Browsing by Author "Mahmud, S. F."

Now showing 1 - 13 of 13

Open Access
Agro-climatic conditions and regional technical inefficiencies in agriculture
(Wiley-Blackwell Publishing, Inc., 2002) Demir, N.; Mahmud, S. F.
A survey of applications of the Technical Inefficiency Effects (TIE) model suggests that agro-climatic and other environment variables are customarily omitted in the model specifications. The justification for such an omission is the assumption that these variables are beyond the control of the farmers and therefore should be treated as random variables. In this paper, we argue that in applications dealing with regional agricultural data, agro-climatic variables should not be treated as pure random terms. Historical differences in agro-climatic conditions are known with a reasonable degree of certainty across a larger region. Therefore, omission of such variables from the analysis may lead to inaccurate interregional technical inefficiency comparisons. In order to demonstrate the importance of agro-climatic variables in such analyses, we estimate the TIE model for Turkey. A translog stochastic frontier production function with agro-climatic variables such as rainfall and land quality is estimated, and it is shown not only that the agro-climatic variables are statistically significant but also that their omission substantially affects mean output elasticities and relative technical efficiencies.
Open Access
Depository banks were trapped high inflation into cost inefficiency: The Turkish experience
(2010) Demir, N.; Mahmud, S. F.; Babuscu, S.
Turkey embraced its worst banking crisis in the year 2001 after a long history of high inflation. Only one-third of the private domestic banks could survive immediately before and then after the crisis, mainly because of cost inefficiencies. We argue that many bank managers were trapped into cost inefficiencies during the high inflation years because they over-expanded with many new branches, looking for additional costly scarce funds in order to invest in government's securities for exuberant profits. Based on a stochastic total cost frontier with inefficiency effects (CIE) model, bank samples provide strong evidence that investing more in government securities during high inflation periods is highly significant in explaning cost inefficiency differentials among banks, in contrast to low inflation periods. A policy implication is that when inflation subsides rapidly, banks which invest heavily in government securities under high inflation are confronted with financial deterioration since they cannot adjust their cost structure, e.g., by closing several of their branches, in line with revenue losses. © EuroJournals Publishing, Inc. 2010.
Open Access
The energy demand in the manufacturing sector of Pakistan: some further results
(Elsevier BV, 2000) Mahmud, S. F.
The purpose of this study was to re-examine the role of energy in the manufacturing sector of Pakistan using a Partial Equilibrium Approach. GL restricted cost function along with the factor demand equations were estimated using Zellner's iterative procedure. Higher energy prices do not seem to adversely affect investment in capital. Substitution possibilities between energy and non-energy inputs are very limited and therefore energy price hikes may directly affect the cost of production. Inter-fuel cross price elasticities indicate that there are substitution possibilities between electricity and gas. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: Q41.
Open Access
Environment Kuznets curve for CO2 emissions: a cointegration analysis for China
(Elsevier Ltd, 2009) Jalil, A.; Mahmud, S. F.
This study examines the long-run relationship between carbon emissions and energy consumption, income and foreign trade in the case of China by employing time series data of 1975-2005. In particular the study aims at testing whether environmental Kuznets curve (EKC) relationship between CO2 emissions and per capita real GDP holds in the long run or not. Auto regressive distributed lag (ARDL) methodology is employed for empirical analysis. A quadratic relationship between income and CO2 emission has been found for the sample period, supporting EKC relationship. The results of Granger causality tests indicate one way causality runs through economic growth to CO2 emissions. The results of this study also indicate that the carbon emissions are mainly determined by income and energy consumption in the long run. Trade has a positive but statistically insignificant impact on CO2 emissions. © 2009 Elsevier Ltd. All rights reserved.
Open Access
Herding in Chinese stock markets: a nonparametric approach
(Springer Verlag, 2018) Mahmud, S. F.; Tiniç, M.
The paper reports new evidence of herding in the Chinese A-type and B-type markets by employing nonparametric kernel regression. We find statistically significant evidence of herding in A-type market under both extreme high and low market returns. Herding in B-type market, which predominantly consists of foreign investors, indicates only weak evidence of herding. We do not find any statistically significant evidence of herding in the pre-2001 sample of B-type market, when only foreign investors could do the trading. Lack of knowledge and experience of local investors may be attributed to the presence of herd behaviour in the Chinese markets.
Open Access
Information cascades, short-selling constraints, and herding in equity markets
(Elsevier, 2020-05) Tiniç, M.; Iqbal, Muhammad Sabeeh; Mahmud, S. F.
This paper examines the relationship between informed trading and herding in Borsa_Istanbul. Our firm-level cross-sectional analysis assertsthat informed trading can significantly increase future herding levels. Furthermore, we show that the relationship between informed trading andherding intensifies under short-selling restrictions. Our results confirm the predictions of the informational cascades framework where the in-dividuals disregard their private information to follow others. We show that information cascades are relevant both for buy-side herding and sell-side herding. Short-selling restrictions may reinforce the herding behaviour since informed investors may not be able to clear out potential price misalignments.
Open Access
Is money an omitted variable in the production function? some further results
(Physica-Verlag, 1993) Hasan, M. A.; Mahmud, S. F.
In recent years, numerous studies have emphasized the role of real balances in the production function in terms of money being useful: as an intermediate good; as liquid reserves for investment; and also serving as a link between aggregate supply and the nominal interest rate. In this paper we report new Canadian empirical evidence regarding the important role of money in the production process of aggregate manufacturing industries based on a flexible translog cost function approach. In general, our results support the hypothesis that money is an important factor in the production function and that there are potential supply side effects of a change in the interest rate. © 1993 Physica-Verlag.
Open Access
Macroeconometric modelling and Pakistan's economy. A vector autoregression approach
(1992) Chishti, S. U.; Hasan, M. A.; Mahmud, S. F.
Recent applications of the Vector Autoregression (VAR) technique pioneered by Sims, Litterman and Doan has become popular in macroeconomic modelling, particularly when knowledge about 'true' structural relations is absent. This study represents the first attempt to apply such a technique to Pakistani data for ten key macroeconomic variables. Unlike some of the earlier studies on Pakistan's economy our empirical results are intuitive and consistent with the predictions of the standard new neoclassical model. More importantly, based on these results, perhaps, one may also shed light on some of the dominant recurring macroeconomic issues of Pakistan's economy. © 1992.
Open Access
Monetary aggregation and money in production function
(A N S I Network, 2002) Mahmud, S. F.
Open Access
Monetary policy implications of short-term capital flows in Turkey
(Springer New York LLC, 2018) Dağlaroğlu, T.; Demirel, B.; Mahmud, S. F.
The advent of global financial crisis in 2008, unleashed volatile short term capital flows to the emerging markets. This has forced many central banks in the developing world to adopt innovative policy measures to address concerns related to financial instability caused by the volatile nature of capital flows. In 2010 Turkish Central Bank included financial stability in addition to price stability as one of primary goals of its monetary policy. Several macro-prudential measures had been taken and ‘corridor system’ of setting the short-term policy rates had been introduced. In this paper, we have estimated an extended Taylor rule, using error correction model, to examine the impact of global financial factors in impacting the setting up of the policy rate in the pre and post 2010 periods in Turkey. It has been found that in the post-2010 period, global financial factors and monetary policy stance of the core economy, USA, have become major factor(s) in shaping up the monetary policy. Particularly our results of variance decomposition show that global financial indicators such as, VIX and EMBI have taken prominence in the setting of the short-term policy rate. This has not only made the domestic monetary more dependent on external factors but has also made pro-cyclical in nature.
Open Access
Money and productive efficiency: evidence from a high-inflation country
(Routledge, 2007) Başçı, E.; Mahmud, S. F.; Yucel, E. M.
This paper examines how money balances held by manufacturing firms affect their efficiency in generating sales revenue in a high-inflation economy. The analysis employs data from Turkish firms to estimate a stochastic frontier model, finding a strong positive association between the firms' money holdings and their efficiency. However, the role of money balances seems to diminish as firms hold higher raw material inventories. © 2007 M.E. Sharpe, Inc. All rights reserved.
Open Access
The technical inefficiency effects of Turkish banks after financial liberalization
(Wiley-Blackwell Publishing Ltd., 2005) Demir, N.; Mahmud, S. F.; Babuscu, S.
The banking sector in Turkey has grown significantly over the last two decades of financial liberalization. One of the aims of the financial liberalization was to improve efficiency through restructuring programs including the privatization of state banks and the encouragement of mergers. In this paper we identify key factors determining the technical efficiency differentials among Turkish commercial banks in the pre-and post-liberalization periods, using the technical inefficiency effects model. We found that loan quality, size, ownership of the banks, and profitability have a positive and significant impact on the technical efficiencies of banks. The results warrant implementation of effective regulatory measures to improve the quality of the earning assets of commercial banks. Furthermore, steps by the government to encourage acquisitions or mergers for private banks and the privatization of state-owned banks seem to be consistent in improving the overall efficiency of commercial banking in Turkey.
Open Access
Testing Marshall-Lerner condition: a non-parametric approach
(Routledge, 2004) Mahmud, S. F.; Ullah, A.; Yucel, E. M.
In this study, non-parametric kernel estimation technique has been employed to estimate import and export price elasticities for six developed countries. Based on the estimates of these elasticities Marshall-Lerner condition has been examined. In general the condition is only partially satisfied in the sub-sample periods. The results also suggest that the condition is more likely to be satisfied under fixed exchange rate regime. © 2004 Taylor and Francis Ltd.