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TR-Dizin İndeksli Yayınlar Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/8652

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Browsing TR-Dizin İndeksli Yayınlar Koleksiyonu by Publisher "Central Bank Republic Turkey"

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    Citation - WoS: 2
    Citation - Scopus: 2
    An Alternative Mean Reversion Test for Interest Rates
    (Central Bank Republic Turkey, 2018) Ozel, Ozgur; Ilalan, Deniz
    A number of empirical studies assert that interest rates are governed by unit root processes rejecting any form of reversion to a long term mean by resorting to certain tests, among which the Augmented Dickey Fuller (ADF) is the most widely used one. In this study, we propose an alternative testing methodology that can be applied along with ADF test, in the sense that there are times where it can capture stationarity when the other fails to do so. Moreover, our test has more power than ADF test. As an application to real-data, we consider 10-year US and Turkish T-bond rates. (C) 2017 Central Bank of The Republic of Turkey. Production and hosting by Elsevier B.V.
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    Citation - WoS: 2
    Citation - Scopus: 3
    Economic Sentiment and Foreign Portfolio Flows: Evidence From Türkiye
    (Central Bank Republic Turkey, 2024) Ozkan, Ibrahim; Erden, Lutfi; Gunes, Didem
    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.