Browsing by Author "Berument, Hakan"
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Item Open Access1680-1747 Ottoman budgets and deficits sustainability in a period of fiscal transition: wars and administrative changes(American Economic Association, 2006) Berument, Hakan; Ocaklı, N.; Berument, HakanThis paper studies the sustainability of the Ottoman budget for the period from 1680 to 1747, during different sultanates and war eras. Moreover, we investigate whether the relationship between government revenues and expenditures changes in the period of culus. The empirical evidence gathered in this paper suggests that during the sample period, except for the sultanate era of Mahmut I, the Ottoman budget was not sustainable. The other interesting result of the study is that culus payments had a significant tax increasing effect. Moreover, the distribution of culus deteriorated the sustainability of budget. Item Open AccessAssessing the effects of a policy rate shock on market interest rates: interest rate pass-through with a FAVAR model–the case of Turkey for the inflation-targeting period(2018-07-29) Ceylan, N. B.; Berument, Hakan; Varlik, S.; Berument, HakanThe purpose of this paper is to investigate the effectiveness of the central bank’s policy rate on market interest rates in Turkey for the inflation-targeting period. Empirical evidence suggests that (i) all interest rates respond to a positive policy rate shock positively for all periods and have a hump shape for government debt security yields as well as for domestic-currency‒ and foreign-currency‒denominated time deposit interest rates; (ii) as maturities increase, the responses of all interest rates to the policy shock increase; (iii) the responses to the policy shock of credit interest rates with higher demand elasticity and longer maturity, such as vehicle and housing rates, is lower than those of others that we consider and (iv) the interest-rate responses of foreign-currency‒denominated commercial credits are lower than those of domestic-currency‒denominated commercial credits. Item Open AccessAsymmetric effects of central bank funding on commercial banking sector behaviour(Taylor & Francis, 2019-02) Şahin, A.; Berument, Hakan; Berument, HakanIn this paper, we assess the effects of Central Bank Funding (C.B.F.) on commercial bank lending behaviour by using weekly Turkish data from 7 January 2011 to 5 June 2015. To be specific, using the Nonlinear Autoregressive Distributed Lag Error Correction Model, we assess the effects of C.B.F. provided daily by the Central Bank of the Republic of Turkey through Open Market Operations to financial markets. Our empirical evidence reveals that for all types of lending, an increase in C.B.F. (which has a higher cost for commercial banks relative to alternatives) forces commercial banks to borrow from higher-cost channels, i.e., we find that increasing C.B.F. discourages commercial bank lending. We also find that decreases in C.B.F. that proxy what commercial banks can borrow more cheaply from alternative sources increase commercial bank lending. However, increasing C.B.F. is more effective than decreasing C.B.F. for Total Bank Loans, Total Credit Cards and Automobile Loans, and decreasing C.B.F. is more effective in the short run for Consumption Loans, Housing Loans and Commercial Loans: short-run asymmetry. Therefore, we can report only limited support for long-run asymmetry, and consequently, claim that there is magnitude (an increase versus decrease in C.B.F.) and category asymmetry (across different lending categories). Item Open AccessAsymmetric effects of monetary policy shocks on economic performance: empirical evidence from Turkey(Routledge, 2016) Ülke, V.; Berument, Hakan; Berument, HakanThis study investigates the asymmetric effects of monetary policy shocks on the macroeconomic variables of exchange rate, output and inflation for an emerging economy ‒ Turkey ‒ by using monthly data between 1990 and 2014. We employ the innovative nonlinear vector autoregressive model of Kilian and Vigfusson (2011), which allows us to observe the effect of different stances (tight or loose) and different sizes (small or large) of monetary policy actions. Our empirical evidence reveals that tight monetary policy, which, in this case, is captured with a positive shock to interest rate, decreases exchange rate, output and prices, as economic theory suggests. Loose monetary policy, which is captured with a negative shock to interest rate, has the opposite effect on these variables. However, the effects of loose monetary policy are weaker than the effects of tight monetary policy because loose monetary policy shocks are less effective than tight monetary policy shocks. Moreover, as the magnitude of a shock increases, the difference between the effects of tight and loose monetary policy policies also increases. © 2015 Taylor & Francis. Item Open AccessCentral Bank independence and financing government spending(Elsevier BV, 1998) Berument, Hakan; Berument, HakanThis paper incorporates the effect of the central bank's independence into the government's optimum financing model. When the implications of the hypotheses are tested for eighteen OECD countries, this paper shows that countries with higher levels of central bank independence generate less seigniorage revenue. Item Open AccessCentral bank independence, government political orientation and optimum government expenditure financing(Wiley-Blackwell Publishing Ltd., 2002) Berument, Hakan; Önder, A. Ö.; Berument, HakanThis paper extends the government optimum expenditure financing model by incorporating the effects of both the government's political orientation and the central bank's independence. For the panel data of fourteen OECD countries for the period from 1974 to 1997, this paper shows first that countries with higher levels of central bank independence generate less seigniorage revenue, and second that governments which are controlled by left-wing parties create more seigniorage revenue to finance their spending. Item Open AccessThe centre and periphery relations in international stock markets(Routledge, 2006) Berument, Hakan; Dinçer, N.; Olgun, H.; Berument, HakanEncouraged by the findings of the recent studies it is argued that a kind of centre-periphery relation has been emerging between the equity markets of the developed and less developed countries. To test the argument the VAR model is employed with block exogeneity. Empirical results show that S&P500 returns, representing the centre, affect the equity markets of the emerging markets either instantaneously or with a time lag depending on their geographical location. Item Open AccessA century and three-quarters of bank rate and long-term interest rates in the United Kingdom(Wiley-Blackwell Publishing Ltd., 2017) Berument, Hakan; Cabezon, E.; Froyen, R.; Berument, HakanOver the years from 1844 to 2013, the United Kingdom had several distinct monetary policy regimes. This paper examines the relationship between the Bank of England policy rate and UK long-term rates in each regime. Our starting point is R. G. Hawtrey's A century of Bank Rate, which focused mainly on the classical Gold Standard. We also examine the Interwar years, post-Second World War years of policy by discretion and the recent regime of inflation targeting. We find that policy regimes that firmly anchor inflationary expectations result in long-run interest rates becoming less responsive to changes in monetary policy rates. This suggests a conflict between a regime that anchors inflationary expectations and one that allows a central bank to have significant effects on long-term rates via a short-term policy rate. © 2017 John Wiley & Sons Ltd Item Open AccessThe choice of monetary policy tool(s) and relative price variability: evidence from Turkey(A N S I Network, 2009) Berument, Hakan; Sahin, A.; Saracoglu, B.; Berument, HakanThe aim of this study is to assess any regularity relative price dispersion for the effect of monetary policy tool selection. Central banks use tools such as interbank rate and exchange rate when pursuing their (monetary) policies. The selected tools affect economic variables differently. By using Turkish monthly data for the 1988:2-2008:2 period, this study suggests that pure policies (such as interbank rate only or exchange rate only) increase relative price variability more than mixed policies, where the monetary authorities use the above tools simultaneously. © 2009 Asian Network for Scientific Information. Item Open AccessCredit channel and capital flows: a macroprudential policy tool? – evidence from Turkey(Walter de Gruyter, 2016) Varlik, S.; Berument, Hakan; Berument, HakanRapid credit growth induced by sudden capital inflows may negatively affect a country's economic performance, with the resulting outflows turning into a financial crisis. The purpose of this study is to determine whether controlling the credit channel of monetary policy could be used as a macroprudential tool to suppress the effects of sudden capital inflows on economic performance for small open economies like Turkey. In this paper, using the Vector Autoregression methodology employed by (Bernanke, S. B., M. Gertler, and M. Watson. 1997. "Systematic Monetary Policy and the Effects of Oil Price Shocks." Brookings Papers on Economic Activity 1: 91-157), we investigate whether shutting down the credit channel helps reduce the effects of capital inflows. Indeed, empirical evidence from Turkey shows that doing so decreases the effects of capital inflows on imports and industrial production, but further decreases interest rate and prices and further appreciates the domestic currency. Therefore, it may be prudent to support credit control with additional policy tools to prevent a further decrease in interest rate and prices and a further appreciation of the domestic currency. © 2016 by De Gruyter 2016. Item Open AccessDay of the week effect on foreign exchange market volatility: evidence from Turkey(Elsevier Inc., 2007) Berument, Hakan; Coskun, M. N.; Sahin, A.; Berument, HakanThis paper assesses the day of the week effect of the daily depreciation of the Turkish lira (TL) against the US dollar (USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with higher and Mondays with lower depreciation rates compared to those of Wednesdays. Moreover, Mondays and Tuesdays are associated with higher volatility than Wednesdays. © 2006 Elsevier B.V. All rights reserved. Item Open AccessThe day of the week effect on stock market volatility(Springer New York LLC, 2001) Berument, Hakan; Kiymaz, H.; Berument, HakanThis study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different. Item Open AccessThe day of the week effect on stock market volatility and volume: international evidence(John Wiley & Sons Ltd., 2003) Kiymaz, H.; Berument, Hakan; Berument, HakanThis study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility. © 2003 Published by Elsevier Inc. Item Open AccessDenomination composition of trade and trade balance: evidence from Turkey(Routledge, 2005) Berument, Hakan; Dincer, N.; Berument, HakanThe currency denominations of a country's exports and imports are not necessarily the same. If this is the case, then a change in the exchange rate parity among major currencies will affect the trade balance. The empirical evidence provided from Turkey - where exports are mostly denominated in Euros and imports are mostly denominated in USD - suggests that an appreciation of the Euro against the USD would increase the output in the long-run, appreciate the local currency and improve the trade balance for the 1985:01 2003:07 period. © 2005 Taylor & Francis Group Ltd. Item Open AccessDeterminants of interest rates in Turkey(Taylor & Francis, Ltd, 2001) Berument, Hakan; Malatyalı, K.; Berument, HakanThis paper analyzes the Turkish Treasury interest rate behaviour within the Fisher hypothesis framework for the period from 1988:11 to 1998:6. Consistent with the hypothesis, empirical evidence indicates that the interest rates increase with expected inflation. After the risk is controlled, the paper suggests that interest rates increase less than expected inflation; that is, real interest rates decrease with higher inflation. Moreover, inflation risk increases interest rates and decreases the maturity of government debt: This is evidence that lenders prefer shorter maturity in order to hedge themselves in a setting where the debt burden on the budget is on the rise. This may also indicate that both the interest rates and maturity of the debt are used as policy tools by the Treasury rather than as state variables. Item Open AccessDo capital flows improve macroeconomic performance in emerging markets? The Turkish experience(Routledge, 2004) Berument, Hakan; Dincer, N. N.; Berument, HakanThis study examines the effects of capital inflows on the macroeconomic performance in an emerging, small open economy-Turkey. Using monthly data from 1992:01 to 2001:06 and a recursive vector autoregression model, we find that positive innovations in capital inflows appreciate the domestic currency, and increase output and money supply, but decrease interest rates and prices in the short run. We also find that the exchange rate regime does not influence the effects of capital flows on macroeconomic performance. Implications of the findings for policymakers are analyzed. Item Open AccessDynamics of inflation and inflation inertia in Turkey(Statistical Economic and Social Research and Training Centre for Islamic Countries, 2004) Özcan, K. M.; Berument, Hakan; Neyaptı, B.; Berument, HakanThis paper investigates the inflation dynamics in Turkey between 1988 and 2000. Using model-free techniques, we first observe that there is strong inertia in Turkish inflation. Next, we look at the correlations between Consumer Price Index (CPI) inflation and the leads and lags of the various possible determinants of CPI inflation. The evidence indicates that there are significant positive correlations between the dynamics of housing rents and the CPI, and both the US Dollar and German Mark exchange rates and the CPI. Contrary to expectations, however, data show both a negative relationship between wage and price dynamics and a negative lagged effect of import price inflation on the CPI inflation. The evidence also indicates a negative lagged impact of inflation received by farmers on CPI inflation and a positive lagged response of the CPI to it. Item Open AccessEconomic performance and unemployment: evidence from an emerging economy(Emerald Publishing Limited, 2006) Berument, Hakan; Dogan, N.; Tansel, A.; Berument, HakanPurpose - This article seeks to examine whether or not various macroeconomic policy shocks have different effects on overall unemployment and the unemployment by different levels of education in Turkey. These effects are assessed separately for male and female unemployment. Design/methodology/ approach - To examine the relationship, a quarterly VAR model with a recursive order is employed to estimate the effects of real GDP, price, exchange rate and interbank interest rate on unemployment for the period from 1988:01 to 2003:04. Findings - Main findings indicate that monetary policy does not affect the total unemployment as well as the components of unemployment by educational level and by gender in Turkey. On the other hand, income policies, which include fiscal policies, and unemployment itself, might be the main factors that affect the behavior of total unemployment and its various components. Research limitations/implications - These findings suggest that policy makers should concentrate on non-monetary policies to hamper the unemployment in Turkey. Originality/value - The present study is the first empirical examination of the relationship between various macroeconomic policy shocks and the unemployment both across gender and education levels in a single study. © Emerald Group Publishing Limited. Item Open AccessThe effect of foreign income on economic performance of a small-open economy: evidence from Turkey(Routledge, 2004) Berument, Hakan; Kilinc, Z.; Berument, HakanThe effect of a shock in the foreign economic performance on the domestic economy is an attractive research area. It has consistently been found that this effect is non-negligible. However, the countries examined are mostly developed countries. In this study, the effects of a shock in foreign economy on the economic performance of Turkey are examined. The estimates suggest that a positive shock in the foreign economy positively affects Turkish output, increases the inflation rate, and appreciates the real exchange rate. © 2004 Taylor and Francis Ltd. Item Open AccessThe effect of inflation uncertainty on inflation: stochastic volatility in mean model within a dynamic framework(Elsevier BV, 2009) Berument, Hakan; Yalcin, Y.; Yildirim J.; Berument, HakanThis paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the monthly United States data for the time period 1976-2006. In order to investigate the effect of inflation uncertainty innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture the innovation to inflation uncertainty, which cannot be achieved in the framework of popular deterministic ARCH type of models. Empirical evidence provided here suggests that innovations in inflation volatility increases inflation persistently. This evidence is robust across various definitions of inflation and different sub-periods. © 2009 Elsevier B.V. All rights reserved.