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Öğe Analyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey(Vilnius Univ, 2022) İlhan, Ali; Akdeniz, Coşkun; Özdemir, MetinThis study analyzes the dynamics of exchange market pressure in Turkey by employing the Markov regime switching model for the period from January 2006 to December 2019. Our findings show that there are two regimes in the foreign exchange market, characterized as low- and high-pressure periods. The domination of the high-pressure regime in the sample period indicates that depreciation pressure prevails in the Turkish foreign exchange market. During this regime, the pressure is aggravated by the rising inflation, credit growth, and VIX, and the falling of short-term external debt. Thus, in the presence of capital flows, the preferences of policy authorities regarding price stability and growth determine the course of the pressure. When these policy choices favor credit-driven growth, depreciation pressure in the foreign exchange market is exacerbated through the current account deficit.Öğe Construction of the monetary conditions index with TVP-VAR Model: Empirical evidence for Turkish economy(Springer, 2021) Akdeniz, CoşkunAs an important indicator for the central banks that adopting inflation targeting regime, this paper aims to construct a monetary conditions index (MCI) for Turkey based on the weighted sum approach covering the period of 1986:05-2018:10. As a novelty time-varying parameter vector autoregressive (TVP-VAR) models allowing the change of index weights is used over time. The results suggest that the weights of the index components varied substantially over the analysis period and the constructed index is able to capture the crisis periods accurately. © The Authors 2021. All rights reserved.Öğe Correction to: Construction of the monetary conditions index with TVP-VAR model: Empirical evidence for Turkish economy(Springer, 2021) Akdeniz, Coşkun[No abstract available]Öğe Does the Value of Currency Affect the Numbers of International Inbound Tourists to Turkey?(2021) Gaberli, Ümit; Akdeniz, Coşkun; Eti, Hasan SelçukThis study examined the effect of the value of the currency on international inbound tourist numbers to Turkey from Germany and Russia, which are the top two tourist generating countries for Turkey. Two different Turkish Lira regimes are investigated with Threshold Vector Autoregressive (Threshold-VAR) models, using the real broad effective exchange rate for Turkey as a threshold variable. The endogenous variables vectors are the macroeconomic variables of the tourist origin countries: the real broad effective exchange rate, consumer price index ratio (proxying for the price level), and total industry production (proxying for income level) for Germany and Russia. Because of data constraints, the estimated Threshold-VAR models for Germany and Russia covered different periods in 1997:01-2020:05 and 2000:01-2020:05, respectively. The key finding for both policymakers and tourism researchers is that when travels become cheaper in the Turkish Lira, this does not always attract more foreign tourists to Turkey.Öğe Does the Value of Currency Affect the Numbers of International InboundTourists to Turkey?(2021) Akdeniz, Coşkun; Eti, Hasan Selçuk; Gaberli, ÜmitThis study examined the effect of the value of the currency on international inbound tourist numbers toTurkey from Germany and Russia, which are the top two tourist generating countries for Turkey. Two differentTurkish Lira regimes are investigated with Threshold Vector Autoregressive (Threshold-VAR) models, using thereal broad effective exchange rate for Turkey as a threshold variable. The endogenous variables vectors are themacroeconomic variables of the tourist origin countries: the real broad effective exchange rate, consumer priceindex ratio (proxying for the price level), and total industry production (proxying for income level) for Germanyand Russia. Because of data constraints, the estimated Threshold-VAR models for Germany and Russia covereddifferent periods in 1997:01-2020:05 and 2000:01-2020:05, respectively. The key finding for both policymakersand tourism researchers is that when travels become cheaper in the Turkish Lira, this does not always attractmore foreign tourists to Turkey.Öğe Finansal Koşulların Taylor Kuralının Geçerliliği Üzerindeki Etkisi: Türkiye Üzerine Ampirik Bulgular(2019) Akdeniz, Coşkun; Çatık, Abdurrahman NazifTürkiye Cumhuriyet Merkez Bankası’nın (TCMB) öncelikli hedefi,enflasyon hedeflemesi rejiminin benimsenmesi ile birlikte fiyatistikrarının sağlanması ve korunması olarak belirlenmiştir.Ancak, 2008 Küresel finansal krizinden sonra TCMB’nin amaçfonksiyonu, finansal piyasalardaki dalgalanmaların ve sağlıksızfiyat oluşumlarının etkilerinin önlenmesi için finansal istikrarınsağlanmasını da içerecek şekilde yeniden düzenlenmiştir. Buçerçevede bu makale, Türkiye’deki finansal koşullardaki değişiminmerkez bankasının faiz oranı belirleme davranışına etkisiniincelemeyi amaçlamaktadır. Bu amaçla, finansal koşullar endeksinin(FKE) eşik değişken olarak belirlendiği bir açık ekonomi Taylorkuralı modeli, Ocak 2006 ile Aralık 2016 dönemini kapsayacakşekilde eşik Genelleştirilmiş Momentler Metodu (eşik GMM)yöntemi ile tahmin edilmiştir. Ampirik sonuçlar Taylor kuralınıngeçerliliğinin ancak finansal genişleme döneminde olduğunu imaetmektedir.Öğe Inflationary effects of oil price and exchange rate shocks in South Africa: Evidence from time-varying pass-through coefficients(Wiley, 2022) Akdeniz, Coşkun; Çatık, Abdurrahman Nazif; Ballı, EsraThis paper estimates the exchange rate and oil price pass-through to South African domestic prices (ERPT and OPPT, respectively). This study adopts a novel approach to compute pass-through coefficients along the pricing channel using the time-varying responses of the time-varying parameter (TVP)-VAR model. Our findings show that both ERPT and OPPT are incomplete, despite varying responses to local and global economic events that cause fluctuations in the exchange rate and oil prices. The ERPT coefficients have peaked in 1998 and 2001, coinciding with the crisis that caused the excessive depreciation of the domestic currency. The OPPT coefficients, on the other hand, reach their maximum effect during the 2008 global financial crisis. Our findings do not reveal a significant decline in ERPT compared with the 1980s. In contrast to a significant first-stage effect, the direct ERPT and OPPT coefficients are found to be insignificant. The findings also show that direct OPPT to consumer fuel prices is significantly higher than that of import prices.Öğe Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?(Elsevier Science Bv, 2018) Caporale, Guglielmo Maria; Helmi, Mohamad Husam; Catik, Abdurrahman Nazif; Ali, Faek Menla; Akdeniz, CoşkunThis paper examines the Taylor rule in five emerging economies, namely Indonesia, Israel, South Korea, Thailand, and Turkey. In particular, it investigates whether monetary policy in these countries can be more accurately described by (i) an augmented rule including the exchange rate, as well as (ii) a nonlinear threshold specification (estimated using GMM), instead of a baseline linear rule. The results suggest that the reaction of monetary authorities to deviations from target of either the inflation or the output gap differs in terms of the size and/or statistical significance of the coefficients in the high and low inflation regimes in all countries. In particular, the exchange rate has an impact in the former but not in the latter regime. Overall, an augmented nonlinear Taylor rule appears to capture more accurately the behaviour of monetary authorities in these countries.Öğe Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach(Elsevier Sci Ltd, 2022) Caporale, Guglielmo Maria; Çatık, Abdurrahman Nazif; Kışla, Gül Şerife Huyugüzel; Helmi, NMohamed Husam; Akdeniz, CoşkunThis paper investigates how exchange rates and oil prices have affected sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. Following the estimation of a benchmark linear model, Bai and Perron (2003) tests are carried out in each case to identify structural breaks, and then a state-space model with time-varying parameters is also estimated. The analysis shows that oil prices have a significant, positive effect on the energy sectors of all BRICS-T countries except India; a negative one on the industrial sectors of all countries except Turkey; a negative one on the financial sectors of Brazil, Russia, India, and South Africa; a negative one on the transportation sectors of India and Turkey and a positive one on that of Russia; finally, the most significant effect is on the chemicals sector, though it varies across countries. The subsamples and time-varying estimates indicate that exchange rate returns have a larger influence than oil price returns. Because energy-dependent sectors are vulnerable to global volatility, appropriate energy regulations should be implemented to reduce risk.Öğe Orta Gelir Tuzağının Türkiye Geneli ve Düzey Alt Bölgeleri İçin Tespiti(2020) İlhan, Ali; Akdeniz, CoşkunBu çalışmanın amacı, orta gelir tuzağının Türkiye’nin geneli ve düzey alt bölgeleri için var olup olmadığınıincelemektedir. Çalışmada ülke geneli için orta gelir tuzağının varlığı Robertson ve Ye’nin (2013) yaklaşımındanhareketle geleneksel ve yapısal kırılmaya izin veren birim kök testleri vasıtasıyla analiz edilirken, düzey alt bölgeleriiçin başta Yakalama Endeksi (Catch-Up Index, CUI) olmak üzere istatistiki sınıflandırmalar kullanılmıştır. 1960-2018döneminin ele alındığı ekonometrik analiz sonuçlarına göre, Türkiye ekonomisinde orta gelir tuzağı mevcut değildir.Bununla birlikte 2004-2017 dönemindeki CUI değerleri, düzey alt bölgelerinin çok büyük bir kısmının düşük gelirgrubunda yer aldıklarını ve orta gelir seviyesine yükselen bazı bölgelerin de son yıllarda konumlarını kaybettiklerinigöstermektedir. Bu bağlamda, Türkiye’nin orta gelir tuzağında yer almamasını yüksek gelir grubuna doğru yakınsamaile açıklamanın güçleştiğini ifade etmek mümkündür.Öğe Parasal Aktarım Mekanizmalarının İşleyişinde Finansal Koşulların Önemi: Tvp-Var Modellerinden Bulgular(2019) Akdeniz, Coşkun; Çatık, Abdurrahman NazifBu makalede Türkiye’de parasal aktarım mekanizmalarındaki değişimin finansal koşulların rolü dikkate alınarak incelenmesiamaçlanmaktadır. Bu çerçevede, parasal değişkenler ve finansal koşulların fiyatlar ve iktisadi aktivite üzerindeki etkileri zamanladeğişen parametreli vektör otoregresif (TVP-VAR) modellerin tahmininden elde edilen etki-tepki fonksiyonları ile analizedilmiştir. Sonuçlar aktarım mekanizmalarının işleyişinin zaman içinde önemli ölçüde değiştiğini göstermektedir. Fiyatlarınfaiz oranı şoklarına 2006 yılından sonra negatif ve anlamlı tepki vermesi; faiz oranı kanalının açık enflasyon hedeflemesinegeçiş ile birlikte etkin bir şekilde çalıştığını ima etmektedir. Finansal koşullar endeksine verilen şoklar özellikle finansal krizdönemlerinde iktisadi aktivite üzerinde pozitif ve anlamlı etkilere sahiptir. Bu nedenle söz konusu değişken iktisadi aktiviteniniyi bir öngörücüsü olarak dikkate alınabilir.Öğe TAYLOR KURALININ FARKLI PARA POLİTİKASI REJİMLERİ ALTINDA GEÇERLİLİĞİ: TÜRKİYE EKONOMİSİ İÇİN TVP-VAR MODELİ UYGULAMASI(2021) Akdeniz, CoşkunBu çalışmanın amacı, Türkiye ekonomisi için Taylor kuralını zamanla-değişen parametreli vektör otoregre- sif (TVP-VAR) modeli üzerinden analiz etmektir. Nominal döviz kurunu da içerecek şekilde genişletilen model, 1986:05-2019:12 dönemi için tahmin edilmektedir. Elde edilen ampirik bulgulara göre enflasyon açığı ve üretim açığı şokları sonrasında; faiz oranının verdiği tepkilerin büyüklüğünün zamanla değiştiği gözlemlenmiştir. Ayrıca döviz kuru şokları durumunda ise faiz oranının verdiği tepkinin hem yönünün hem de niceliksel büyüklü- ğünün değiştiği sonucuna ulaşılmıştır.Öğe The Effect of Real Wages on Employment after the Global Financial Crisis: The Case of the Turkish Manufacturing Industry(2024) İlhan, Ali; Akdeniz, CoşkunThis paper analyzes the effect of real wages on employment in the Turkish manufacturing industry after the 2008 global financial crisis. The effect was estimated for 24 manufacturing sectors using panel data analysis covering the period from 2009Q1 to 2019Q4. The panel cointegration results demonstrated a significant long-run relationship between real wages and employment, while the panel augmented mean group (AMG) estimator results indicated a significant long-run positive effect of real wages on employment. At the sectoral level, the effect was either insignificant or positive except for one sector. These findings indicate that an increase in real wages can raise employment by positively affecting the goods market and national income through the effective demand channel. That is, the manufacturing industry’s wage policies for enhancing effective demand can raise employment in Türkiye.Öğe The Impact of Macroeconomic Variables on the Stock Market in the Time of COVID-19: the Case of Turkey(2020) İlhan, Ali; Akdeniz, CoşkunAlong with the ongoing efforts to understand the effects of the COVID-19 pandemic on economies through various simulations and forecasts, the severe trauma experienced in financial markets has already manifested itself in market data. Besides the uncertainty created by the pandemic, fluctuations in macroeconomic variables have increased volatility in the developed and emerging stock markets. In this context, this study aims to examine the effect of macroeconomic variables on the BIST 100 index before and during the COVID-19 pandemic. Hence, the effects of interest rate, exchange rate, CDS premium, VIX, and oil prices on BIST 100 are estimated using the Flexible Least Squares method, which allows for the time-varying coefficient estimation, for the period of 13 September 2019 to 11 September 2020. Empirical findings indicate that interest rate, VIX, and oil prices had significant effects on BIST 100 for certain periods. On the other hand, the exchange rate and CDS premium significantly and negatively affect BIST 100 in the whole sample. Moreover, it is determined that the exchange rate is the macroeconomic variable with the highest impact on BIST 100 based on the quantitative magnitude of the coefficients.Öğe The impact of oil prices on oil-gas stock returns: A fresh evidence from the covid-affected countries(Bucharest University of Economic Studies, 2021) Akdeniz, Coşkun; Çatık, Abdurrahman Nazif; Huyugüzel Kışla, GülThe effects of oil price exposure of oil-gas sectors of the countries largely affected by Covid-19 is analyzed with a time-varying parameter model. Estimation results suggest that market risk of all countries’ oil-gas sector excluding China has increased remarkably compared to the period before the spread of the virus. Positive and significant effects of the oil price factor become negative and significant for most countries during the pandemic. The results further indicate that the oil-gas sector of China is not affected by the outbreak of Covid-19, even though the virus has first appeared in that country. © 2021, Bucharest University of Economic Studies. All rights reserved.Öğe The validity of the real interest differential model for Turkey with Markov regime switching(Peter Lang AG, 2021) Akdeniz, Coşkun; İlhan, AliFactors driving the fluctuations in exchange rates have always been on the agenda of economists. For this purpose, many theories have been developed to find the determinants of exchange rate movements. One of the best known of these theories is Frankel's (1979) Real Interest Differential (RID) Model, which explains exchange rate movements with a monetarist approach. RID model is an approach that tries to explain exchange rate changes among countries by the differences between money supplies, income levels, interest rates and expected inflation rates. Although this monetary model is useful in explaining long-term relationships, it has been considered as inadequate to explain the mutual dynamic interactions between monetary fundamentals and exchange rates that change over time. The nonlinear relationship between exchange rates and monetary fundamentals has led to the analysis of theoretical models to explain exchange rate movements with nonlinear methods. Accordingly, in this study the validity of Frankel's (1979) RID model is tested for Turkey during the 1990:01-2018:12 period by performing the Markov Regime Switching (MS) method. Findings show that there are two regimes reflecting; specifically the periods of decrease in exchange rates (first regime) and the periods of increase (second regime) throughout the analyzed period. According to the MS estimation results, while all the explanatory variables other than the relative interest rate are statistically significant in the first regime, the effect of relative income on the exchange rate is positive and contrary to expectations. In the second regime, all the explanatory variables except the relative income level are statistically significant and the coefficient signs are consistent with the predictions of the RID model. In this context, it is possible to state that the RID model helps to understand the movements in the USD/TL exchange rate in certain periods. © Peter Lang GmbH Internationaler Verlag der Wissenschaften Berlin 2020. All rights reserved.Öğe TIME-VARYING EXCHANGE RATE PASS-THROUGH TO DOMESTIC PRICES: EVIDENCE FROM TURKEY(Institute for Economic Forecasting, 2023) İlhan, Ali; Akdeniz, Coşkun; Özdemir, MetinExchange rate fluctuations have decisive effects on inflation dynamics and monetary policy in emerging market economies. This paper analyzes exchange rate pass-through to domestic prices in Turkey by employing the TVP-VAR model for the period from 2002:01 to 2019:12. Our findings indicate that exchange rate pass-through varied throughout the relevant period. Specifically, the pass-through coefficients decreased considerably after adopting the inflation targeting regime, whereas it accelerated significantly following the exchange rate depreciations, especially after 2013. This upward trend was probably due to structural problems and policy choices. Rising pass-through coefficients may imply the exchange rate pass-through has an impact during inflation targeting. However, it should be noted that inflation targeting has underperformed in Turkey due to policy preferences in the last decade. © 2023, Institute for Economic Forecasting. All rights reserved.Öğe Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey(Elsevier Ltd, 2020) Nazif Çatık, A.; Huyugüzel Kışla, G.; Akdeniz, CoşkunThis article analyzes the impact of oil price changes on the sectoral stock-market returns of Turkey. For this purpose, asset-pricing models augmented with oil price and exchange rate changes are estimated using daily return data for 12 sectors in the Istanbul Stock Exchange covering the period between January 3, 1997 and August 9, 2018. Test results identify significant structural break points that vary across sectors, indicating the presence of serious parameter instabilities over the investigation period. Therefore, we conclude that linear estimation procedures may not be a convenient tool for capturing asset-pricing behaviors in the market. Time-varying parameter estimates based on a state-space model imply that the impact of oil price returns differ markedly over time and generally have a smaller impact on sectoral returns compared with exchange rate returns. Transportation, banking, chemicals, electricity, food and beverage, metal goods, machinery, and industrials are found to be adversely and significantly affected by oil price increases, whereas most sectors are affected by exchange rate returns over the analysis period. © 2020 Elsevier Ltd
