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A Vector Auto-Regressıve (VAR) Model for the Turkish Financial Markets

Selçuk Bayracı (), Yakup Ari and Yavuz Yildirim

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we develop a vector autoregressive (VAR) model of the Turkish financial markets for the period of June 15 2006 – June 15 2010 and forecasts ISE100 index, TRY/USD exchange rate, and short-term interest rates. The out-of-sample forecast performance of the VAR model is compared with the results from the univariate models. Moreover, the dynamics of the financial markets are analyzed through Granger causality and impulse response analysis.

Keywords: multivariate financial time series; vector auto-regressive (VAR) model; impulse response analysis; Granger causality (search for similar items in EconPapers)
JEL-codes: C51 C01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ara, nep-for and nep-mic
Date: 2011-04-24
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