Browsing by Author "Olgun, H."
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Item Open Access The centre and periphery relations in international stock markets(Routledge, 2006) Berument, Hakan; Dinçer, N.; Olgun, H.Encouraged 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 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.Item Open Access Inflation and growth: Positive or negative relationship?(A N S I Network, 2008) Berument, Hakan; Inamlik, A.; Olgun, H.This study has been motivated by two developments. Firstly, by the vast literature on the relationship between inflation and growth which is abundantly endowed with diverse theoretical explanations and contradictory evidence and by the unique experience of the Turkish economy with inflation and growth. A preliminary examination of the Turkish data pointed to a negative relation between inflation and growth. Moreover, there is a unanimous agreement among the students of the Turkish economy that many factors have contributed to inflation in this country. In view of these facts this paper employs a VAR model which will enable us to identify the sources of the shocks and control for external factors. In addition VAR models have a high predictive power and enable the researcher to observe the impulse response functions. The study employs Generalised Impulse Response analysis. In the empirical experiments oil prices, money supply, government spending and taxes have been taken as the most likely determinants of inflation. The study shows that there is a negative relationship between inflation and output growth in Turkey and that the underlying explanatory factor is the real exchange rate. This result is robust. © 2008 Asian Network for Scientific Information.Item Open Access 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.Item Open Access The relationship between different price indexes: a set of evidence from inflation targeting countries(I O S Press, 2006) Akdi, Y.; Berument, Hakan; Cilasun, S. M.; Olgun, H.The possible long-run relationships between the Consumer Price Index and the Wholesale Price Index are analyzed for three inflation targeting countries - Canada, Sweden and the UK - using three different statistical techniques. The Engle-Granger test finds cointegration only for Sweden. The Johansen's test and the model-free and seasonality robust periodogram based test conclusively show that the two price indexes are not cointegrated in the three countries included in the sample. Hence, the values of these indexes may consistently diverge over time. However, the two price indexes move together in the short run. These findings have some implications for the success of inflation targeting monetary policies. © 2006 - IOS Press and the authors. All rights reserved.