Yazar "Dibooglu, Sel" 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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    Interconnectedness and systemic risk: Evidence from global stock markets
    (Elsevier, 2024) Cevik, Emrah Ismail; Terzioglu, Hande Caliskan; Kilic, Yunus; Bugan, Mehmet Fatih; Dibooglu, Sel
    The study aims to examine systemically important stock markets in the global financial system within the scope of portfolio theory. For this purpose, we use daily stock market indices from 46 countries (23 developed and 23 developing stock markets) in North America, Latin America, the Middle East and Africa, Asia, the Pacific, Eastern Europe, and Europe between 1995 and 2021. Based on the Component Expected Shortfall (CES), we identify systemically important stock markets and use the quantile spillover analysis to examine the financial contagion and directional spillovers emanating from downside risks among stock markets. Overall, we observe stock markets of developed countries figured prominently in terms of systemic risk until the Global Financial Crisis (2007-2009; henceforth GFC), while developing country stock markets particularly those of China and India gained traction after the GFC. Moreover, we observe a shift in terms of systemic risk in recent years from the West to the East geographically. To increase global financial market resilience and improve stability, supervision, and macroprudential policies can be formulated to limit risk spillovers in global stock markets. Additionally, it is critical to diversify investments outside equity markets, such as currency, bond, gold, and oil asset classes. When considering overseas portfolio choices for diversity, investors should keep the financial spillover effects in mind.
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    Quantile connectedness between VIX and global stock markets
    (Borsa Istanbul Anonim Sirketi, 2024) Kirci Altinkeski, Buket; Dibooglu, Sel; Cevik, Emrah Ismail; Kilic, Yunus; Bugan, Mehmet Fatih
    This paper investigates the dynamics of the interactions between international stock returns and perceived volatility measured by the VIX index using quantile-on-quantile spillover analysis. Using weekly data from 1995 to 2023 and a comprehensive data set from developed and emerging stock markets, we investigate the relationship between the VIX and stock market returns accounting for time-varying relationships and cross-quantile relationships. Empirical results show that the indirectly related quantile total spillovers between the VIX and equity returns surpasses the directly related quantile total spillovers. High returns occur at low VIX levels and low returns at high VIX levels. The highest total spillovers across all stock markets occur at the highest quantile level for the VIX and the lowest quantile level for stock returns, for both developed and emerging markets. High connectedness between the VIX and stock market returns, particularly at extreme quantiles, suggests that investors should look at other investment vehicles for diversification during uncertain times. © 2024 Borsa İstanbul Anonim Şirketi
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    Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis
    (Elsevier, 2022) Kılıç, Yunus; Destek, Mehmet Akif; Çevik, Emrah İsmail; Buğan, Mehmet Fatih; Korkmaz, Oya; Dibooglu, Sel
    In this paper, we examine comovements between stock market returns and investments that take into account Environmental, Social, and Governance (ESG) factors by studying the interconnections between the two returns in time and frequency space. We study interdependencies between the conventional stock market and ESG stocks using daily data from 2007 to 2021 for 19 developing and 19 developed countries. Our results show significant comovement patterns between ESG returns and stock returns at various frequencies, time scales, and sample episodes in all countries, particularly during periods of financial turmoil. For the most part, we document positive (in-phase) comovements between the stock returns and ESG returns in developing countries and negative (out-of-phase) comovements in developed countries. This implies limited portfolio gains from adding ESG stocks to portfolio diversification in developing countries but significant gains in developed countries.Copyright (c) 2022 Borsa Istanbul Anonim S, irketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
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    The impact of geopolitical risks on clean energy mineral prices: Does the Russia-Ukrainian war matter?
    (Taylor & Francis Inc, 2024) Pata, Ugur Korkut; Cevik, Emrah Ismail; Destek, Mehmet Akif; Dibooglu, Sel; Bugan, Mehmet Fatih
    The transition to a low-carbon economy requires a steady and secure supply of minerals, which are susceptible to international tensions. In particular, the coronavirus pandemic in 2019 and the Russia-Ukraine conflict in 2022 are two novel shocks affecting the clean energy market. Measuring the impact of increasing geopolitical risks due to these shocks on the clean energy sector is critical to the future of sustainable development. In this framework, this study uses wavelet coherence analysis and time-varying parameter VAR methods to examine the impact of geopolitical risks on the prices of aluminum, copper, lead, zinc, cobalt, and nickel from January 1992 to August 2022. The results show that mineral prices decreased during the COVID-19 period and increased after the Russia-Ukraine conflict. The results also indicate that global geopolitical risk has a moderating effect on the prices of copper, aluminum, cobalt, and zinc, while geopolitical risk associated with Russia increases the prices of all minerals except cobalt. These results imply that the problems in Russia destabilize the prices of mineral commodities used in the renewable energy market, while the global geopolitical risks do not pose serious problems. Therefore, the Russian-Ukrainian conflict should be resolved in order to use clean energy minerals more effectively.
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    Volatility Spillover Networks of Credit Risk: Evidence from ASW and CDS Spreads in Turkey and Brazil
    (Savez Ekonomista Vojvodine, 2024) Gunay, Samet; Cevik, Emrah Ismail; Dibooglu, Sel
    This study examines received and transmitted volatility spillovers of Credit Default Swap (CDS) and Asset-Swap Spread (ASW) for Brazil and Turkey. The empirical analysis is implemented using two country-based (stock markets and exchange rates) and two global (volatility index and global economic activity index) variables to account for the impact of integration into global markets. Empirical results suggest that both countries display distinctive features in their spillover networks. While exchange rates and the stock market figure prominently in Brazil as a source of spillovers, for Turkey, the primary element in spillovers appears to be credit risk indicators. Time-varying analysis results show that the European Debt Crisis of 2010-2011 and the global liquidity crunch of 2018-2019 are two critical periods in volatility spillovers that occurred toward credit risk indicators. Brazil displays more sensitivity to the developments of the pandemic than Turkey, likely due to its dependence on global economic activity and energy prices. Finally, for both countries, the leading variable in spillovers to credit risk indicators during financial turbulence episodes appears to be foreign exchange markets. This result highlights both economies' fragility and vulnerability to foreign exchange market-based shocks. Thus, we suggest effective and solid measures in this regard. Otherwise, those shocks could potentially induce a higher cost of financing in both economies due to the negative impacts on CDS and ASW spreads.