Exchange Rate Movements, Inflation Expectations, and Currency Substitution in Turkey, Issues 95-111 |
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35 40 Periodogram 40 Periodogram ordinates analogous available on request band spectrum regression Chow test coefficient estimates cointegration currency denominated assets currency substitution cyclical components domestic and foreign domestic currency econometric economic empirical Engle exchange rate anchor expected inflation foreign currency deposits foreign currency holdings Fourier transform frequency domain methods frequency esclusion function high inflation hypothesis illiquid individuals form rational inflation differential inflation rate inflation tax interest rate INTERNATIONAL MONETARY FUND investor log difference long-run relationship exists long-term investments low frequency components main diagonal McCallum meaningful money balances nominal anchor nominal return ordinates removed starting Pentecost 1994 Periodogram ordinates removed permanent changes permanent components permanent income ratio Ma/Mf real interest rate real returns regression equation regressor Fig risk neutral risk-adjusted return San Diego spectral analysis spectral methods stabilization program stationary stochastic process TL-US transaction costs transaction fees transitory and permanent transitory components variables