Yazar "Cevik, Emrah I." seçeneğine göre listele

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    Granger predictability of real oil prices by us money and inflation in Markov-switching regimes
    (Springer Heidelberg, 2025) Cevik, Emrah I.; Dibooglu, Sel; Gillman, Max; Benk, Szilard
    This paper presents new evidence that US money supply growth and inflation rates Granger predict real oil prices in a two-regime Markov switching vector autoregression (MS-VAR) model. An asset pricing theory motivates the empirical work by showing how jumps in real oil prices approximately follow jumps in the discount factor to keep constant the competitive return to oil capital. Using monthly data from January 1978 to June 2024, we consider alternative data combinations of US money supply growth rates, US inflation rates, and real oil prices to establish volatility regimes through goodness of fit testing. We set baseline model as that model with the highest likelihood in explaining the real oil price, which combines M2, the CPI less energy prices (CPIE), and real oil prices. Robustness considers two M2 variants combined with the CPIE that have the next highest likelihoods, for two alternative models. In the high volatility regime, results show robust Granger predictability of real oil prices by the baseline M2 and the M2 variants. In the low volatility regime for the baseline model, the CPIE inflation rate Granger predicts real oil prices. The paper contributes these new MS-VAR results that combined with the theory provide nuanced non-conventional support that monetary factors contribute to heightened real oil price episodes in volatile times as well as in calmer periods.
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    Investigating the Connectedness between Oil and Stock Markets in GCC countries: Evidence from Rolling-Window Frequency Domain Causality
    (Springer, 2025) Sezen, Serhat; Cevik, Emrah I.; Al-Eisa, Eisa Abdulrahman; Bugan, Mehmet Fatih; Destek, Mehmet Akif
    This study aims to investigate the causal relationship between oil prices and stock markets in GCC countries. We use weekly stock index and crude oil price data from November 21, 2003, to August 6, 2021, to analyze the spillover effect on the returns and variances of these countries. First, the link between the variables is examined using the frequency domain causality test. Since our sample includes important financial episodes such as the global financial crisis and the global COVID-19 pandemic, we employ rolling-window frequency domain causality test to determine whether such causal relationships exist in these financial crises. To the best of our knowledge, the paper is among the first to employ rolling-window frequency domain causality test to investigate the relationship between the variables. The analysis reveals that the Omani, Kuwaiti, and Bahraini stock markets have limited portfolio diversification benefits due to their high dependence on the price of oil. In addition, Saudi Arabia has the most pronounced divergence in the oil price interaction among GCC stock markets. Investors can benefit from the empirical results practical implications, particularly regarding portfolio diversification. The shifting link between oil and stock markets across different countries and time periods underscores the importance of dynamic diversification strategies that adapt to business cycles.
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    Time and quantile domain connectedness between the geopolitical risk of China and precious metals markets
    (Elsevier Sci Ltd, 2023) Lu, Chengwu; Zafar, Muhammad Wasif; Cevik, Emrah I.; Destek, Mehmet Akif; Bugan, Mehmet Fatih
    It is expected that the irrational behavior of the investors due to psychological reasons in risk situations, the decisions taken in fear and panic affect the performance of investment instruments, and thus the decisions of the diversified portfolio. Therefore, in this study, we investigated the existence of the argument that precious metals investments as an investment asset can protect against geopolitical risks and potentially act as a safe haven against such risks. To this end, we examine the impact of geopolitical risk for China, because China is the world leader in terms of the production of precious metals, on gold, silver, palladium, and platinum prices. In doing so, the monthly data from January 1990 to August 2022 is analyzed with time-varying quantile connectedness method. Our results show that especially during the higher tension periods such as the bombing of the Chinese Embassy in Yugoslavia in 1999, the 9/11 terrorist attacks, the trade war between the USA and China and Covid19 pandemic, high precious metals have received spillover from the geopolitical risk index.
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    Unleashing power of financial technologies on mineral productivity in G-20 countries
    (Elsevier Sci Ltd, 2024) Cevik, Nuket Kirci; Cevik, Emrah I.; Destek, Mehmet Akif; Bugan, Mehmet Fatih; Manga, Muege
    This study aims to investigate the effects of financial technologies (FinTech) on mineral productivity, used for the first time in an empirical analysis, for G-20 countries. In the process, the impacts of financial technology, population, economic growth, trade openness, human capital, and total factor productivity on mineral productivity are examined using panel regression and panel VAR procedure for the period from 2002 to 2019. Empirical research yielded evidence indicating that increasing factor productivity and finance technology drive an increase in mineral productivity. Nonetheless, there is an inverse relationship between trade openness and mineral productivity. Moreover, there is no statistically significant relationship between economic growth, population growth, human capital accumulation, and mineral productivity. Furthermore, we also utilized with method of moments quantile regression technique to observe the effects of explanatory variables on different quantiles of mineral productivity. The findings demonstrate that although economic growth has a negative effect on mineral productivity across all quantiles, a positive increase in factor productivity has an influence on mineral productivity across all quantiles. However, financial technology and human capital accumulation only benefit mineral productivity at huge quantiles. Additionally, the outcomes of the robustness check techniques used show that financial technologies and mineral productivity have a bidirectional causal link and that, in the former instance of positive shocks in the latter, there are positive and substantial reactions.