Meslek Yüksek Okulu
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Browsing Meslek Yüksek Okulu by Journal "Applied Economics"
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Article 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/10.1080/00036840600970310Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets(Routledge Taylor&Francis Group, 2008) Omay, Tolga; Hasanov, MübarizRecent 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 hypothesisArticle 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/10.1080/00036840801964757The effects of inflation uncertainty on interest rates: a nonlinear approach(Routledge Taylor&Francis Group, 2010) Omay, Tolga; Hasanov, MübarizIn 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
