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    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, Coşkun
    This 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.
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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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    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.