Browsing by Author "Ceylan, N. B."

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Open Access
Assessing 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.
The 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.
Open Access
The effect of world income on the economic performance of African countries
(International Economic Society, 2007) Berument, Hakan; Ceylan, N. B.; Vural, B.
This paper examines how the output growths of 37 African countries’ are affected by the output growth of the world. The connection between the world output growth and that of each African country is represented by a block recursive VAR model allowing that world output growth affects each African countries’ output but not vice versa. The response of each African country’s output growth is analyzed when one standard deviation shock is given to the world’s output growth. Our results indicate that in 6 of the 37 countries, there exists a statistically significant and permanent effect for four periods (years), and the effect is positive for 5 of them. The statistically significant effect of the shock is observed starting from the first period for 16 countries, of which the effect is positive in 13. The initial (contemporaneous) effect of the shock can be observed in the output growths of 13 African countries of which the effect is positive in 9. For the output growths of 9 countries, a statistically significant effect could not be observed.
Open Access
The effects of anticipated and unanticipated federal funds target rate changes on domestic interest rates: international evidence
(S.E.I.F at Paris, 2010) Berument, Hakan; Ceylan, N. B.
This paper assesses the effects of anticipated and unanticipated United States Federal Funds target rate changes on the domestic interest rates of a set of countries for the period from June 1989 to August 2008. The empirical evidence provided here suggests that i. unanticipated changes have a greater effect than anticipated changes; and ii. evidence from developed markets is stronger than that from developing/emerging markets.
Open Access
The effects of changes in the anticipated and unanticipated fed funds target rate on financial indicators: the case of an emerging market country-Turkey
(European Journals Inc., 2007) Berument, Hakan; Ceylan, N. B.; Olgun, H.
This paper puts forward the thesis that neither the changes in FED Funds anticipated target rate nor the FED Funds unanticipated target changes can be expected to affect the financial indicators of all emerging markets. The paper supports this thesis using the original framework developed by Kuttner (2001) for Turkey. Its basic argument is that FED’s decisions become relevant for an emerging market only after it becomes sufficiently open both on the capital and current account, has established the prerequisite institutional framework, its financial markets have been sufficiently developed and has established economic and political stability. Moreover, the paper shows that the unanticipated component of the FOMC decisions affect the financial indicators more than the anticipated component.
Open Access
The effects of Japanese economic performance on Indonesia
(Routledge, 2006) Berument, Hakan; Ceylan, N. B.; Vural, B.
This paper assesses how Japanese economic performance affects the Indonesian economy for the 1988 to 2004 period. The empirical evidence provided here suggests that Japanese growth appreciates the local currency in real terms, decreases the inflation and increases growth. As a side issue, we also documented that real exchange rate depreciation accelerates inflation and decreases growth in Indonesia. © 2006 Taylor & Francis.
Open Access
Effects of soccer on stock markets: the return-volatility relationship
(Pergamon Press, 2012) Berument, Hakan; Ceylan, N. B.
This paper assesses the effects of domestic soccer teams' performances against foreign rivals on stock market returns as well as on the return-volatility relationship. Data from Chile, Spain, Turkey and the United Kingdom support propositions that soccer teams results in international cups affect stock market returns and the return-volatility relationship. Evidence from Spain and the UK, soccer powerhouses, suggests that losses are associated with lower returns and higher risk aversion but evidence from Chile and Turkey, where soccer is the most important sport but teams are not as successful, reveals that wins are associated with higher returns and lower risk aversion. Crown Copyright (C) 2012 Published by Elsevier Inc. on behalf of Western Social Science Association. All rights reserved.
Open Access
Football and the risk-return relationship for a stock market: Borsa Istanbul
(Routledge, 2013) Berument, Hakan; Ceylan, N. B.; Onar, B.
We hypothesize that results of football (soccer) teams affect the risk perception of people. People choose riskier investments after a win and less risky investments after a loss; this leads to higher (lower) returns in the stock market. These hypotheses are tested for the international matches of Turkey's three most popular teams (Beşiktaş, Fenerbahçe, and Galatasaray). The empirical findings suggests that the teams' wins led to higher asset returns and lower risk aversion on the following business day of the Borsa Istanbul and lower returns and higher risk aversion after a loss or a tie. © 2013 M.E. Sharpe, Inc. All rights reserved.
Open Access
The impact of oil price shocks on the economic growth of selected MENA countries
(International Association for Energy Economics, 2010) Berument, Hakan; Ceylan, N. B.; Dogan, N.
This paper examines how oil price shocks affect the output growth of selected MENA countries that are considered either net exporters or net importers of this commodity, but are too small to affect oil prices. That an individual country's economic performance does not affect world oil prices is imposed on the Vector Autoregressive setting as an identifying restriction. The estimates suggest that oil price increases have a statistically significant and positive effect on the outputs of Algeria, Iran, Iraq, Kuwait, Libya, Oman, Qatar, Syria, and the United Arab Emirates. However, oil price shocks do not appear to have a statistically significant effect on the outputs of Bahrain, Djibouti, Egypt, Israel, Jordan, Morocco, and Tunisia. When we further decompose positive oil shocks such as oil demand and oil supply for the latter set of countries, oil supply shocks are associated with lower output growth but the effect of oil demand shocks on output remain positive. Copyright © 2010 by the IAEE.
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Inflation uncertainty and interest rates: Is the Fisher relation universal?
(Routledge, 2007) Berument, Hakan; Ceylan, N. B.; Olgun, H.
This paper tests the validity of the Fisher hypothesis, which establishes a positive relation between interest rates and expected inflation, for the G7 countries and 45 developing economies. For this purpose, we estimate a version of the GARCH specification of the hypothesis for all countries included in the sample. We also test the augmented Fisher relation by including the inflation uncertainty in the equation. The simple Fisher relation holds in all G7 countries but in only 23 developing countries. There is a positive and statistically significant relationship between interest rates and inflation uncertainty for six of the G7 and 18 of the developing countries and this relationship is negative for seven developing countries.
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An interest-rate-spread-based measure of Turkish monetary policy
(Routledge, 2014) Berument, Hakan; Ceylan, N. B.; Dogan, B.
A coherent method to measure the effectiveness of a monetary policy improves the monetary authority's management capacity and renders the possibility of applying sound policies prior to and during a crisis. The trend in employing complicated and ambiguity-bearing unconventional monetary tools in the aftermath of the 2008 crisis has increased the value of such a method. The aim of this article is to introduce a coherent and consistent monetary policy evaluation method for Turkey. Accordingly, we suggest that innovations in the spread between overnight interest rates and Treasury auction interest rates are informative for exchange rate, output, and prices. Empirical evidence for this identification reveals that positive innovation in spread (implying a tight monetary policy measure) decreases output temporarily, permanently decreases prices, and appreciates local currency. This result is also robust to alternative specifications.
Open Access
Performance of soccer on the stock market: evidence from Turkey
(Pergamon Press, 2006) Berument, Hakan; Ceylan, N. B.; Gozpinar, E.
This paper assesses the effect of soccer success on stock market returns for three major Turkish teams (Besiktas, Fenerbahce and Galatasaray) after certain characteristics of the stock market are controlled for. The empirical evidence presented here suggests that Besikta's win against foreign rivals in the Winner's Cup increases stock market returns. The same effect is not present for the other two big teams (Fenerbahce and Galatasaray). The day of the week effect on the stock market and the relationship between risk and return are also presented. (c) 2006 Elsevier Inc. All rights reserved.
Open Access
Practices of knowledge exchange in the context of the COVID-19 Pandemic
(Springer, 2023-11-20) Peschke, Lutz; Gyftopoulos, S.; Kapusuzoğlu, A.; Folkvord, F.; Gümüş Ağca, Yasemin; Kaldoudi, E.; Drosatos, G.; Ceylan, N. B.; Pecchia, L.; Güneş Peschke, S.
This paper contributes to a better understanding of a system of pandemic knowledge exchanges. Therefore, three different case studies conducted in Germany, Greece, and Turkiye and executed in multiple countries were analyzed in the context of Mode 3 knowledge production and the Quintuple Helix system. While the Quintuple Helix system describes the knowledge exchange processes between the systems of science, economy, politics, public, and natural environment of societies for sustainable innovation processes, Mode 3 emphasizes the importance of a creative environment for research and innovation. The COVID-19 pandemic revealed that the need for knowledge exchange with the media-based public increased dramatically. In both models, Mode 3 and the Quintuple Helix but also in the Design Thinking approach, the creative environment incorporates the knowledge of the media-based public. Nonetheless, the reality of the public is constructed as media reality. Therefore, a mix of evidence-based and opinion-based knowledge is produced and transferred during knowledge exchange in the context of innovation processes including public engagement. It could be understood that the mediating entities media and general practitioners have a similar double function in the context of knowledge exchange with the public during the pandemic times. The results reveal the big need for knowledge communication and exchange platforms which on the one hand strengthen citizen participation by transforming opinion-based into evidence-based content. On the other hand, reach the status of a global standard medium for the pandemic knowledge exchange accepted by all stakeholders of the Quintuple Helix. This generates a shared-knowledge environment with a gain for all systems of the Quintuple Helix during the sustainable innovation processes. © 2023, The Author(s).
Open Access
Soccer and stock market risk: empirical evidence from the Istanbul stock exchange
(Sage Publications, Inc., 2013) Berument, Hakan; Ceylan, N. B.
There is an emerging but important literature on the effects of sport events such as soccer on stock market returns. After a soccer team's win, agents discount future events more favorably and increase risk tolerance. Similarly, after a loss, risk tolerance decreases. This paper directly assesses risk tolerance after a sports event by using daily data from the three major soccer teams in Turkey (Beşiktaş, Fenerbahçe and Galatasaray). Results provide evidence that risk tolerance increases after a win, but similar patterns were not found after a loss. © Psychological Reports 2013.
Open Access
Soccer, stock returns, and fanatiscism: evidence from Turkey
(Pergamon Press, 2009) Berument, Hakan; Ceylan, N. B.; Eker, G. O
This paper assesses the effect of three major soccer teams' wins on the returns of the Istanbul Stock Exchange (ISE). We argue that the effect of soccer wins on ISE returns increases with the fanaticism of the teams' supporters. (C) 2009 Western Social Science Association. Published by Elsevier Inc. All rights reserved.
Open Access
Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market–Borsa Istanbul
(Routledge, 2015-08-27) Ceylan, N. B.; Doğan, B.; Berument, Hakan
This article contributes to the asset pricing literature by offering an alternative missing factor: the excess holdings of foreign investors. To incorporate this factor, we mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to portfolio preferences (foreign ownership) using the Fama and French’s three-factor model. Our findings suggest that market factor, size, and book-to-market (B/M) variables are still statistically significant and Jensen’s alpha is still not significant, and we obtain a statistically significant negative relationship between the excess return of foreign investors’ ownership and the return variation of a given portfolio.
Open Access
US monetary policy surprises and foreign interest rates: evidence from a set of MENA countries
(De Gruyter, 2008) Berument, Hakan; Ceylan, N. B.
This paper assesses the response of a set of emerging markets' domestic interest rates to the US monetary policy surprises within a dynamic framework. Monthly data from Algeria, Bahrain, Israel, Jordan, Kuwait, Tunisia and Turkey for the 1989:03 to 2005:12 period reveal positive effects of the unanticipated Federal Funds target changes on the short-term interest rates of these countries. When we look at the effect of US monetary policy surprises for different Turkish interest rates, the evidence is robust for the 3 and 12-month rates, but government controlled interbank and treasury auction rates have reverse positions.