Browsing by Author "Hasanov, Muebariz"

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Citation - WoS: 17
Citation - Scopus: 20
Monetary policy rules in practice: Re-examining the case of Turkey
(Elsevier, 2008) Hasanov, Muebariz; Omay, Tolga; Omay, Tolga; Çankaya Meslek Yüksekokulu
This paper investigates possible asymmetries in the monetary policy reaction function of the Central Bank of Republic of Turkey over the business cycles. It is found that the bank reacted more aggressively towards output stabilisation during recessions than expansions. The empirical evidence suggests that the inflation targeting policy of the Turkish Central Bank was accommodative rather than stabilising. Furthermore, it is found that although the Central Bank of Republic of Turkey responded to foreign reserves, real exchange rates and short-term capital inflows both in expansion and recession periods, the bank targeted money growth, budget deficits, and net foreign assets only in expansion periods. (c) 2008 Elsevier B.V. All rights reserved.
Citation - WoS: 20
Citation - Scopus: 23
Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets
(Routledge Journals, Taylor & Francis Ltd, 2008) Hasanov, Muebariz; Omay, Tolga; Omay, Tolga; Çankaya Meslek Yüksekokulu
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 - WoS: 12
Citation - Scopus: 12
The effects of inflation uncertainty on interest rates: a nonlinear approach
(Routledge Journals, Taylor & Francis Ltd, 2010) Omay, Tolga; Omay, Tolga; Hasanov, Muebariz; Çankaya Meslek Yüksekokulu
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.