This paper aims to examine the spillovers from stock prices onto consumption and interest rate for Turkey by using a time-varying vector autoregressive model with stochastic volatility. A three-variable time-varying vector autoregressive model is estimated to capture the time-varying nature of the macroeconomic dynamics in the Turkish economy between real consumption, nominal interest rate and real stock prices. In order to obtain the macroeconomic dynamics in a small open economy, the data covers the period 1987:Q1 until 2013:Q3 in Turkey. The sample data is gathered from the official website of Central Bank of the Republic of Turkey. Overall, this study provides the evidence of significant time-varying spillovers on consumption and interest rate coming from the stock market during financial crises and implications of monetary policy in Turkey. In addition, a time-varying vector autoregressive model with stochastic volatility offers remarkable results about the impact of price shock on consumption levels in Turkey.
The study aims to examine the effects of spillovers from stock prices on consumption and interest rates in Turkey. From the circular economy viewpoint, there should be sustainable consumption to achieve sustainable development with the help of consumers and other stakeholders. A time-varying vector autoregressive (TVP-VAR) model with stochastic volatility is used in the study. The aim is to obtain dynamics that stimulate growth, development, recession or change within the Turkish economy according to the emphases on circular economy. In order to analyze the relationship between real consumption, nominal interest rate and real stock prices, the TVP-VAR model is specified as a three-variable, time-varying model. The sample data that have been gathered from the Central Bank of the Republic of Turkey cover the period between Q1 1987 and Q3 2013. Overall, this study provides significant evidence of spillovers on consumption and interest rate during financial crises in Turkey, and the implications of monetary policy. In addition, the TVP model with stochastic volatility offers remarkable results regarding the influence of price shock on consumption in Turkey. However, we do not find any significant effect from interest rate to real consumption.
Asset markets and the asset prices affect financial institutions, consumers, producers and policy makers while they are making decisions. There is an important relationship not only between the financial market and banking system but also between the housing market and the credit market. Therefore, the study analyzes the impact of fiscal policy on asset prices by using beyasian vector autoregressive models. The sample data has been gathered from the Central Bank of the Republic of Turkey. The aim is to demonstrate the effects of fiscal policy shocks on stock prices and housing prices. The data covers the period between 1988:Q1 and 2014:Q2. Overall, the results confirm that the spending shocks coming from fiscal policy have a greater influence on the stock prices. In addition, the government revenue shocks are more influential on the house prices compared to the stock prices in Turkey.
This study investigates the relative importance of various shocks in accounting for output fluctuations in the Middle East and North Africa (MENA) countries. The macroeconomic shocks are decomposed into country-specific, regional, and global sources by using a small open economy structural vector autoregression (SVAR) model. In order to explain output volatility in Middle East and North Africa, the relative importance of each shock in 15 MENA countries is identified in this study. The results show that country-specific factors account for most of the output volatility in the region. For less than half of the countries in the region, global shocks play a significant role in explaining output volatility. Contrary to some findings in the empirical literature, especially on Sub-Saharan Africa, the regional factor does not seem to have a statistically significant impact in any of the countries under consideration. The results are uniform and no statistically significant difference is observed for the countries in the MENA region. Furthermore, oil-exporting and oil-poor countries in the sample do not show any noticeable difference.
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