Browsing by Author "Yalcin, Y."
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Item Open Access The day-of-the-week effect on stock-market volatility and return: Evidence from emerging markets(2006) Yalcin, Y.; Yucel, E.M.This study investigates day-of-the-week (DOW) anomalies in the stock markets of twenty emerging economies. The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean (EGARCH-M) modeling strategy that allows for the simultaneous examination of DOW effects on market return and variability. The effects on both are limited in the authors' sample. To summarize, DOW effects are present in market returns for only three countries, in market volatility for only five countries, and they are present in both for only one country, when the estimates are evaluated at the 1 percent significance level. Despite this, at lower levels of significance the common qualitative patterns in the estimates are extracted such that the higher returns are concentrated around Fridays, whereas volatility is highest on Mondays and lowest on Tuesdays and Fridays.Item Open Access The effect of inflation uncertainty on inflation: stochastic volatility in mean model within a dynamic framework(Elsevier BV, 2009) Berument, Hakan; Yalcin, Y.; Yildirim J.This 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.Item Open Access The effects of US stock markets on the Istanbul stock exchange and its components(International Academy of Business and Economics, 2011) Berument, Hakan; Denaux, Z. S.; Yalcin, Y.With increasing financial integration (globalization), the performance of the emerging financial market has been substantially affected by the performances of major developed financial markets. This study explores how one of the leading Emerging Markets (the Istanbul Stock Exchange; ISE hereafter) and various components of the ISE index are affected by various indices from the US stock markets. The empirical evidence reveals that unexpected shocks in the US stock markets have both contemporaneous and first period effects on the Turkish stock market. The co-movements among the markets are positive and significant. Moreover, importantly, the Turkish stock market closely follows the movements of the US stock exchange which has small-cap companies rather than of the stock exchanges which have similar sectoral weights as in the Istanbul Stock Exchange.Item Open Access How does the exchange rate movement affect macroeconomic performance? a VAR analysis with sign restriction approach – evidence from Turkey(Economics Bulletin, 2012) Berument, Hakan; Denaux, Z. S.; Yalcin, Y.In this paper, we assess the effect of exchange rate movement on macroeconomic performance by differentiating the source of exchange rate movement as either an expansionary monetary policy or a portfolio preference shock using quarterly data from Turkish economy for the period 1987:Q1 to 2008:Q3. Empirical evidence suggest that if the depreciation of the exchange rate stems from an expansionary monetary policy shock, then the effect of currency depreciation on the economy is expansionary. On the other hand, if currency depreciation comes from a portfolio choice allocation, then the effect of exchange rate deprecation on the economy is contractionary.Item Open Access The inflation and inflation uncertainty relationship for Turkey: a dynamic framework(Springer, 2011) Berument, Hakan; Yalcin, Y.; Yildirim, J. O.This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using monthly data for the time period 1984-2009. The bulk of previous studies investigating the link between inflation and inflation uncertainty employ Autoregressive Conditional Heteroskedasticity (ARCH)-type models, which consider inflation uncertainty as a predetermined function of innovations to inflation specification. The stochastic volatility in mean (SVM) models that we use allow for gathering innovations to inflation uncertainty and assess the effect of inflation volatility shocks on inflation over time. When we assess the interaction between inflation and its volatility, the empirical findings indicate that response of inflation to inflation volatility is positive and statistically significant. However, the response of inflation volatility to inflation is negative but not statistically significant.Item Open Access Inflation and inflation uncertainty: a dynamic framework(Elsevier BV, 2012) Berument, Hakan; Yalcin, Y.; Yildirim J.This paper aims to investigate the direct relationship between inflation and inflation uncertainty by employing a dynamic method for the monthly country-region-place United States data for the time period 1976-2007. While the bulk of previous studies has employed GARCH models in investigating the link between inflation and inflation uncertainty, in this study Stochastic Volatility in Mean models are used to capture the shocks to inflation uncertainty within a dynamic framework. These models allow researchers to assess the dynamic effects of innovations in inflation as well as inflation volatility on inflation and inflation volatility over time, by incorporating the unobserved volatility as an explanatory variable in the mean (inflation) equation. Empirical findings suggest that innovations in inflation volatility increases inflation. This evidence is robust across various definitions of inflation and different sub-periods. © 2012 Elsevier B.V. All rights reserved.Item Open Access Turkish monetary policy and components of aggregate demand: a VAR analysis with sign restrictions model(Routledge, 2012) Berument, Hakan; Denaux, Z.; Yalcin, Y.This article estimates the effects of monetary policy on components of aggregate demand using quarterly data on Turkish economy from 1987-2008 by means of structural Vector Autoregression (VAR) methodology. This study adopts Uhlig's (2005) sign restrictions on the impulse responses of main macroeconomic variables to identify monetary shock. This study finds that expansionary monetary policy stimulates output through consumption and investment in the short-run. However, expansionary monetary policy is ineffective in the long-run. © 2012 Taylor & Francis.Item Open Access Turkish straits and an important oil price benchmark: Urals(International Association for Energy Economics, 2023-07-01) Ayasli, D.E.; Yalcin, Y.; Sahin, S.; Berument, M. HakanThe Turkish Straits is one of the busiest waterways in the World. Around 4% of the world’s crude oil trade passes through the Turkish Straits. We model the CIF Mediterranean price of Urals crude, one of the world’s most critical medium gravity crude brands that passes through the Turkish Straits. The empirical evidence provided here suggests that congestion (measured in terms of the waiting time for entering the Turkish Straits) increases the CIF Mediterranean price of Urals crude up to 5.05% and 3.09% for the İstanbul and Çanakkale straits, respectively. However, similar supporting evidence could be found for neither an important benchmark oil (Brent) nor Iranian Light, which has similar characteristics and can be considered a close substitute for Urals crude in the Mediterranean refinery market. This shows that the Turkish Straits have an important impact on the price of this important medium crude oil in world oil markets.