Bankacılık ve Sigortacılık Bölümü

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Citation Count: Hasanov, M., Omay, T. (2008). Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets. Applied Economics, 40(20), 2645-2658. http://dx.doi.org/10.1080/00036840600970310
Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets
(Routledge Taylor&Francis Group, 2008) Omay, Tolga; Hasanov, Mübariz
Recent developments in time series analysis allow proper modelling of nonlinearities in economic and financial variables. A growing body of research was dedicated to investigation of potential nonlinearities in conditional mean of many economic and financial variables, mainly concentrating in developed economies. However, nonlinearities in financial variables in developing economies have not been fully examined yet. In this article we investigate potential nonlinearity and cyclical behaviour of stock returns in Europe's two largest emerging stock markets, mainly in the Greek and Turkish stock markets. Specifically, we use STAR family models, which allow to model nonlinearities in the conditional mean, for modelling monthly returns on stock exchange indices of the Athens Stock Exchange and Istanbul Stock Exchange. Although we find no nonlinearity in conditional variance, we do find strong evidence in favour of nonlinear adjustment of stock returns. It is found that allowing for nonlinearity in conditional mean results in a superior model and provides good out-of-sample forecasts, which contradicts to efficient market hypothesis
Citation Count: Omay, T., Hasanov, M. (2008). The effects of inflation uncertainty on interest rates: a nonlinear approach. Applied Economics, 42(23), 2941-2955. http://dx.doi.org/10.1080/00036840801964757
The effects of inflation uncertainty on interest rates: a nonlinear approach
(Routledge Taylor&Francis Group, 2010) Omay, Tolga; Hasanov, Mübariz
In this article, we investigate the effects of inflation variability on short-term interest rates within a nonlinear smooth transition regression framework. The test results suggest that only the conditional mean of the inflation is a nonlinear process whereas the conditional variance is time variant but linear. Using the square root of conditional variance as a proxy for inflation risk, we estimate Fisher equation augmented with inflation risk. Although the estimated Fisher equations suggest that inflation risk reduces short-term interest rates, we find that the effects of inflation risk on interest rates are regime-dependent. Particularly, we find that the negative effects of inflation variability on nominal rates are greater in low-inflationary regimes when compared to high-inflationary regimes. On the other hand, it is found that both inflation and inflation uncertainty raise the expected inflation effect
Citation Count: Omay, T., Hasanov, M. (2011). The relationship between inflation, output growth, and their uncertainties: evidence from selected CEE countries. Emerging Markets Finance And Trade, 47(3), 5-20. http://dx.doi.org/10.2753/REE1540-496X4704S301
The relationship between inflation, output growth, and their uncertainties: evidence from selected CEE countries
(M E Sharpe Inc, 2011) Hasanov, Mübariz; Omay, Tolga
In this paper, we examine causal relationships between inflation rate, output growth rate, inflation uncertainty, and output uncertainty for ten Central and Eastern European transition countries. For this purpose, we estimate a bivariate GARCH model that includes output growth and inflation rates for each country. Then we use conditional standard deviations of inflation and output to proxy nominal and real uncertainty, respectively, and perform Granger causality tests. Our results suggest that inflation rate induces uncertainty about both inflation rate and output growth rate, which is detrimental to real economic activity. At the same time, we find that output growth rate reduces macroeconomic uncertainty in some countries. In addition, we also examine and discuss causal relationships between the remaining variables
Citation Count: OMAY, T., (2010). Türkiye için reaksiyon fonksiyonunun doğrusal olmayan modelle tahmin edilmesi. Çankaya University Journal of Humanities and Social Sciences, 7/2 (Kasım 2010), ss.467–490. ISSN 1309-6761
Türkiye için reaksiyon fonksiyonunun doğrusal olmayan modelle tahmin edilmesi
(Çankaya Üniversitesi, 2010) Omay, Tolga; Hasanov, Mübariz; 19320
In this paper we have estimated the monetary reaction function of the Central Bank of the Republic of Turkey. The originality of the paper is that we have used smooth transition functions (STR) that allow for proper modelling of nonlinearities and asymmetries in the relationship between variables under consideration. The estimated models suggest that the backward-looking instead of foreward-looking models best characterize the Central Bank’s reaction function, that is, the Central Bank reacted to past inflation rates rather than to future rates. This finding is in conformity with earlier research. We have found that the main purpose of expansionary policy of the Central Bank is to stabilize output whereas contractionary policies aimed only at reducing the inflation rate. The fact that the Central Bank has disregarded inflation in conducting expansionary policy and focused only on output stabilisation may explain why the Central Bank was not successful in fighting inflation. Besides, neither in expansionary policy regime nor in contractionary policy regime, real exchange rate is not targeted by the Central Bank. Moreover, budget deficit is targeted only in the contractionary policy regime

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