Browsing by Author "Omay, T."

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Citation - Scopus: 0
Does the term structure of interest rate predict real economic activity? Nonlinear evidence from Turkey
(Nova Science Publishers, Inc., 2013) Omay, T.; Omay, Tolga; Hasanov, M.; Çankaya Meslek Yüksekokulu
In this chapter we investigate whether the term structure of interest rates contains useful information about future real economic activity in Turkey for the period 1995:1 to 2003:3. The best model to describe the relationship between the term structure of interest rate and real economic activity in Turkey has been found to be Multiple Regime Smooth Transition Regression (MR-STR) model. Our results show that the relationship between the term structure of interest rates and the future economic activity is negative and significant in economic expansion and contraction periods, while it becomes positive and insignificant in moderate growth periods. In order to analyze these relationships, we employ correlation analysis by using nonparametric estimation technique. The results of correlation analysis are found to be consistent with the recursive Chow test and parameter stability tests. In addition, the correlation analysis indicates that the negative effects of the spread on real output can be explained by the interaction between the effects of the Expectation Hypothesis and Interest Transmission Channel. © 2012 by Nova Science Publishers, Inc. All rights reserved.
Citation - Scopus: 4
Inflation and growth: An empirical study for the comparison of the level and the variability effects
(Nova Science Publishers, Inc., 2006) Arin, K.P.; Omay, Tolga; Omay, T.; 19320; Çankaya Meslek Yüksekokulu
This paper analyzes the interaction between the inflation and growth within the Mankiw-Romer-Weil (1992) framework. Our results indicate that the inflation level has a significant negative effect on output in advanced capitalist economies, whereas inflation variability has a negative and significant effect on output in the long-run for all sub-samples. Our results also show that the variability effects are larger in terms of significance. © 2006 Nova Science Publishers, Inc. All rights reserved.
Citation - Scopus: 1
The relationship between inflation, output growth, and inflation uncertainty: Panel data evidence from selected industrial countries
(Nova Science Publishers, Inc., 2012) Omay, T.; Omay, Tolga; Eruygur, A.; Çankaya Meslek Yüksekokulu
In this chapter, we have examined the causal relationships among the inflation rate, output growth rate, and inflation uncertainty for a panel of industrialized countries. For this purpose, we have estimated a PANEL-GARCH model for inflation rate and performed Panel-causality tests using conditional standard deviations of inflation to proxy nominal uncertainty. The relationships among inflation, output growth, and inflation uncertainty have been investigated extensively in the empirical literature for developed countries (e.g., Grier and Perry 1998; Davis and Kanago, 2000; Fountas et al. 2006; Fountas and Karanasos 2007). Our main contribution is to extend the analysis conducted by these studies to a group of developed countries using panel data techniques. The panel Granger test results have showed that the Friedman-Ball hypothesis is not supported by data when applied to the group of countries included in this chapter. This has led us to conclude that a threshold level of inflation does exist before the Friedman- Ball hypothesis applies. On the other hand, the reported test results have provided empirical support for the Cukierman-Meltzer (1986) hypothesis that inflation uncertainty raises the inflation rate in the group of industrialized countries under investigation. Our findings regarding the causal relationship between inflation uncertainty and output growth report a bidirectional relationship between these two variables. While output growth leads to an increase in inflation uncertainty at first lag, this effect is found to be insignificant at fourth lags. However, inflation uncertainty is found to be detrimental for real growth uniformly across the lags considered. Finally, a negative bidirectional causal relation was detected between output growth and inflation. © 2012 by Nova Science Publishers, Inc. All rights reserved.
Citation - Scopus: 3
The relationship between output growth and inflation: Evidence from Turkey
(2010) Omay, T.; Omay, Tolga; Aluftekin, N.; Karadagli, E.C.; Çankaya Meslek Yüksekokulu
In this study, a bi-variate Generalized Autoregressive Conditional Heteroscedasticty model is used in order to investigate the Granger causality relationships between output growth, inflation rate and their uncertainties. Our test results show that the existence of Granger-causality is observed from nominal uncertainty to inflation, from nominal uncertainty to real uncertainty, from output growth to real uncertainty, from output growth to nominal uncertainty and from inflation to nominal uncertainty. These findings prove that theoretical predictions of Cuikerman and Meltzer (1986), Okun (1971) and Friedman (1977) are valid for the period 1986, 6 - 2007, 1 for Turkey. On the other hand, 'Short-run Phillips Curve' and 'Taylor Effect' have proven empirically to be invalid for Turkey for this sample period. Moreover, we deduce that Turkish inflation is affected by the output growth through the nominal uncertainty channel.