Browsing by Author "Erden, Lutfi"

Now showing 1 - 3 of 3

Citation - WoS: 5
Citation - Scopus: 6
The Determinants of Systemic Risk Contagion
(Elsevier, 2024) Atasoy, Burak Sencer; Ozkan, Ibrahim; Erden, Lutfi
The elevated interconnectedness of the global financial system has resulted in an increased frequency of financial crises, characterized by the swift transmission of turmoil between countries. This study introduces a novel quantile-connectedness-based contagion metric and investigates the drivers of systemic risk contagion, employing methodologies that address endogeneity and time-variation. We analyze data spanning two decades from 27 international banks and encompassing balance sheet-derived variables. Our findings indicate that contagion during the 2004-2021 period is largely driven by credit risk and leverage, while the impact of size and capital adequacy weakens after 2012. Furthermore, funding structure and profitability only display a significant effect during the 2014-2017 and Covid-19 periods, respectively. We also observe distinct peaks and troughs in each bank's systemic risk propagation, although they share commonalities with their counterparts. Given our findings, we suggest a holistic systemic risk surveillance model that employs high-frequency data and simultaneously incorporates multiple risk factors.
Citation - WoS: 2
Citation - Scopus: 3
Economic sentiment and foreign portfolio flows: Evidence from Türkiye
(Central Bank Republic Turkey, 2024) Gunes, Didem; Özkan, İbrahim; Ozkan, Ibrahim; Erden, Lutfi; 169580; Yönetim Bilişim Sistemleri
The notable surge in capital flows in recent years has emerged as a key factor shaping the dynamics of international financial markets and influencing economic performance of emerging economies. Even though macroeconomic fundamentals of an economy can explain some of the patterns in international capital flows, behavioral factors also seem to be essential for positioning capital flows across countries. In this study, we aim to examine whether overall economic sentiment towards Turkish economy plays a significant role on net portfolio flows to Turkiye. To this end, we first construct a novel text-based sentiment index called "Turkish Economic Sentiment Index (TESI)", to capture the behavioral tendencies of international investors and media towards Turkiye. Our subsequent step integrates TESI into autoregressive distributed lag models (ARDL) alongside major pull-push determinants to assess whether market sentiment holds discernible influence on capital influx into Turkey. The results reveal that the TESI and VIX stand out as pivotal determinants influencing international portfolio flows. The TESI has a positive impact on portfolio flow dynamics, whereas the degree of global risk aversion inversely affects these flows. These findings align with the contention that a favorable sentiment can boost portfolio inflows to emerging markets. Conversely, heightened volatility expectations in global markets can prompt outflows from these economies.
Citation - WoS: 0
Citation - Scopus: 0
Time-Varying Exchange Rate Pass-Through Over 2005-2021 Using Dynamic Model Averaging
(Elsevier, 2024) Colak, Yasemin; Erden, Lutfi; Ozkan, Ibrahim
This study reexamines the time-varying structure of exchange rate pass-through (ERPT) by employing the dynamic model averaging (DMA) method. DMA is a novel empirical methodology that allows both parameters and predictors of the model to change over time, thereby addressing model uncertainty in determining time-varying ERPT degrees. We apply DMA to quarterly time series data spanning from 1996:1-2021:3 for each of the 39 advanced and emerging economies in the sample. The findings reveal a shift in short run ERPT dynamics prompted by the global crisis in 2008-09. While ERPT levels are initially low, they have been rising steadily since the onset of the pandemic across all advanced countries. Conversely, the ERPT levels are approximately twice as high in emerging economies, exhibiting a U-shaped pattern over the sample period.