Central Bank Review

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ISSUES CENTRAL BANK REVIEW ISSUES Choose issue to view: Volume:7, Number:1 - January 2007Volume:6, Number:2 - July 2006Volume:6, Number:1 - January 2006Volume:5, Number:2 - July 2005Volume:5, Number:1 - January 2005Volume:4, Number:2 - July 2004Volume:4, Number:1 - January 2004Volume:3, Number:2 - July 2003Volume:3, Number:1 - January 2003Volume:2, Number:2 - July 2002Volume:2, Number:1 - January 2002Volume:1, Number:1 - May 2001 January 2007 Volume:7, Number:1 Testing Integration between the Major Emerging Markets Author(s): Pınar Evrim Mandacı, Erdost Torun Abstract: This study examines the stock market integration between major emerging markets in different regions of the world, namely, Turkey, Russia, Brazil, Korea, South Africa, and Poland. The study employs a variety of co-integration tests; i.e., Engle-Granger (EG) (1987), Johansen (1988), Johansen and Juselius (1990), the Bounds test (Pesaran et al) (2001) to measure the long-term relationship, and Granger causality approach for the short-term relationship between those markets. The results unfolded that between Brazil and Polish markets long and short-term relationship could be diagnosed through the aforementioned tests save the Bounds test; whilst the same Bounds test confirmed the existence of a significant co-integration between Russian and Korean stock markets. JEL Classification Codes: G15, F21, C32. Keywords: Stock Markets, Co-integration, Diversification. URL: http://www.tcmb.gov.tr/research/cbreview/jan07-1.pdf Evaluating the Maastricht Convergence Criteria for New Prospective European Union Members Author(s): Vesile Kutlu, Neşe Kavrukkoca Abstract: This paper aims to assess the macroeconomic condition of the four new prospective members, which are Turkey, Croatia, Bulgaria, and Romania, depending on four Maastricht Convergence Criteria in order to determine which candidate is ready to join EMU. We use cointegration approach to analyze cointegrating relations among inflation rates, interest rate, deficit-to-GDP, and debt-to-GDP ratios of four candidates in relation to Germany. Bounds Testing and Engle-Granger Cointegration Approach are applied to all criteria to test convergence. None of the convergence criteria for Turkey and Romania in relation to Germany has been achieved. On the other hand, there is evidence of nominal convergence between Croatia and Germany in terms of deficit-to-GDP ratio and interest rates. Also, there is cointegration between deficit-to-GDP ratio of Bulgaria and that of Germany. JEL Classification Codes: E58, F15, F36, O57, C32. Keywords: Convergence, Engle-Granger, Bounds Testing. URL: http://www.tcmb.gov.tr/research/cbreview/jan07-2.pdf