A Nonlinear New Approach to Investigating Crisis: A Case from Malaysia

In this paper, we have investigated the effects of Asia 97 crisis on Malaysian stock exchange market by using a nonlinear approach which gives a detailed analysis with respect to linear counterparts. Specifically, we are using generalized impulse response function (GIRF) in order to see the effects of crisis on stock indices. In order to employ GIRF analysis, we need further investigation on potential nonlinearities in conditional mean and variance equation for Malaysia stock market. Specifically, we use STAR-STGARCH family models for modeling daily returns of the Investable and Non-Investable Malaysia stock indices, covering the period 1995.06.30-2003.09.05. The analysis of this paper shows that individual markets of Malaysia have strongly been affected from the Asia 97 crisis. In addition, the Asia 97 crisis has increased the variability of the Malaysia stock market and affected foreign investors more than the domestic investors.STAR-STGARCH, Generalized Impulse Response Function. 1997 Asia Crisis, stock markets

The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey

This study investigates whether the term structure of interest rates contains useful information about future real economic activity and inflation in Turkey during the 1991:7-2004:3 periods. In order to analyze these relationships, we have employed the Generalized Impulse Response (GIRF) analysis to the Logistic Smooth Transition Vector Autoregressive (LSTVAR) model. We have determined that the results of a GIRF analysis are consistent with the recursive Chow test and parameter stability tests. Besides, we have found out that the relationships between spread-real economic activity and spread-inflation are negative. These negative relationships have also been examined by GIRF analysis; because of a negative reverse relationship between Expectation Hypothesis and Interest Transmission Channel, a negative correlation between real economic activity and spread has occurred.Term Structure of Interest Rates; Monetary Policy; LSTVAR; GIRF; Real Economic Activity; Inflation

The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence

In this paper, we propose a nonlinear multivariate GARCH-M model. We have illustrated the actual modelling by applying the models to inflation and output growth variables and found that the effects of real and nominal uncertainties are regime-dependent.Nonlinear multivariate GARCH-M, STVAR-GARCH, inflation, growth, uncertainty

The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries

In this paper, we examine causal relationships among inflation rate, output growth rate, inflation uncertainty and output uncertainty for ten Central and Eastern European transition countries. For this purpose, we estimate a bivariate GARCH model that includes output growth and inflation rates for each country. Then we use conditional standard deviations of inflation and output to proxy nominal and real uncertainty, respectively, and perform Granger-causality tests. Our results suggest that inflation rate induces uncertainty about both inflation rate and output growth rate, which is detrimental for real economic activity. On the other hand, we find that output growth rate reduces macroeconomic uncertainty in some countries. In addition, we also examine and discuss causal relationships among remaining variables.Inflation, output growth, uncertainty, Granger-Causality tests, transition countries

A nonlinear estimation of monetary policy reaction function for Turkey

In this paper we have estimated the monetary reaction function of the Central Bank of Republic of Turkey. The originality of the paper is that we have used smooth transition functions (STR) that allow for proper modelling of nonlinearities and asymmetries in the relationship between variables under consideration. The estimated models suggest that the backward-looking instead of foreward-looking models best characterise the CBRT’s reaction function, that is, the CBRT reacted to past inflation rates rather than to future rates. This finding is in conformity with earlier research. We have found that the main purpose of expansionary policy of the CBRT is to stabilise output whereas contractionary policies aimed only at reducing the inflation rate. The fact that the CBRT has disregarded inflation in conducting expansionary policy and focused only on output stabilisation may explain why the CBRT was not successful in fighting inflation. Besides, neither in expansionary policy regime nor in contractionary policy regime, real exchange rate is not targeted by CBRT. Moreover, budget deficit is targeted only in the contractionary policy regime.para politikası reaksiyon fonksiyonu; STR modeli; asimetri; IV teknigi.

Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests

In this paper we address efficiency of eight transition stock markets, namely, Bulgarian, Chinese, Czech, Hungarian, Polish, Romanian, Russian and Slovakian stock markets by testing whether the price series of these markets contain unit root. For this purpose we employ the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) that has a better power than standard unit root tests when series under consideration are characterised by a slower speed of mean reversion. The results of nonlinear unit root tests indicate that only Bulgarian, Czech, Hungarian and Slovakian price series contain unit root, consistent with weak form efficiency.Market Efficiency, Non-linear models, transition markets

Testing Weak Form Market Efficiency for Emerging Economies: A Nonlinear Approach

In this paper, we address weak form stock market efficiency of Emerging Economies, by testing whether the price series of these markets contain unit root. Nonlinear behavior of stock prices is well documented in the literature, and thus linear unit root tests may not be appropriate in this case. For this purpose, we employ the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) and nonlinear panel unit root test Ucar and Omay (2009) that has a better power than standard unit root tests when series under consideration are characterized by a slower speed of mean reversion. Large power gains are achieved through combining cross-sectional information and nonlinear estimation techniques in computing unit root tests. The results of ADF and PP indicate that Bulgarian, Greek, Hungarian, Polish, Romanian, Russian, Slovenian and Turkish stock markets are weak form efficient, while the results of nonlinear unit root test implies that Russian, Romanian and Polish stock markets are not weak form efficient. Moreover, the linear panel unit root test suggest that this group as all efficient where as nonlinear panel unit root test suggest as a group they are not efficient.Keywords: Linear and Nonlinear Unit root and Panel Unit Root, Emerging Markets, Market Efficiency

RELEVANSI KURIKULUM TEKNIK KOMPUTER DAN JARINGAN DENGAN TUNTUTAN SKKNI

Penelitian ini dilatar belakangi oleh perkembangan angka pengangguran lulusan SMK paling tinggi dibandingkan dengan lulusan sekolah lainnya. Yang terbanyak dan pesat perkembangan kompetensi keahlian di SMK adalah teknik komputer dan jaringan. Ironisnya, fakta di lapangan, angka penjualan Handphone, komputer, Laptop dan smartphone mengalami pertumbuhan secara signifikan. Selain itu pemakaian internet di perkantoran, perumahan dan perusahaan begitu menjamur karena sudah menjadi kebutuhan sehari-hari. Oleh karena itu, peneliti tertarik untuk melihat dan mengetahui bagaimana relevansi kurikulum teknik komputer dan jaringan SMK Al-Falah dengan tuntutan kompetensi dunia usaha/dunia industri (DU/DI) yang direfresentasikan melalui SKKNI. Fokus dari penelitian ini mengenai empat aspek, yaitu: Bagaimana relevansi tujuan, isi, proses dan evaluasi kurikulum dengan tuntutan SKKNI. Dari latar belakang tersebut, tujuan dari penelitian ini ialah; mengetahuai relevansi tujuan, isi, proses dan evaluasi kurikulum dengan tuntutan SKKNI. Metode penelitian yang digunakan adalah metode evaluasi kualitatif. Dengan menggunakan instrumen berupa observasi lapangan, wawancara dan dokumentasi. Subjek Penelitian ini ialah Kepala Sekolah, Wakil Kepala sekolah bidang Kurikulum, Guru produktif serta alumni. Hasil penelitian menunjukan bahwa (1) tujuan KTSP SMK Al-Falah dengan tuntutan SKKNI terbukti relevan walaupun perlu ada penyempurnaan rumusan tujuan lebih detail dan spesifik. (2) isi KTSP SMK Al-Falah dengan tuntutan SKKNI sebagian ada yang relevan, relevan tapi tidak spesifik dan tidak relevan, (3) proses KTSP SMK Al-Falah dengan tuntutan SKKNI terbukti relevan dalam hal strategi mengajar, media dan urutan kompetensi tetapi masih kurang spesifik, (4) evaluasi KTSP SMK Al-Falah dengan tuntutan SKKNI dalam hal kriteria unjuk kerja, jenis evaluasi, rumusan kompetensi terbukti relevan tetapi kriteria unjuk kerja tidak detail, jenis evaluasi terlalu menekankan kognitif dan rumusan kompetensi tidak rinci.;--- The background of this research is due to the development of unemployment vocational graduates is the highest compared with other school graduates. One of the most majors at Vocational school is computer and network engineering. While the development of information technology is so fast including the trading of computer, mobile etc. Therefore, the researchers were interested in knowing how curriculum relevance of computer and network engineering of SMK Al-Falah on the demands of industrial competencies refresented by SKKNI. The focus of this research is on four aspects, namely: How relevant is purpose, content, process and evaluation of curriculum on the demands of industrial competencies. The purpose of this study is; to know the relevance of the objectives, contents, process and evaluation of curriculum on the demands of SKKNI competencies. The used method is a qualitative evaluation method using many instruments such as observation, interviews and documentation. This research subject is the Principal, Vice Principal areas of curriculum, computer teachers and alumni. The results showed that (1) the purpose of the SMK Al-Falah curriculum on the demands of SKKNI competencies is proven to be relevant although there needs to be improvement of the formulation to be more detailed and specific objectives. (2) the content of the curriculum of SMK Al-Falah on demands of SKKNI competences is most existing relevant, relevant but not listed, relevant but not yet matched, and relevant but less specific (3) the process of the curriculum of SMK Al-Falah on the demands of SKKNI competencies is proven to be relevant in terms of teaching strategies, media and sequences but still less specific competence.(4) evaluation of the curriculum SMK Al-Falah on the demands of SKKNI competencies in terms of performance criteria, the type of evaluation, formulation of competencies are proven to be relevant but the performance criteria is not detail, the type of evaluation is stressing on cognitive skill, and the formulation of competence is not detailed

The relationship between output growth and inflation: Evidence from Turkey

In this study, a bi-variate Generalized Autoregressive Conditional Heteroscedasticty model is used in order to investigate the Granger causality relationships between output growth, inflation rate and their uncertainties. Our test results show that the existence of Granger-causality is observed from nominal uncertainty to inflation, from nominal uncertainty to real uncertainty, from output growth to real uncertainty, from output growth to nominal uncertainty and from inflation to nominal uncertainty. These findings prove that theoretical predictions of Cuikerman and Meltzer (1986), Okun (1971) and Friedman (1977) are valid for the period 1986:6-2007:1 for Turkey. On the other hand, ‘Short-run Phillips Curve’ and ‘Taylor Effect’ have proven empirically to be invalid for Turkey for this sample period. Moreover, we deduce that Turkish inflation is affected by the output growth through the nominal uncertainty channel.Inflation; output growth; uncertainty; Granger-Causality; bi-variate GARCH.