Scholarly Publications - Economics

Permanent URI for this collectionhttps://hdl.handle.net/11693/115479

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Browsing Scholarly Publications - Economics by Author "Akdi, Y."

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    Application of periodogram-based cointegration test for the analysis of the services and goods sector inflations
    (Econometric Research Association, 2010) Metin Ozcan, K.; Akdi, Y.; Kalafatcilar, K.
    The differing dynamics of the inflations of the services and goods sectors has been of major concern in Turkey. The persistence of the services sector inflation during disinflation periods hampered the efforts of the Central Bank of Turkey of hitting inflation targets in a country with long-lasting high inflation experience. In search of a possible long-run relationship between the services and goods sectors’ inflations, this paper employs a method based on periodograms of the series in addition to time series tools. A periodogram-based test has pros over conventional tests; this test is model-free, seasonally robust and mean invariant. Empirical findings obtained from the methods employed in this study, Engle-Granger’s and Johansen’s conventional long-run time series tools as well as periodogram based test, suggest that services and goods sector inflations in Turkey are not cointegrated.
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    Duration of global financial cycles
    (Elsevier, 2020) Akdi, Y.; Varlık, S.; Berument, M. Hakan
    The duration of Global Financial Cycles (GFCs) have a role in the global financial environment which is shaped by the fluctuations in short-term capital flows, changes in monetary conditions in the center economies and co-movement in asset prices. The duration of GFCs for a set of global financial data – the VIX index, the TED spread and the 3-Month LIBOR-Effective Federal Funds Rate – are analyzed by using a periodogram-based method. Our results suggest that there is a 43-month common cycle for these three series. We obtain eight different cycle periods for 43-month common cycles from our sample period.
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    An empirical analysis of Istanbul stock exchange sub-indexes
    (Walter de Gruyter GmbH, 2005) Berument, Hakan; Akdi, Y.; Atakan, C.
    This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes.
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    Estimation and forecasting of PM10 air pollution in Ankara via time series and harmonic regressions
    (Springer, 2020) Akdi, Y.; Okkaoğlu, Y.; Gölveren, E.; Yücel, M. Eray
    In this study, monthly particulate matter (PM10) values in Ankara (39.9334° N, 32.8597° E) from January 1993 to December 2017 are examined. The PM10 are those thoracic particles whose aerodynamic diameter is less than 10 μm (micrometers), and it is of critical health importance due to the penetrability to the lower airways. As an alternative to classical unit root tests, a unit root test primarily based on periodograms is introduced owing to its advantages over alternatives. After examining the stationarity of the series through periodogram-based test as well as its standard rivals, periodic components in the series are examined and it is observed that the series has both periodic and seasonal components. These components are modeled, using the inherent dynamics of a time series alone, within a trigonometric harmonic regression setup, eventually yielding the forecast values for 2018 that turns out to be superior to those obtained by means of ARIMA (autoregressive integrated moving average). This is a striking result since the modeling framework requires no assumptions, no parameter estimations except for the variance of the white noise series, no simulations of the power of tests, no adjustments of test statistics with respect to sample size and no preliminary work as to independent variable which is simply time, i.e., the period of forecast.
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    Modeling and forecasting of monthly PM2.5 emission of Paris by periodogram-based time series methodology
    (Springer, 2021-09-03) Akdi, Y.; Gölveren, E.; Ünlü, K. D.; Yücel, Mustafa Eray
    In this study, monthly particulate matter (PM2.5) of Paris for the period between January 2000 and December 2019 is investigated by utilizing a periodogram-based time series methodology. The main contribution of the study is modeling the PM2.5 of Paris by extracting the information purely from the examined time series data, where proposed model implicitly captures the effects of other factors, as all their periodic and seasonal effects reside in the air pollution data. Periodicity can be defined as the patterns embedded in the data other than seasonality, and it is crucial to understand the underlying periodic dynamics of air pollutants to better fight pollution. The method we use successfully captures and accounts for the periodicities, which could otherwise be mixed with seasonality under an alternative methodology. Upon the unit root test based on periodograms, it is revealed that the investigated data has periodicities of 1 year and 20 years, so harmonic regression is utilized as an alternative to Box-Jenkins methodology. As the harmonic regression displayed a better performance both in and out-of-sample forecasts, it can be considered as a powerful alternative to model and forecast time series with a periodic structure.
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    The relationship between different price indexes: a set of evidence from inflation targeting countries
    (I O S Press, 2006) Akdi, Y.; Berument, Hakan; Cilasun, S. M.; Olgun, H.
    The possible long-run relationships between the Consumer Price Index and the Wholesale Price Index are analyzed for three inflation targeting countries - Canada, Sweden and the UK - using three different statistical techniques. The Engle-Granger test finds cointegration only for Sweden. The Johansen's test and the model-free and seasonality robust periodogram based test conclusively show that the two price indexes are not cointegrated in the three countries included in the sample. Hence, the values of these indexes may consistently diverge over time. However, the two price indexes move together in the short run. These findings have some implications for the success of inflation targeting monetary policies. © 2006 - IOS Press and the authors. All rights reserved.
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    The relationship between different price indices: evidence from Turkey
    (Elsevier BV, 2006) Akdi, Y.; Berument, Hakan; Cilasun, S. M.
    A possible relationship between the Consumer Price Index and the Wholesale Price Index has been analyzed for long and short-run relationships. Conventional Engle and Granger [Estimation Test Econ. 55(1987) 2251-276] and Johansen's [J. Econ. Dyn. Control 12 (1988) 231-254] cointegration tests give mixed evidence for a possible long-run relationship between those two series. The model-free and seasonally robust periodogram-based test fails to reject the null of no-cointegration relationship. However, these two series move together in the short run. © 2005 Elsevier B.V. All rights reserved.