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Bank default indicators with volatility clustering
(Springer Science and Business Media Deutschland GmbH, 2021) Kenc, T.; Çevik, Emrah İsmail; Dibooğlu, Sel
We estimate default measures for US banks using a model capable of handling volatility clustering like those observed during the Global Financial Crisis (GFC). In order to account for the time variation in volatility, we adapted a GARCH option pricing model which extends the seminal structural approach of default by Merton (J Finance 29(2):449, 1974) and calculated “distance to default” indicators that respond to heightened market developments. With its richer volatility dynamics, our results better reflect higher expected default probabilities precipitated by the GFC. The diagnostics show that the model generally outperforms standard models of default and offers relatively good indicators in assessing bank failures. © 2020, Springer-Verlag GmbH Germany, part of Springer Nature.
Bankacılık Sektörü İçin Etkin Piyasalar Hipotezinin Uzun Hafıza Modelleri İle Analizi
(2020) Çevik, Emrah İsmail; Sezen, Serhat
Fama (1970) tarafından geliştirilen Etkin Piyasa Hipotezi, hisse senedi fiyatlarının piyasa ile ilgili tüm bilgiyi yansıttığını belirtmekte ve bu nedenle piyasada ortalamanın üzerinde gelir elde etmenin mümkün olmadığı belirtilmektedir. Fama (1970) piyasa etkinliğinin zayıf, yarı-zayıf ve güçlü olmak üzere üç farklı formda ortaya çıkabileceğini belirtmiştir. Zayıf formda etkin piyasa hipotezi hisse senedi fiyatlarının rassal yürüyüş süreci sergilediğini ve bu nedenle geçmiş verileri kullanarak geleceğe yönelik hisse senedi fiyat tahminlerinin mümkün olamayacağını belirtmektedir. Bu çalışmada BIST bankacılık sektör endeksi için zayıf formda etkin piyasa hipotezinin geçerli olup olmadığı 1997-2018 dönemi için uzun hafıza modelleri kullanılarak analiz edilmiştir. Analiz sonucuna göre, banka endeksinin volatilitesinde uzun hafızanın varlığı tespit edilmiş ve buna bağlı olarak da BIST bankacılık sektörünün zayıf formda etkin bir piyasa olmadığı söylenebilir
Bitcoin ile Önemli Döviz Kurları Arasında Nedensellik İlişkisi
(2021) Çevik, Emre; Çevik, Emrah İsmail; Çalışkan, Hande
Bu çalışmanın amacı, Bitcoin ile Euro/Dolar, İngiliz Sterlini/Dolar, Kanada Doları/Dolar, Japon Yeni/Dolar ve Çin Yuanı/Dolar gibi önemli döviz kurları arasındaki dinamik ilişkiyi incelemektir. Bu bağlamda, Bitcoin ve döviz kurları arasında ortalamada ve volatilitede yayılım etkisinin varlığını incelemek için Hong (2001) tarafından önerilen ortalamada ve varyansta nedensellik testi kullanılmıştır. Ayrıca, Bitcoin ve döviz kurları arasındaki kuyruk bağımlılığının varlığını araştırmak için Hong vd. (2009) tarafından önerilen risk durumlarında nedensellik testi kullanılmıştır. 19 Ağustos 2011 ile 6 Ağustos 2021 tarihleri arasında günlük verileri kullanarak, Euro, Pound ve Kanada Dolar’ından Bitcoin’e yönelik tek yönlü ortalamada nedensellik ilişkisi tespit edilmiştir. Öte yandan, varyansta nedensellik testi sonuçları, Bitcoin ile Euro ve Pound arasında çift yönlü bir oynaklık yayılım etkisinin olduğunu göstermektedir. Ayrıca, Yuan ve Kanada Dolar'ın Bitcoin'in varyansta Granger nedeni olduğu belirlenmiştir. Risk durumlarındaki nedensellik testi sonuçları, Euro ve Pound’dan Bitcoin’e yönelik nedensellik ilişkisine dair kanıt sunmaktadır. Bununla birlikte Bitcoin’deki beklenmedik kayıplar, Yen’deki beklenmedik kayıpların Granger nedenidir. Genel olarak, ampirik sonuçlar Çin para biriminin Bitcoin ile daha az entegre olduğunu göstermektedir.
Borsa İstanbul Zayıf Formda Etkin mi? Markov-Switching ADF Testi Yaklaşımı
(2018) Çevik, Emrah İsmail
Hisse senedi fiyatlarının bütünleşme derecesi etkin piyasalar hipotezi ile doğrudanilişkilidir ve söz konusu hipoteze göre, piyasaların zayıf formda etkin olarak adlandırılabilmesi için fiyatların tesadüfü yürüyüş özelliği sergilemesi gerekmektedir. Bu çalışmadaBorsa İstanbul 100 endeksinin bütünleşme derecesi rejimlere bağlı olarak Markov-Switching ADF (MS-ADF) birim kök testi ile araştırılmıştır. MS-ADF testi sonucuna göre, Borsaİstanbul’da zayıf formda etkin piyasalar hipotezinin geçerliliğinin rejimlere göre farklılaştığı belirlenmiştir. Bu sonuçlara göre, yüksek volatilite rejiminde zayıf formda etkinliksağlanırken, düşük volatilite rejiminde piyasasının zayıf formda etkin olmadığı sonucunaulaşılmıştır.
Connectedness and risk spillovers between crude oil and clean energy stock markets
(Sage Publications Ltd, 2023) Çevik, Emre; Çevik, Emrah İsmail; Dibooğlu, Sel; Cergibozan, Raif; Buğan, Mehmet Fatih; Destek, Mehmet Akif
This research investigates the relationship between clean energy stock and oil market returns utilizing Granger predictability in distribution and quantile impulse response analysis. We find that clean energy stock returns Granger predict oil price returns during normal times based on the distribution's center, but not vice versa. During bullish market episodes, there is bidirectional Granger predictability between the returns of clean energy stocks and oil market returns. Nonetheless, we find that clean energy stock returns Granger predict oil returns in bearish markets without any evidence of the contrary. This indicates that oil returns cannot be used to hedge the downside risk associated with renewable energy company purchases. Quantile impulse responses for the relationship between clean energy stocks and the crude oil market reveal bidirectional and significant responses, where a negative shock during an extremely down market reveals a negative response in the other market and a positive shock during an extremely up market reveals a significant positive response. This shows that neither market can be utilized to offset risks in the other market.
Credit default risk in Islamic and conventional banks: Evidence from a GARCH option pricing model
(Elsevier, 2022) Dibooğlu, Sel; Çevik, Emrah İsmail; Al Tamimi, Hussein A. Hassan
An important question in banking is whether restrictions placed on Islamic banks make them more resilient to financial market turmoil and less prone to failure than conventional banks. We evaluate this claim by estimating credit default risk measures for a sample of conventional and Islamic banks using a GARCH option pricing model. Using a daily data set that is better suited for the time variation in volatility, we calculate distance to default measures to evaluate credit risk of Conventional Banks (CBs) and Islamic banks (IBs). We find higher default risk measures for IBs than CBs in general except during the Global Financial Crisis. This result holds true after controlling for bank and country specific variables in that IBs seem to have significantly lower default risk during the Global Financial Crisis and higher default risk thereafter. Consequently, while restrictions on risk taking is advantageous in financial turmoil episodes, the same restrictions expose IBs to risks in normal times. Finally, the credit risk of CBs and IBs is negatively affected by the oil crisis in 2014-2015 and the Covid-19 global pandemic. While there is no significant difference between the effects of the oil crisis on IBs versus CBs, the recent Covid-19 pandemic seems to have worsened the credit risk of IBs compared to CBs. (c) 2022 Economic Society of Australia, Queensland. Published by Elsevier B.V. All rights reserved.
Does military expenditure impact environmental sustainability in developed Mediterranean countries?
(Springer Science and Business Media Deutschland GmbH, 2022) Erdoğan, Serkan; Gedikli, Ayfer; Çevik, Emrah İsmail; Öncü, Mehmet Akif
This study aims to examine the relationship between military expenditure and environmental sustainability in developed Mediterranean countries: Greece, France, Italy, and Spain. Sustainable economic growth is strictly related to energy consumption which leads to producing a higher level of carbon emissions. Besides, there may be a nexus between military expenditures and environmental pollution. This study focuses on developed Mediterranean countries since carbon emissions and greenhouse gas emissions are relatively high in these countries. Furthermore, France and Italy are the top countries in terms of total military spending. We investigate the relationship between military expenditure and carbon emissions using the Global Vector Autoregression model proposed by Pesaran et al. (J Bus Econ Stat 22 129:162, Pesaran et al., J Bus Econ Stat 22:129–162, 2004) and Dees et al. (J Appl Econ 22(1):38, Dees et al., J Appl Econ 22:1–38, 2007) between 1965 and 2019. The empirical findings indicated that the relationship between carbon emission and military expenditure should be taken into account from a global perspective for environmental sustainability, and an increase in the global military expenditure seems to be very harmful to the global environment. It can be concluded that country-based prevention cannot provide the desired solution in combating environmental pollution. © 2021, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.
DOES THE RISK-TAKING OR RISK-SHIFTING CHANNEL OF MONETARY POLICY WORK IN DEVELOPING COUNTRIES? EVIDENCE FROM TVP-VAR APPROACH
(Bandirma Onyedi Eylul University, 2023) Yıldırım, Durmuş Çağrı; Erdoğan, Seyfettin; Esen, Ömer; Çevik, Emrah İsmail
In the study, the validity of the risk-taking channel was investigated using the monthly data between 2003 and 2018, in particular for Brazil, South Africa and Turkey countries. According to test results, for Turkey the response of leverage rate to unexpected increases in policy interest rate was measured positively; for Brazil it was measured positively and for South Africa, it was measured positively during the sample period. Finally, for all countries the reaction of industrial production to shocks in the policy interest rate was calculated to be negative during the sample period. Thus, it is concluded that the risk-taking channel is effective for these countries during the analysis period (especially in times of crisis), and that monetary policy could be used as an effective tool for managing macroeconomic risk.
Dynamic relationship between international tourism, economic growth and environmental pollution in the OECD countries: evidence from panel VAR model
(Routledge Journals, Taylor & Francis Ltd, 2022) Gedikli, Ayfer; Erdoğan, Seyfettin; Çevik, Emrah İsmail; Çevik, Emre; Castanho, Rui Alexandre; Couto, Gualter
The aim of this study is to examine the impact of international tourism on economic growth and carbon emissions by using the Panel VAR model in selected OECD countries. By using yearly data for the periods of 1995 and 2020, we examine the dynamic relationship between international tourism, economic growth, and carbon emissions using the Granger causality test and impulse responses analysis. Although we could not determine the presence of a causal link between the variables using the Granger causality test, impulse responses analysis confirmed that responses of carbon emissions and economic growth to an unexpected international tourism shock are positive and significant. On the other hand, impulse responses analysis results show that responses of carbon emissions and economic growth to unexpected international tourism are positive and significant. The empirical findings also indicated that the responses of carbon emissions to an unexpected international tourism shock are higher than the responses of economic growth to an unexpected international tourism shock and these findings indicate that the negative impact of international tourism on environmental quality is greater than its positive impact on economic growth. Policymakers should take actions and measures to reduce the impact of international tourism on environmental deterioration. Improvements and dissemination of eco-friendly technologies in all tourism activities may help to reduce the negative impact of international tourism on carbon emissions.
Emerging market portfolios and Islamic financial markets: Diversification benefits and safe havens
(Elsevier, 2022) Buğan, Mehmet Fatih; Çevik, Emrah İsmail; Dibooğlu, Sel
We examine the relationship between Islamic and conventional stock market returns to see if Islamic financial markets provide portfolio diversification benefits and safe havens during turbulent times. Using daily data from January 1996 through September 2020 we consider conventional emerging stock market returns and some Islamic stock market returns and examine their interactions using causality-in-variance, dynamic conditional correlations, optimal hedge ratios, and causality-in-risk tests. Causality-in-variance test results show causality between Islamic stock returns and all emerging stock returns which indicates Islamic markets provide limited safe havens. Results from both time-varying conditional correlations and the hedge ratios show that there are positive and significant correlations between emerging stock markets and Dow Jones Islamic Market Index, which implies limited portfolio diversification benefits afforded by Islamic stock markets. Copyright (C) 2021, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.
Estimating volatility clustering and variance risk premium effects on bank default indicators
(Springer, 2021) Kenc, T.; Çevik, Emrah İsmail
Default risk increases substantially during financial stress times due to mainly the two reasons: volatility clustering and investors’ desire to protect themselves from such increases in volatility. It manifested in the aftermath of the Global Financial Crisis of 2008–2009 with unpleasant outcomes of many bankruptcies and severe financial distress. To account for these features, we adapted the structural credit risk approach to include both time-varying (return) volatility and risk premium about the return volatility itself. By applying the model to US banks, we obtain better bank default indicators in comparison to the benchmark models. © 2021, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
Financial conditions and monetary policy in the US
(Elsevier, 2020) Dibooğlu, Sel; Erdoğan, Seyfettin; Yıldırım, Durmuş Çağrı; Çevik, Emrah İsmail
We examine the FED's monetary policy rule with financial stability considerations and under asymmetry. We use the National Financial Conditions Index constructed by the Chicago FED in order to test whether financial stability concerns enter monetary policy formulations in the US. We model nonlinearity in monetary policy by a Markov regime-switching model. The results show that the monetary policy implemented by the FED can be characterized as a two-state Markov process and financial instability significantly increases the likelihood of regime-switching from a tranquil to a distressed regime. Moreover, the likelihood of a switch in the FED's monetary policy regime between tranquil and distressed seems to increase when a certain threshold level of the financial conditions index is reached. Finally, our results seem to be robust to alternative specifications of the reaction function and different forms of non-linearity.
Financial stress transmission between the U.S. and the Euro Area
(Elsevier B.V., 2022) Altınkeski, B.K.; Çevik, Emrah İsmail; Dibooğlu, Sel; Kutan, A.M.
This paper examines financial stress transmission between the U.S. and the Euro Area. To better understand the linkages between financial stress in the two regions, we construct a financial stress index for the U.S. similar to the Composite Indicators of Systemic Stress (CISS) that has been developed for the Euro Area with a focus on systemic risk. Using weekly data from 2000 to 2021 and Granger predictability in distribution test, we analyze stress transmission in “normal” times as well as under unusually high and low stress episodes. While we document unilateral transmission from the U.S. to the Euro Area under normal conditions based on the center of the distribution, tail dependence tests and impulse response analysis show significant bilateral transmission, particularly in unusually high financial stress episodes. This holds true for aggregate indices as well as the subindicators of financial stress in various financial markets. As such, there must be global efforts to contain financial crises and ensure a strong and resilient financial system. © 2022 Elsevier B.V.
Finansal Dışa Açıklık ile Ekonomik Büyüme İlişkisi: Asimetrik Nedensellik Testi Sonuçları
(2017) Yıldırım, Durmuş Çağrı; Çevik, Emrah İsmail
Bu çalışmada finansal serbestleşme süreci ile birlikte ortaya çıkan finansal dışa açılmanın Türkiye ekonomisi üzerindeki etkisi 1993-2016 yılları için ampirik olarak araştırılmıştır. Çalışmada ekonomik büyüme değişkeni reel GSYH serisinden elde edilmiştir. Finansal dışa açıklık değişkeni ise Aizenman (2004) tarafından yapılan tanıma göre oluşturulmuştur. Çalışmada, değişkenler arasındaki dinamik ilişki geleneksel Granger nedensellik testi ve Hatemi-J (2012) tarafından geliştirilen asimetrik nedensellik testi ile araştırılmıştır. Simetrik nedensellik testi sonucu GSYH'den finansal dışa açıklık oranına yönelik nedensellik ilişkisini göstermektedir. Asimetrik nedensellik testi sonuçları ise, ekonomik daralmanın finansal açıklık oranını pozitif yönde, ekonomik genişlemenin ise finansal açıklık oranını negatif yönde etkilediğini göstermektedir
Global Liquidity and Financial Stress: Evidence from Major Emerging Economies
(Routledge Journals, Taylor & Francis Ltd, 2016) Çevik, Emrah İsmail; Kırcı Çevik, Nüket; Dibooğlu, Sel
We examine the relationship between financial stress and global liquidity for the so-called fragile five emerging economies (Brazil, India, Indonesia, South Africa, and Turkey). By using an extensive set of variables that take into account the structural characteristics of these economies, we construct a financial stress index. We then use a Markov regime switching model to identify the high financial stress episodes. We examine periods of heightened financial stress and its relationship to high incidence of domestic and global disturbances. Finally, we construct a global financial liquidity index and assess the relationship between financial stress and global liquidity. Using a bivariate Markov regime switching VAR model, we find a regime-dependent relation between global liquidity and financial stress. Moreover, global liquidity shocks seem to strain these emerging economies in such a way that global illiquidity heightens financial stress.
Gold, silver, and the US dollar as harbingers of financial calm and distress
(Elsevier Science Inc, 2022) Dibooğlu, Sel; Çevik, Emrah İsmail; Gillman, Max
In this paper, we investigate the relationship between gold, silver, and the US dollar returns and financial stress to shed light on the circumstances where these assets serve as attractive investment vehicles and whether the assets signal financial conditions ahead. Using weekly data from 1994 to 2020 and predict-ability-in-mean, predictability-in-variance, and predictability-in-distribution, we examine the relationship between returns on gold, silver, and the US dollar and the St Louis Financial Stress Index (STLFSI). While we find no Granger predictability in the mean between gold returns and the aggregate STLFSI, there is some evidence of Granger predictability between silver and US dollar returns and financial stress. However, test results show significant bidirectional Granger predictability in variance between STLFSI and gold, silver, and US dollar returns. Predictability-in-distribution tests generally show significant bidirectional relationships between financial stress and gold, silver, and US dollar returns at the left and right tail of the distribution. We confirm the safe-haven properties of gold, silver, and the US dollar and find novel evidence that very low returns on these assets signal financial calm, and unusually high returns signal high financial stress ahead. In this sense, extreme gold, silver, and US dollar returns are harbingers of calm times or financial distress to come, acting as early financial market news providing risk guideposts for safety.(c) 2022 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.
Healthcare expenditures channel of natural resource curse: the case of gulf cooperation council countries
(Econjournals, 2020) Erdoğan, Seyfettin; Çevik, Emrah İsmail; Gedikli, Ayfer
The fact that the increase in natural resource revenues is not adequately transferred to human capital investments is one of the main reasons for explaining the weak economic growth performance. The findings of numerous studies investigating the relationship between healthcare expenditures and natural resource abundance in natural resource-rich countries confirm this assertion. These findings can be considered as a source of information in the process of determining the policies regarding human capital investments to be implemented in natural resource-rich countries. The aim of this study is to investigate the relationship between the abundance of natural resources and health expenditures by using data from 2000 to 2016 for Gulf Cooperation Council (GCC) member countries consisting of United Arab Emirates, Bahrain, Qatar, Kuwait, Saudi Arabia and Oman. The empirical results indicated that there is no causal relationship between the variables of GCC countries except Bahrain and UAE. This result shows that the resource curse hypothesis is partially valid. Therefore, GCC countries aiming to increase their economic growth performances by implementing a diversification strategy in production should allocate more sources to health expenditures in order to increase their labor efficiency. © 2020, Econjournals. All rights reserved.
Hisse Senedi Piyasaları Arasında Risk Durumunda Nedensellik İlişkisi
(2022) Çevik, Emrah İsmail; Sezen, Serhat
Bu çalışmada, G-20 ülkelerinin hisse senedi piyasaları arasında aşırı risk durumlarında nedensellik ilişkisinin olası varlığının tespit edilmesi amaçlanmıştır. Bu amaçla 2 Ocak 1995-26 Mayıs 2022 tarihleri arasında günlük hisse senedi kapanış fiyatları kullanılarak, G-20 ülkelerinin hisse senedi piyasaları arasında aşırı risk durumlarının olası varlığı Hong vd., (2009) tarafından geliştirilen risk durumunda nedensellik testi ile araştırılmıştır. Nedensellik testi sonuçlarına göre, ABD, İtalya, Almanya, Fransa, Çin, Brezilya, Arjantin ve Hindistan hisse senedi piyasalarından Türkiye hisse senedi piyasasına doğru ve Türkiye hisse senedi piyasasından da Endonezya, Meksika ve Güney Afrika hisse senedi piyasalarına doğru tek yönlü; Japonya, Kanada, Avustralya, Kore ve Rusya hisse senedi piyasaları ile Türkiye hisse senedi piyasası arasında çift yönlü risk durumunda nedensellik ilişkisi olduğu tespit edilmiştir. Son olarak, İngiltere hisse senedi piyasası ile herhangi bir risk durumunda nedensellik ilişkisine rastlanılmamıştır.
Identifying systemically important financial institutions in Turkey
(Elsevier, 2021) Çalışkan, Hande; Çevik, Emrah İsmail; Kırcı Çevik, Nuket; Dibooğlu, Sel
This paper examines the systemic risk of financial firms in Turkey. Using Component Expected Shortfall, we provide estimates of systemic risk in Turkey using daily data from 2005 to 2018 and a comprehensive data set encompassing 54 financial firms. Empirical results show that the preponderance of systemic risk in the sample in Turkey is due to large commercial banks. Top ten systemically important financial institutions dominate systemic risk measures in Turkey and account for more than 90 % of total risk over the sample. Consequently, the risk in the Turkish financial system is concentrated in specific financial institutions and makes close monitoring of the top firms essential. Historical incidence of systemic risk in the sample shows elevated levels of systemic risk correspond to well-known external events. Finally, a bivariate VAR model shows that systemic risk is correlated with measures of global financial risks and has significant negative effects on the real economy particularly on industrial production. This is important from a financial stability point of view in that close monitoring of the systemic risk is important in maintaining a healthy financial system and a well- functioning market economy.
Investor sentiments and stock markets during the COVID-19 pandemic
(Springer, 2022) Çevik, Emre; Altınkeski, Buket Kırcı; Çevik, Emrah İsmail; Dibooğlu, Sel
This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile regressions, a panel vector autoregression (PVAR) model, and country-specific regressions. We proxy for negative and positive investor sentiments using the Google Search Volume Index for terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significant relationships between positive and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor sentiment leads to an increase in stock returns while negative investor sentiment decreases stock returns at lower quantiles. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases volatility, whereas positive sentiment reduces volatility. These results are robust as they are corroborated by Granger causality tests and a PVAR model. The findings may have portfolio implications as they indicate that proxies for positive and negative investor sentiments seem to be good predictors of stock returns and volatility during the pandemic.

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