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Bankacılık ve Finans Bölümü YayınKoleksiyonu

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Browsing Bankacılık ve Finans Bölümü YayınKoleksiyonu by Subject "Asymmetry"

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    Article
    Citation Count: Akdoğan, E.C.,"Asymmetric Smooth Transition in Cds Spreads: Evidence From Latvia",Academy of Accounting and Financial Studies Journal, Vol. 23, No. 3, pp. 7, (2019).
    Asymmetric Smooth Transition in Cds Spreads: Evidence From Latvia
    (Allied Business Academies, 2019) Akdoğan, Ece Ceylan; 17735
    This paper investigates the predictability of CDS premiums and thus addresses weak form informational efficiency of CDS markets through examining the statistical properties of Latvian CDS spreads in-between 01:2006-08:2017 by concentrating on stationarity issues. The findings for the Augmented Dickey Fuller test fail to reject the presence of unit root indicating that the CDS market is weak form efficient while nonlinear tests of Kapatenios, Snell and Shin, and Sollis claim the opposite, demonstrating a smooth transition in general, and asymmetric smooth transition in particular. Additionally, the results of Perron and Zivot-Andrews tests identify no structural break as well for robustness. These results underline the necessity of accounting for nonlinearities in CDS premiums to grasp the predictability dynamics better.
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    Article
    Citation Count: Tunç, Cengiz...et al (2020). "Exchange Rate Volatility and Trade: External Exchange Rate Volatility Matters", Journal of International Commerce, Economics and Policy, Vol. 11, No. 2.
    Exchange Rate Volatility and Trade: External Exchange Rate Volatility Matters
    (2020) Tunç, Cengiz; Babuşcu, Şenol; Hazar, Adalet; Solakoğlu, Mehmet Nihat; 161529
    We investigate the role of external exchange rate volatility in export in addition to the effect of bilateral exchange rate volatility using country-, sector-, and destination-specific detailed export data of the World Bank Exporter Dynamics Database. The results show that while the bilateral exchange rate volatility has a depressing effect on export, the external exchange rate volatility generates trade-promoting effect on export. However, the magnitude of the effect depends on trade intensity between countries. Furthermore, while the role of external exchange rate volatility diminished after the Global Financial Crisis, the effect of its volatility has become larger. Finally, external exchange rate volatility has a larger trade-promoting effect on export in the presence of high volatilities than the effect in the presence of low volatilities. © 2020 World Scientific Publishing Company.
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    Article
    Citation Count: Emirmahmutoğlu, Furkan; Omay Tolga, "Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test" Economic Modelling, Vol.40, pp.184-190, (2013).
    Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test
    (Elsevier, 2014) Emirmahmutoğlu, Furkan; Omay, Tolga; 43754
    In this study, we re-examine the PPP hypothesis in the light of the new developments in the unit root testing literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear behavior. A unit root test applied to analyze the PPP hypothesis therefore, should also take into account this asymmetry inherent in the real exchange rate. Different unit root tests that consider the presence of these data features have been developed in the time series literature. However, a true attempt to test the PPP hypothesis should take a panel data approach. To this end, we propose a nonlinear heterogeneous panel unit root test where the alternative hypothesis allows for symmetric or asymmetric exponential smooth transition autoregressive nonlinearity and provide its finite sample properties. We apply our test to the real exchange rates of the 15 European Union countries against the US dollar. While the results of the linear and symmetric nonlinear heterogeneous panel unit root tests are against the PPP hypothesis, the asymmetric nonlinear heterogeneous panel test that we propose gives support for the PPP hypothesis as expected. Therefore, the conclusions drawn from the linear panel unit root tests or the nonlinear panel unit root tests that do not take asymmetry into account might be misleading.