Browsing by Author "Özlale, Ü."
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Item Open Access An alternative method to measure the likelihood of a financial crisis in an emerging market(Elsevier BV, 2007) Özlale, Ü.; Özcan, K. M.This paper utilizes an early warning system in order to measure the likelihood of a financial crisis in an emerging market economy. We introduce a methodology, where we can both obtain a likelihood series and analyze the time-varying effects of several macroeconomic variables on this likelihood. Since the issue is analyzed in a non-linear state space framework, the extended Kalman filter emerges as the optimal estimation algorithm. Taking the Turkish economy as our laboratory, the results indicate that both the derived likelihood measure and the estimated time-varying parameters are meaningful and can successfully explain the path that the Turkish economy had followed between 2000 and 2006. The estimated parameters also suggest that overvalued domestic currency, current account deficit and the increase in the default risk increase the likelihood of having an economic crisis in the economy. Overall, the findings in this paper suggest that the estimation methodology introduced in this paper can also be applied to other emerging market economies as well. © 2007 Elsevier B.V. All rights reserved.Item Open Access Analyzing time-varying effects of potential output growth shocks(Elsevier BV, 2008) Özlale, Ü.; Özbek, L.Employing a state space model, we find for the United States economy that potential output growth rate can deviate from its steady state level for substantially long periods. (c) 2007 Elsevier B.V. All rights reserved.Item Open Access Assessing selectivity and market timing performance of mutual funds for an emerging market: the case of Turkey(Routledge, 2008) İmişiker, S.; Özlale, Ü.This paper derives and analyzes the selectivity and market timing performance of the mutual funds for the Turkish economy for the financial crisis period by employing high-frequency data. The determinants of these derived abilities are investigated within a regression analysis. The results suggest weak evidence about selection ability and some evidence about superior market timing quality. They also indicate that management fees are negatively correlated with the ability measure, which is quite surprising. Experience emerges as an important factor, especially for market timing ability. Copyright © 2008 M.E. Sharpe, Inc. All rights reserved.Item Open Access Coordination between monetary policy and fiscal policy for an inflation targeting emerging market(Pergamon Press, 2010) Aktas, Z.; Kaya, N.; Özlale, Ü.Several studies including Blanchard (2004) and Favero and Giavazzi (2004) imply that in emerging market economies, a tight monetary policy within an inflation-targeting framework could actually increase the price level due to the lack of fiscal discipline and the associated high risk premium. We extend their arguments in two ways. First, we introduce a semi structural model with time-varying parameters, where the risk premium is 'unobserved' and it is derived within the system. Such an approach fits better with the volatile nature of emerging market economies by allowing us to track down the time-varying effects of macroeconomic dynamics on both the model-consistent risk premium and the other key variables. Second, we obtain impulse response functions and analyze the implications of a tight monetary policy on major macroeconomic variables. Taking the Turkish economy as our reference point, we find that the arguments of Blanchard (2004) and Favero and Giavazzi (2004) seem to be valid. © 2009 Elsevier Ltd. All rights reserved.Item Open Access The effectiveness of foreign exchange interventions under a floating exchange rate regime for the Turkish economy: a post-crisis period analysis(Routledge, 2006) Akinci, Ö.; Çulha, O. Y.; Özlale, Ü.; Şahinbeyoǧlu, G.The reported study has two purposes: first, it attempts to improve the literature on foreign exchange interventions of the central banks for the emerging market economies, an area not previously studied in detail. The Turkish economy in the post-crisis period constitutes a good example in this context. Second, it proposes a new methodology, a time-varying parameter model, to analyse the effectiveness of the foreign exchange interventions. When the results from such an exercise are compared with those obtained from an event-study analysis, it is found that purchase-based interventions seem to be successful, especially after stabilization of the financial markets. In that sense, an asymmetry is detected regarding the effectiveness of interventions. Concerning the relationship between interest rates and exchange rates, it is found that the uncovered interest rate parity condition operates in an unconventional way, supporting the views put forward by recent emerging markets literature. © 2006 Taylor & Francis.Item Open Access Effects of macroeconomic dynamics on stuck returns: case of Turkish stock exchange market(Statistical Economic and Social Research and Training Centre for Islamic Countries, 2005) Erdoğan, E.; Özlale, Ü.This study analyses the effects of macroeconomic dynamics on the Turkish Stock Exchange Markets by using a time varying parameter model with GARCH specification.Item Open Access Measuring exchange rate misalignment in Turkey(Routledge, 2004) Özlale, Ü.; Yeldan, E.Turkey has embarked an extensive dis-inflation and stabilization program in December 1999. The programme exclusively relied on a nominally pegged (anchored) exchange rate system for dis-inflation and on fiscal austerity. In February 2001, however, Turkey experienced a severe financial crisis which necessiated the dismantling of the exchange rate anchor and a switch to a regime of free float. This article proposes a new methodology to measure exchange rate misalignment for Turkey over the period January 1992 to December 2001. In a single equation framework, the model estimates the real exchange rate within a time varying parameter model, where a return-to-normality assumption about the parameters is assumed. Contrary to common belief, it is found that, except the initial four months of the stabilization programme, the Turkish lira remained undervalued for most of 2000. Also, one observes a pattern where the lira has been overvalued after the financial crisis of 1994 until 1998, and has displayed a tendency of undervaluation after then. © 2004 Taylor and Francis Ltd.