Browsing by Author "Ozlale, U."
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Item Open Access Do Federal Reserve policy surprises affect the risk perception in the emerging markets?(Routledge, 2006) Ince, O.; Ozlale, U.Employing an event study approach, the present authors analyse whether the Federal Reserve's policy surprises affect the risk perceptions in the emerging markets. Only weak evidence is found when the Federal Reserve follows a more expansionary policy than expected. For all other cases, the policy surprises of the Federal Reserve are ineffective. © 2006 Taylor & Francis.Item Open Access The effects of different inflation risk premiums on interest rate spreads(Elsevier BV, 2004) Berument, Hakan; Kilinc, Z.; Ozlale, U.This paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK. Three types of inflation uncertainty - structural uncertainty, impulse uncertainty, and steady-state inflation uncertainty - are defined and derived by using a time-varying parameter model with a GARCH specification. It is found that both the structural and steady-state inflation uncertainties increase interest rate spreads, while the empirical evidence for the impulse uncertainty is not conclusive. © 2003 Elsevier B.V. All rights reserved.Item Open Access Employing the extended Kalman filter in measuring the output gap(Elsevier BV, 2005) Ozbek, L.; Ozlale, U.The paper has two parts. In the first part, the output gap and potential output series for the Turkish economy are derived within the context of a non-linear state space model, where the extended Kalman filter emerges as the estimation methodology. Such a methodology allows for time-varying parameters to decompose output into trend and cyclical components. The results imply that both the parameters in the model and the derived series are fairly reasonable and consistent with the path that the Turkish economy followed in the last fifteen years. In the second part, the relation between inflation and the output gap is analyzed. It is found that inflation and the output gap are not positively associated, contradicting studies that view demand side forces as the primary determinants of inflation in Turkey. © 2004 Elsevier B.V. All rights reserved.Item Open Access Is there a flight to quality due to inflation uncertainty?(Elsevier BV, 2005) Guler, B.; Ozlale, U.After two types of inflation uncertainty are derived within a time-varying parameter model with GARCH specification, the relationship between inflation uncertainty and interest rates for safe assets is investigated. The results support the existence of a "flight to quality" effect. © 2004 Elsevier B.V. All rights reserved.Item Open Access The missing link between inflation uncertainty and interest rates(Wiley-Blackwell Publishing Ltd., 2005) Berument, Hakan; Kilinc, Z.; Ozlale, U.In the literature, there is no consensus about the direction of the effects of inflation uncertainty on interest rates. This paper states that such a result may stem from differentiation in the sources of the uncertainties and analyzes the effects of different types of inflation uncertainties on a set of interest rates for the UK within an interest rate rule framework. Three types of inflation uncertainties - impulse uncertainty, structural uncertainty and steady-state uncertainty - are derived by using a time-varying parameter model with a Generalized Autoregressive Conditional Heteroskedasticity specification. It is shown that the impulse uncertainty is positively and the structural uncertainty is negatively correlated with the interest rates. Moreover, these two uncertainties are important to explain short-term interest rates for the period of inflation targeting era. However, this time, the impulse uncertainty is negatively and the structural uncertainty is positively correlated with the overnight interbank interest rates, which is consistent with the general characteristic of the inflation targeting regimes. Lastly, the evidence concerning the effect of the steady-state inflation uncertainty on interest rates is not conclusive. © Scottish Economic Society 2005.Item Open Access Price stability vs. output stability: tales of federal reserve administrations(Elsevier BV, 2003) Ozlale, U.This study disentangles policy parameters from those describing private sector behavior by simultaneously estimating an empirical model for inflation and output along with a loss function for the last three Federal Reserve administrations. Three important results emerge: First, the Federal Reserve appears to put more emphasis on price stability than output stability when the entire sample is considered. Second, and more importantly, the loss function parameters exhibit structural break at the time Paul Volcker was appointed chairman. The accommodative characteristics of monetary policy were replaced with a more active policy towards controlling inflation. Finally, interest rate smoothing is found to bean important feature of the monetary policymaking process for all three administrations. © 2002 Elsevier Science B.V. All rights reserved.