Browsing by Author "Berument, M. Hakan"
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Item Open Access The asymmetric effects of crude oil prices and exchange rates on diesel prices for 27 European countries(Sage Publications India Pvt. Ltd., 2021-04-16) Yuksel Haliloglu, E.; Berument, M. HakanMany studies have examined the asymmetric effect of US dollar-denominated crude oil prices on petroleum product prices. The ‘rockets and feathers’ argument suggests that a crude price increase raises petroleum product prices more than a corresponding decrease in crude prices lowers product prices. However, for the countries that do not use the US dollar as a medium of exchange, petroleum product prices are also affected by the exchange rates. This paper analysed the asymmetric effects of both US dollar-denominated crude oil prices and exchange rates on local currency-denominated diesel prices for 27 European countries in the short run as well as long run. The overall empirical evidence suggests that, in the short run, diesel prices react more to crude oil price increases than to a decrease, parallel to the ‘rockets and feathers’ argument. However, contrary to that argument, the long-run adjustment is the opposite. As for exchange rate shocks, again the ‘rockets and feathers’ argument holds and diesel prices respond more to exchange rate depreciation than appreciation in the short and long run.Item Open Access Brent–Dubai oil spread: Basic drivers(Economic Society of Australia Inc., 2021-12) Haliloğlu, E. H.; Şahin, S.; Berument, M. HakanThis study aims to assess and quantify the effects of potential economic drivers on the Brent–Dubai price spread using the time-dependent Kalman filtering technique. To understand the pricing mechanism of crude oils, it is necessary to distinguish the driving forces of the world oil market. The Brent–Dubai price spread is selected as a global indicator representing trends in world oil trade and global economic activities. The estimates suggest that the global economic activities represented by the world trade index, world oil demand, world steel production, the number of world airline passengers and regional dynamics proxied by the growth rate of China over the US and the Euro Area have explanatory power on the Brent–Dubai spread.Item Open Access The day of the week effect and interest rates(Elsevier, 2020) Gayaker, S.; Yalçın, Y.; Berument, M. HakanThe day of the week effect is one of the regularities observed in financial markets which suggests that Friday returns are higher than Monday returns. One of the possible reasons for this regularity is that the date of trade in equity markets is not always the same as the date that payment is made, or the settlement date. The number of days that investors have to wait for payment is higher when that trade is realized on Fridays rather than on Mondays (due to the weekend holidays). Thus, investors have a few more days to use the money in alternative markets when the trade has been realized on Fridays and until the trade is settled on the settlement date. This paper provides empirical evidence that as the return in alternative markets (overnight interest rates) decreases, the day of the week effect decreases. Thus, there should be a positive relationship between the expected relative returns on Friday to Monday and overnight interest rates.Item Open Access Duration of global financial cycles(Elsevier, 2020) Akdi, Y.; Varlık, S.; Berument, M. HakanThe 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.Item Open Access The effects of cross-border electricity trade on power production from different energy sources(Elsevier Inc., 2021-06) Boz, Deniz Ege; Şanlı, B.; Berument, M. HakanIn this study, we provide empirical evidence to emphasize the crucial role of cross-border electricity trade for decreasing the use of fossil fuels in power industries and attaining higher electricity supply from solar and wind energy sources. We collected data for 48 countries across three continents (Americas, Europe and Asia) from 1991 to 2018 to create a world sample that would reflect the diversity of various energy mixes in different electricity markets. We showed the existence of long-term relationships between power production from natural gas, solar, wind and the level of cross-border electricity trade. Later on, we conducted panel data analyses that utilize the fixed-effect approach with interactive variables. The empirical evidence reveals that when electricity production from solar and wind energy sources interacts with cross-border electricity trade, the rate of power production from natural gas decreases statistically significantly. Furthermore, we created efficiency indices for solar and wind energy sources and to provide evidence for the increased utilization of solar and wind electricity production in the presence of cross-border electricity trade. The resulting empirical evidence reveals that for countries with positive economic growth, a rise in the levels of cross-border electricity trade leads to more efficient electricity production from solar and wind energy sources.Item Embargo Effects of US foreign and domestic shocks on US shale oil production across different basins(Elsevier Ltd, 2022-10-09) Ugur, H. K.; Dogan, N.; Berument, M. HakanDevelopments in shale oil production technologies made the US, already the most important oil consumer, an important oil producer and exporter. This paper examines the response of shale oil production across eight production basins in the US to both US domestic and foreign oil demand shocks. The empirical evidence reveals that shale oil production in the Permian basin responds to PADD 3 Exports shocks faster, and Western/Eagle Ford responds more rapidly to Refinery Utilization Rate shocks. On the other hand, the Appalachian basin responses to PADD 3 Exports and Refinery Utilization Rate shocks are slower/weaker than other basins. Moreover, basins closer to the PADD 3 region have stronger responses, whereas basins farther from the PADD3 have weak ones.Item Open Access Exchange rate regime, world oil prices and the Mexican economy(Springer Nature Switzerland AG, 2021-11-11) Osmanbeyoglu, Merve; Dogan, N.; Berument, M. HakanThis paper studies the effects of the exchange rate regime of the Mexican economy on how the oil price shocks affect the domestic economic performance by considering the period from January 1992 to December 2019. The empirical evidence reported here reveals that a positive oil price shock appreciates the local currency, increases interest rates, output, and prices. However, once the exchange rate channel is closed, the interest rate increases, and prices will be higher. However, we could not find any statistically significant evidence of the effect on output changes with the exchange rate regime. Thus, the flexible exchange rate regime may promote price stability when the Mexican economy faces an oil price shock.Item Open Access Exchange rate regime, world oil prices, and the Mexican economy(Bilkent University, 2020-06) Berument, M. HakanThis thesis studies the effects of the exchange rate regime of the Mexican economy on how the oil price shocks affect the domestic economic performance by considering the period from January 1992 to December 2019. The empirical evidence reported here reveals that a positive oil price shock appreciates the local currency, increases the interest rate, output, and prices. Furthermore, once the exchange rate channel is closed, an increase in the interest rate and prices will be higher. However, we could not find statistically significant evidence that the effect on output does change with the exchange rate regime. This conclusion is parallel of a country that has a low level of inflation commitment.Item Open Access A measure of the informal sector for the Turkish diesel market(Taylor & Francis, 2021-07-09) Yaz, H. F.; Dogan, N.; Berument, M. HakanMeasuring the size of the informal diesel market is important for determining tax revenue losses and identifying inefficiencies in tax policies. The conventional ways of assessing the informal sector entail either not allowing the measurement of the size of the informal sector across time or assuming a stable relationship between diesel consumption and a set of economic variables. This study assesses the informal sector of the Turkish diesel market by using the Kalman filter method. This method allows unobserved values to be estimated with observed variables. Using monthly interpolated GDP, official diesel consumption, and the number of diesel motor vehicles, Turkey’s unobserved informal diesel fuel consumption between January 2005 and February 2020 is estimated. The results obtained with this estimation method reveal that the level of informal diesel consumption increased until 2012–2014; it then started to decline at the end of 2014 and started to increase again after 2018. These dates are associated with periods of economic recession, political developments, and the passing of anti-smuggling legislation.Item Open Access Oil price shocks and the composition of current account balance(Elsevier, 2020-02) Varlık, S.; Berument, M. HakanIt is a well-established regularity that permanent oil price shocks do not have a permanent effect on the current account deficit. This requires that sub-components of the current account or trade balance will make the necessary adjustments to accommodate the higher energy bill of a country triggered by permanent crude oil price increases. Empirical evidence gathered from Turkey reveals that, in the long run, balancing the current account is provided by a permanent increase in the net exports of Agricultural Production, Maintenance and Repair Services, Travel, Construction, Financial Services, Compensation of Employees, and Goods under Merchanting (non-tradable components of the current account balance); and a permanent decrease in the net exports of Mining, Fishery, Other Goods for BEC Classification, Investment Income, Manufacturing Services on Physical Inputs Owned by Others, and Transport balances mostly in sectors that use energy heavily in production. All these responses are found to be statistically significant in the more than 24 periods we consider in this study.Item Open Access The switching behavior of large-scale electricity consumers in The Turkish electricity retail market(Elsevier, 2022-01) Erdogan, M. R.; Camgoz, S. M.; Karan, M. B.; Berument, M. HakanThis paper studies the effects of various economic and psychological factors on the switching behavior of large-scale electricity consumers in Turkey. Switching frequency and switching direction are two variables used to analyze switching behavior. The former is concerned with how often retailers change their suppliers. On the other hand, switching direction measures the direction of switching preferences of consumers between two electricity suppliers since the incumbent has a brand advantage over new suppliers that creates inertia and may reduce competition in the market. The target group of this study is large-scale electricity consumers rather than residential consumers since the switching activities of large-scale consumers are more competitive. We employ a five-point Likert scale questionnaire to construct eight psychological and economic factors to explain switching activities. The estimates indicate that improving service quality and providing essential services are the main motivations for switching decisions. Satisfaction with primary services, the homogeneity of the retail electricity market, and switching costs enhance the status quo; however, clarity of contracts and assistance for electricity distribution services (maintenance, metering, billing, etc.) affect the switching activities.Item Open Access Turkish straits and an important oil price benchmark: Urals(International Association for Energy Economics, 2023-07-01) Ayasli, D.E.; Yalcin, Y.; Sahin, S.; Berument, M. HakanThe Turkish Straits is one of the busiest waterways in the World. Around 4% of the world’s crude oil trade passes through the Turkish Straits. We model the CIF Mediterranean price of Urals crude, one of the world’s most critical medium gravity crude brands that passes through the Turkish Straits. The empirical evidence provided here suggests that congestion (measured in terms of the waiting time for entering the Turkish Straits) increases the CIF Mediterranean price of Urals crude up to 5.05% and 3.09% for the İstanbul and Çanakkale straits, respectively. However, similar supporting evidence could be found for neither an important benchmark oil (Brent) nor Iranian Light, which has similar characteristics and can be considered a close substitute for Urals crude in the Mediterranean refinery market. This shows that the Turkish Straits have an important impact on the price of this important medium crude oil in world oil markets.Item Open Access The US shale oil production, market forces and the US export ban(Emerald, 2021-07-26) Taneri, İlayda; Doğan, N.; Berument, M. HakanPurpose – The purpose of this paper is to use the novel data from the primary vision to determine the main financial and economic drivers of this revolutionary shale oil production and how these drivers changed after 2016 when the US removed its oil-exporting ban. Design/methodology/approach – In this paper, the authors use the vector autoregressive model to assess the dynamic relationships among the Frac Count (FSCN) from the primary vision and the set of financial/macro-economic variables and how this dynamic relationship is altered with the effects of the US export ban before and after the lifting of the export ban. Findings – The empirical evidence reveals that a positive shock to New York Mercantile Exchange, Standard and Poor’s 500, rig count, West Texas Intermediate or the US ending oil stocks increase the FSCN but higher interest rates and oil production decrease the FSCN. After the US became one of the major oil producers, it removed its crude export ban in December 2015. The empirical evidence suggests that the shale oil industry gets more integrated with the financial system and becomes more efficient in its production process in the post-2016 era after the export ban was removed. Originality/value – The purpose of this paper is to use the novel data from the primary vision to determine the main financial and economic drivers of this revolutionary shale oil production and how these drivers changed after 2016 when the US removed its oil-exporting ban.