ISE REVIEW

Testing Volatility Asymmetry in Istanbul Stock Exchange  

Cem Payaslıoğlu

Abstract

In this paper three different models of daily stock return volatility in the Istanbul Stock Exchange (ISE) are estimated and compared. The mean model is represented by stock return variable predicted by a MA (1) term, the day-of-the week (Monday) dummy and the risk term which is the time-varying conditional variance with three alternative specifications: These are standard garch-m (1,1), egarch-m (1,1) and tgarch-m (1,1) models. The latter two incorporate leverage effect into the model. Choice of the appropriate volatility model is determined by inspecting level and squares of the standardized residuals. In addition to the traditional model selection criteria diagnostic tests of Engle and Ng (1993) paper are also utilized. Estimation results revealed that 1) the asymmetry component in the leverage models are not significant. 2) Portmanteau statistics did not discriminate among the models. 3) All models passed the diagnostic tests successfully. These findings point to the necessity of further research with special consideration of other garch extensions in particular: t-distributed versions as well as non-parametric alternatives need to be studied.

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Monetary Transmission and Bank Lending in Turkey

Lokman Gündüz

Abstract 

This paper analyses the role of bank lending in the monetary transmission mechanism in Turkey. We present evidence from a VAR-model estimated with monthly aggregate data covering the period 1986-1998. We find some evidence for the existence of the bank lending channel, though inadequate given the identification problem. We observe that following a monetary contraction, aggregate bank credit and securities holdings of the banks decline immediately much more than the money (deposits) does. The timing of impulse responses of the credits and output, and the results of variance decomposition seem to favour bank lending view. Moreover our results are also consistent with the traditional interest rate channel and the exchange rate channel.

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Deseasonalizing Macroeconomic Data: A Caveat to Applied Researchers in Turkey

C. Emre Alper  S. Borağan Aruoba

Abstract 

This paper analyzes the effects of regular seasonal fluctuations of macroeconomic variables in Turkey due to the religious events (religious holidays and Ramadan)[1] in monthly frequency. Conventional deterministic deseasonalization techniques are applied to the detrended and linearized major macroeconomic series. Investigation of the seasonally filtered series reveals residual seasonal regularities vis-à-vis the religious holidays and Ramadan  for some of the series. Consequences of ignoring this type of seasonality are also scrutinized.

[1] According to the Hegirian Calendar.

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