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    Testing the environmental Kuznets curve hypothesis in the transport sector for OECD countries: a dynamic panel threshold approach
    (Springer Heidelberg, 2024) Catik, Abdurrahman Nazif; Ilhan, Ali; Akdeniz, Coskun
    This study tests the environmental Kuznets curve (EKC) hypothesis in the transport sector for 28 OECD countries from 1990 to 2019. As a novelty, the relationship between gross domestic product (GDP) and carbon dioxide (CO2) emissions from the transport sector is investigated with the estimation of the dynamic panel threshold regression based on the generalized method of moments (GMM) estimator by Seo and Shin (Seo and Shin, J Econom 2:169-186, 2016). This approach enables us to test EKC and capture possible nonlinearities between variables. Along with the analysis of the EKC hypothesis, our study also investigates the effects of road petroleum products consumption, renewable energy consumption, and trade openness on transport CO2 emissions. The threshold regression results, where GDP per capita is employed as the transition variable, support the nonlinear relationship between CO2 emissions from the transportation sector and GDP by rejecting the null hypothesis of no threshold effect. This finding indicates the existence of two different regimes, i.e., the lower and upper regimes, based on the optimum value of the GDP per capita. Economic growth damages the environment in the lower regime, whereas it improves environmental quality in the upper regime. Therefore, the results indicate the presence of an inverted U-shaped relationship and support the EKC hypothesis in the OECD transportation sector. As a result, it is concluded that achieving sustainable economic growth is critical for investing in environmentally friendly technologies required to achieve the goal of reducing transportation-related CO2.
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    The Effect of Real Wages on Employment after the Global Financial Crisis: The Case of the Turkish Manufacturing Industry
    (Sosyoekonomi Soc, 2024) Ilhan, Ali; Akdeniz, Coskun
    This 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 Turkiye.
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    The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models
    (Econjournals, 2023) Helmi, Mohamad Husam; Nazif Catik, A.; Kosedagli, Begüm Yurteri; Kisla, Gul Serife Huyuguzel; Akdeniz, Coskun
    This paper examines the effects of oil and natural gas prices on the oil and gas sectors of the BRIC countries (Brazil, Russia, India, and China) over the period over from 2013 to 2022. Unlike previous studies, it employs a time-varying capital asset pricing model based on the estimation of state-space mode. In brief, the findings highlight significant changes in the asset-pricing model parameters across all countries, indicating the limitations of using time-invariant estimates. Specifically, Brazil shows the highest volatility in oil price risk, followed by Russia, both being oil-exporting countries, while market beta values remain relatively stable. Time-varying estimates further suggest that natural gas parameters are relatively lower and less significant than those of oil prices. The Russian-Ukrainian conflict’s energy crisis adversely affects the performance of oil and gas sectoral stock returns. This war has had a negative and significant impact on China’s oil-gas stock return. © 2023, Econjournals. All rights reserved.
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    The impact of central bank digital currency news on the stock and cryptocurrency markets: Evidence from the TVP-VAR model
    (Elsevier, 2023) Helmi, Mohamad Husam; Catik, Abdurrahman Nazif; Akdeniz, Coskun
    This study employs a non-linear framework to investigate the impacts of central bank digital currency (CBDC) news on the financial and cryptocurrency markets. The time-varying vector autoregressive (TVP-VAR) model developed by Primiceri (2005) is estimated based on weekly data from the first week of January 2015 to the last week of December 2021. The vector of endogenous variables in the VAR estimation contains the Central Bank Digital Currency uncertainty index (CBDCU), cryptocurrency policy uncertainty index, S&P 500 index, VIX, and Bitcoin price. The TVP-VAR model's time-varying responses demonstrated that the reactions of the cryptocurrency market to central bank digital currency announcements vary remarkably over time. The impacts of the CBDC shocks on the financial market have been increasingly visible during the COVID-19 pandemic. According to the time-varying forecast error decompositions, CBDCU and VIX shocks have accounted for most of the variance in cryptocurrency uncertainty and Bitcoin return shocks, notably during the COVID-19 period.
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    The Impact of Tourism Activities on Carbon Emissions: Evidence Using a Time-Varying Parameter Vector Autoregression Model
    (Istanbul Univ, 2025) Catik, A. Nazif; Balli, Esra; Akdeniz, Coskun; Cobanoglu, Cihan; Helmi, Mohamad Husam
    This article examines the impact of tourism activities, economic growth, and energy demand on environmental degradation in Turkey using Primiceri's (2005) time-varying parameter structural vector autoregression model for the period 1991:Q1 to 2020:Q1. The findings from the linear VAR model indicate that the response of carbon emissions to shocks in tourism activity is negative and significant. However, the time-varying responses show that the impact of tourism activities on environmental degradation varies over time but is not significant for most analysis period. The insignificant impact of tourism on carbon emissions implies that the tourism sector can be supported by policymakers without harming the environment. Furthermore, our findings on the positive and significant time- varying impact of tourism activities on economic growth support the validity of the tourism-led growth hypothesis.
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    Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe
    (Springer, 2024) Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; Helmi, Mohamad Husam; Akdeniz, Coskun; Ilhan, Ali
    This paper examines the effects of the COVID-19 pandemic on CDS, stock returns, and economic activity in the US and the five European countries that have been most affected: the UK, Germany, France, Italy, and Spain. The sample period covers the period from 11 March 2020 to 19 February 2021. In the empirical analysis, first, we estimate benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility, which are ideally suited to capturing the changing dynamics in both financial markets and the real economy. The linear VAR responses of CDS to the number of COVID-19 cases are positive and statistically significant, whilst those of electricity consumption are insignificant and those of stock returns vary across countries in terms of their sign and significance. The results from the TVP-VAR analysis indicate that the effects of shocks on the system variables was more pronounced during the initial stages of the pandemic and then decreased in the following months. Specifically, there was a positive impact of the number of COVID-19 cases on CDS and a negative one on stock returns and economic activity, the latter two being interlinked.
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    TIME-VARYING EXCHANGE RATE PASS-THROUGH TO DOMESTIC PRICES: EVIDENCE FROM TURKEY
    (Inst Economic Forecasting, 2023) Ilhan, Ali; Akdeniz, Coskun; Ozdemir, Metin
    Exchange 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.