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Toplam kayıt 17, listelenen: 1-10
Identifying systemically important financial institutions in Turkey
(Elsevier, 2021)
This paper examines the systemic risk of financial firms in Turkey. Using Component Expected Shortfall, we provide estimates of systemic risk in Turkey using daily data from 2005 to 2018 and a comprehensive data set ...
Oil prices, stock market returns and volatility spillovers: Evidence from Turkey
(Elsevier B.V., 2020)
This paper examines the relationship between crude oil prices and stock market returns in Turkey taking into account volatility spillovers that are exemplified by second moment effects. Using weekly data from 1990 to 2017 ...
Renewable and non-renewable energy consumption and economic growth in the US: A Markov-Switching VAR analysis
(SAGE Publications Inc., 2021)
We examine the relationship between renewable and non-renewable energy consumption and economic growth in the United States. While the regime-dependent Granger causality test results for the non-renewable energy consumption ...
Bank default indicators with volatility clustering
(Springer Science and Business Media Deutschland GmbH, 2021)
We estimate default measures for US banks using a model capable of handling volatility clustering like those observed during the Global Financial Crisis (GFC). In order to account for the time variation in volatility, we ...
Financial conditions and monetary policy in the US
(Elsevier, 2020)
We examine the FED's monetary policy rule with financial stability considerations and under asymmetry. We use the National Financial Conditions Index constructed by the Chicago FED in order to test whether financial stability ...
Global Liquidity and Financial Stress: Evidence from Major Emerging Economies
(Routledge Journals, Taylor & Francis Ltd, 2016)
We examine the relationship between financial stress and global liquidity for the so-called fragile five emerging economies (Brazil, India, Indonesia, South Africa, and Turkey). By using an extensive set of variables that ...
The effect of North Korean threats on financial markets in South Korea and Japan
(Elsevier Science Bv, 2016)
This paper examines the effects of North Korean threats, as measured by the proprietary North Korean Threat Index (NKTI), on financial markets in South Korea and Japan. We examine the effects of the threats on stock markets, ...
Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia
(Springer Heidelberg, 2021)
This work reinvestigates the interrelationship between crude oil prices and stock market returns in Saudi Arabia by taking into account volatility spillovers that are exemplified by second-moment effects. Using weekly data ...
The Relationship Between Price Stability and Financial Stability: Evidence From Major Emerging Economies
(Routledge Journals, Taylor & Francis Ltd, 2019)
We examine the relationship between price stability and financial stability for major emerging economies using a Markov regime-switching model. Empirical results suggest that monetary policy is consistent with the Taylor ...
Financial stress transmission between the U.S. and the Euro Area
(Elsevier B.V., 2022)
This paper examines financial stress transmission between the U.S. and the Euro Area. To better understand the linkages between financial stress in the two regions, we construct a financial stress index for the U.S. similar ...