ISE REVIEW

The Effects of Asian Currency Crisis on Financial Institutions: The ISE Experience 
Halil Kıymaz & Osman Kılıç  

Abstract 
This paper aims to investigate the effects of the Asian currency crisis on Turkish financial institutions. The sample consists of 52 financial institutions traded at the Istanbul Stock Exchange during the crisis period. The jump diffusion model is employed to assess the contagious influence on the performances of stocks of institutions. The empirical findings show that the jump process is the dominant feature of all portfolios, indicating that the currency crisis surprised the market participants. Furthermore, there is increased volatility from the non-event period to the event period, suggesting that financial institutions stocks are affected by the crisis.

Forecasting Stock Prices by Using Alternative Time Series Models
Kıvılcım Metin & Gülnur Muradoğlu

Abstract 
The purpose of this paper is to compare the forecast performance of alternative time series models, namely VAR in levels, stochastic seasonal models (SSM) and error correction models (ECM) at the Istanbul Stock Exchange (ISE). Considering the emerging market characteristic of the ISE, stock prices are estimated by using, money supply, inflation rate, interest rates, exchange rates and budget deficits. Then, in an out-of-sample forecasting exercise from January 1995 through December 1995, comparisons will be given as to the performance of alternative forecasting models at different forecast horizons of short, medium and long terms, respectively. Empirical results showed that ECM captures market movements much better.

 The Goals of the Monetary Policy Implementations in Turkey  
Hacer Oğuz  

Abstract
In this paper, monetary policy goals of the Central Bank of the Republic of Turkey and relative weights attributed to them by the Bank are examined statistically for the period covering January 1989-April 1998. For this purpose, initially, a policy response function is constructed for the Bank. By applying Granger causality test and the variance decomposion process on the policy response function, the goals been followed and relative weights been attributed to them are identified. The Granger causality test and variance decomposion process reveals that the objectives of the Turkish Central Bank in monetary policy implementations are to provide the stability of the foreign exchange rate, prices and money supply with relatives weights, respectively. 

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