in India. This study adopts a more sophisticated MODWT approach for examining the cross-correlation and causality.

scholarly journals Kausalitas Ekspor Indonesia ke Tiongkok dengan Inflasi Indonesia, Suku Bunga Dasar Tiongkok, dan Nilai Tukar Indonesia

2018 ◽  
Vol 6 (4) ◽  
pp. 475-482
Author(s):  
Teddy Aldwin Leonard
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Inflation Rate ◽  
Granger Causality Test ◽  
Test Results ◽  
Causality Test ◽  
Causality Relationship ◽  
The Exchange Rate

Tujuan penelitian ini adalah mengetahui hubungan kausalitas antara total nilai ekspor Indonesia ke Tiongkok dengan tingkat suku bunga Tiongkok, tingkat inflasi Indonesia, dan nilai tukar Rupiah Indonesia terhadap Yuan China. Penelitian ini menggunakan uji kausalitas granger dengan variabel total nilai ekspor Indonesia ke Tiongkok, tingkat inflasi Indonesia, tingkat suku bunga dasar Tiongkok, dan nilai tukar Rupiah Indonesia terhadap Yuan China untuk melihat hubungan kausalitas antar variabel. Hasil uji kausalitas granger menunjukkan hasil bahwa total nilai ekspor Indonesia ke Tiongkok memiliki hubungan satu arah dengan variabel tingkat suku bunga Tiongkok dan variabel nilai tukar Rupiah Indonesia terhadap Yuan China, namun tidak terdapat hubungan kausalitas dengan variabel tingkat inflasi Indonesia. Hubungan satu arah antara total nilai ekspor Indonesia ke Tiongkok dengan tingkat suku bunga Tiongkok adalah total nilai ekspor Indonesia ke Tiongkok menyebabkan perubahan tingkat suku bunga Tiongkok, sedangkan hubungan satu arah antara total nilai ekspor Indonesia ke Tiongkok dengan nilai tukar Rupiah Indonesia terhadap Yuan China adalah nilai tukar Rupiah Indonesia terhadap Yuan China menyebabkan perubahan total nilai ekspor Indonesia ke Tiongkok. The purpose of this study is to know the causality relationship between the total value of Indonesia's exports to Tiongkok with Tiongkok's interest rate, the inflation rate of Indonesia, and the exchange rate of Indonesian Rupiah against the Yuan China. This study uses granger causality test with total variable of Indonesian export value to Tiongkok, Indonesia inflation rate, interest rate of Tiongkok, and Indonesian Rupiah exchange rate to Yuan China to see the relation of causality among variables. Granger causality test results show that the total value of Indonesia's export to Tiongkok has unidirectional relationship with variable of Tiongkok interest rate and variable of Indonesian Rupiah exchange rate to Yuan China, but there is no causality relationship with Indonesian inflation rate variable. The unidirectional relationship between the total value of Indonesia's exports to Tiongkok and the Tiongkok interest rate is the total value of Indonesia's exports to Tiongkok causing a change in the Tiongkok interest rate, while the unidirectional relationship between the total value of Indonesia's exports to Tiongkok and the Indonesian rupiah against the Yuan China is the value The Indonesian rupiah exchange rate against the Yuan China led to a change in the total value of Indonesia's exports to Tiongkok

scholarly journals The drivers of economic growth in China and India: globalization or financial development?

2017 ◽  
Vol 16 (1) ◽  
pp. 54-84 ◽  
Author(s):  
Magda Kandil ◽  
Muhammad Shahbaz ◽  
Mantu Kumar Mahalik ◽  
Duc Khuong Nguyen
Keyword(s):  
Economic Growth ◽  
Financial Development ◽  
Emerging Market ◽  
Annual Data ◽  
Test Results ◽  
Causality Test ◽  
Content Type ◽  
China And India ◽  
Integration Test ◽  
The Impact

Purpose Using annual data from 1970 to 2013 for China and India, this paper aims to examine the impact of globalization and financial development on economic growth by endogenizing capital and inflation and drawing comparisons between the two fastest growing emerging market economies. Design/methodology/approach In the long run, co-integration test results indicate that financial development increases economic growth in China and India. Findings The results also reveal that globalization accelerates economic growth in India but, surprisingly, impairs economic growth in China, as it increases competition for exports. The results furthermore disclose that acceleration in capitalization and inflation, as a proxy for aggregate demand, are positively linked to economic growth in China and India. Originality/value Causality test results indicate that both financial development and economic growth are interdependent. In contrast, causality runs from higher economic growth to increased globalization in India, while the results do not support long-term causality between globalization and economic growth in China.

scholarly journals The Nexus between Export and Economic Growth in Tanzania

2019 ◽  
Vol 1 (2) ◽  
pp. p95
Author(s):  
Romanus L. Dimoso (PhD, Economics) ◽  
UTONGA, Dickson (MSc. Economics)
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Series Data ◽  
Test Results ◽  
Causality Test ◽  
Goods And Services ◽  
Long Run ◽  
Causality Tests ◽  
The Government ◽  
Econometrics Analysis

This study explored the causal relationship between exports and economic growth in Tanzania. It analyzed time series data for the period of 1980 to 2015. Economic growth is measured in terms of growth per cent while exports are measured in percentage change of goods and services sold abroad. Econometrics analysis was employed in the due course. Such procedures as testing for the presence of unit root, co-integration and causality were done. Furthermore, the Johansen co-integration and Granger causality tests were employed to examine the long-run relationship among variables. The results of co-integration indicate the existence of one co-integrating equation. The causality test results exhibited causality which runs from economic growth to exports. The results conclude that, in the long run, there is a relationship between exports and economic growth in Tanzania. This study recommends the Government to make efforts to improve exports and eventually, in the long-run, rejuvenating the economy.

scholarly journals Dynamic Relationship between RMB Exchange Rate and Interest Rate Based on VAR-DCC-GARCH Model

2020 ◽  
Vol 214 ◽  
pp. 03018
Author(s):  
Xuhang Zhao
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Garch Model ◽  
Nominal Exchange Rate ◽  
Practical Significance ◽  
Causality Test ◽  
Dynamic Relationship ◽  
Interest Rate Volatility

Based on the daily data of Shibor and nominal exchange rate from 2006 to 2019, this paper constructs VAR model and uses Granger causality test and impulse response model to analyze the dynamic relationship between exchange rate and interest rate. Based on the DCC-GARCH model, this paper analyzes the correlation between exchange rate volatility and interest rate volatility, and concludes that there is a weak negative correlation between exchange rate and interest rate. Both exchange rate and monetary policy will have an important impact on China’s economic environment, so it is of great practical significance to study the joint impact of exchange rate and monetary policy.

scholarly journals PRICE INTERACTIONS AND CAUSAL RELATIONSHIPS AMONG CORN, EXCHANGE RATE AND ANIMAL PROTEIN SOURCES IN NIGERIA

2021 ◽  
Vol 59 (1) ◽  
Author(s):  
Unekwu Onuche
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Poultry Meat ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Meat Price ◽  
Augmented Dickey Fuller ◽  
Causality Tests ◽  
Short Run ◽  
Adf Test

Price transmissions between corn, exchange rate, poultry meat, and fish were investigated using the data from OECD-FAO for the years 1990-2019, to establish the existence of long-term relationships between them and identify their directions of causality, in order to elicit investmentaiding facts. The augmented Dickey-Fuller (ADF) test, the Johansen cointegration approach and the Granger causality test were employed. Following the ADF test, all series are I(1), while the cointegration test indicates short-run dynamics between them. The Vector Autoregressive (VAR) system reveals that poultry meat price influences all variables, prices of poultry meat and exchange rate relate positively to their own lags, and exchange rate relates positively to lags of poultry meat prices. A positive relationship was noticed between fish price and lags of poultry meat price, while corn price relates positively with lags of poultry meat price. Granger causality tests indicate unidirectional drives from poultry price to fish price, the exchange rate to fish price and poultry meat price to corn price. Responses from prices of fish, corn and poultry to innovations from exchange rate are negative, while positive responses exist in other scenarios. Exchange rate stabilization will mitigate external risks, especially to the fisheries sector, while corn farmers can increase profits in the short-run by exploring knowledge of poultry meat price movements.

Stock prices, exchange rate and interest rate: evidence beyond symmetry

2017 ◽  
Vol 9 (1) ◽  
pp. 2-19 ◽  
Author(s):  
Taufeeq Ajaz ◽  
Md Zulquar Nain ◽  
Bandi Kamaiah ◽  
Naresh Kumar Sharma
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Prices ◽  
Asset Price ◽  
Asymmetric Reaction ◽  
Monetary Policies ◽  
Content Type ◽  
Financial Variables ◽  
Distributed Lag ◽  
Indian Context

Purpose This paper aims to examine the dynamic interactions between monetary and financial variables in the Indian context. Design/methodology/approach In this paper, the authors have applied a recently developed asymmetric autoregressive distributed lag (ARDL) model by Shin et al. (2014), for detecting nonlinearities focusing on the long-run and short-run asymmetries among economic variables. Findings The results point toward the presence of asymmetric reaction of stock prices to changes in interest rate and exchange rate in full sample, as well as in pre-crisis. However, no asymmetry was found in the post-crisis period. The results further suggest that tight monetary policies appear to retard the stock prices, more than easy monetary policies that stimulate them. Practical implications The findings of the study can be helpful in understanding the policy transmission mechanism through asset price channel. Originality/value To the best of the authors’ knowledge, this is the first study that examines the interactions between monetary and financial variables in the Indian context in an asymmetric framework. The findings of this study are quite interesting and are different from several existing studies in the literature.

Cross-border merger and acquisition activities in Asia: the role of macroeconomic factors

2018 ◽  
Vol 35 (2) ◽  
pp. 307-329 ◽  
Author(s):  
Yusnidah Ibrahim ◽  
Jimoh Olajide Raji
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Inflation Rate ◽  
Merger And Acquisition ◽  
The Philippines ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Cross Border ◽  
Asean Countries

Purpose This paper aims to examine the influence of key macroeconomic factors on the inward and outward acquisition activities of six ASEAN (ASEAN: Association of Southeast Asian Nations) countries, namely, Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam, over the 1996-2015 period. Design/methodology/approach The study uses alternative panel data methods, including pooled mean group, mean group and dynamic fixed-effect estimators. Findings The results indicate that gross domestic product (GDP), interest rate, exchange rate, money supply and inflation rate are the most important macroeconomic factors explaining the trends of cross-border mergers and acquisition outflows of the ASEAN-6 countries. Specifically, GDP, money supply and inflation rate have significant positive relationships with acquisition outflows, while interest rate and exchange rate exert significant negative influence. On the other hand, the authors find four significant macroeconomic factors explaining the trends of the inward acquisitions. Essentially, GDP, money supply and inflation rate have significant positive impacts on inward acquisitions, while the impact of exchange rate is negatively significant. Research limitations/implications Unavailability of data limits this study to pool six sample countries from ASEAN, instead of ten representative member countries. Practical implications The results of this study can signal to firms or investors, involving in cross-border mergers and acquisitions, where to direct foreign resources flows. Moreover, having the knowledge about the relative levels of market size and other macroeconomic factors in both home and host countries can be of great importance for investment decision. Therefore, policymakers of ASEAN countries should make appropriate macroeconomic policies that can stimulate inward and outward acquisitions. Originality/value The main contribution of this paper is that it is the first to present the analysis of macroeconomic influences on the trends of inward and outward merger and acquisition activities in six ASEAN countries.

Sign in / Sign up

Export Citation Format

Share Document