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Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/402
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Article Ülke Risk Primi Şokunun Makroekonomik Etkileri: Türkiye Örneği(2018) Varlık, Nimet; Gebeşoğlu, FulyaÜlke risk primi şokunun makroekonomik etkileri 2005:12- 2017:3 dönemi için Yapısal Vektör Otoregresyon Modeli kullanılarak incelenmiştir. Türkiye için ülke risk primi göstergesi olarak EMBI+TR kullanılan model nominal döviz kuru sepeti, tüketici fiyatları endeksi, tüketici kredileri, sanayi üretim endeksi ve cari açık bilançosunu içermektedir. Ampirik sonuçlar ülke risk priminde gözlenen yapısal şokların Türkiye’nin açık enflasyon hedeflemesi döneminde makroekonomik değişkenlerini olumsuz yönde etkilediğini göstermektedir. EMBI+ TR göstergesindeki bir standart sapmalık şok Türk Lirasında devalüasyona, fiyat seviyesinde artışa, kredi hacminde daralmaya, sanayi üretim endeksinde düşüşe ve cari açık bilançosunda artışa yol açmaktadır. Ülke risk priminin döviz kuru ve krediler üzerindeki olumsuz etkisi diğer değişkenler üzerindeki etkisine kıyasla daha fazladır. Ayrıca ülke risk primi şokları kredi daralması yaratmak suretiyle reel ekonomide küçülmeye ve cari açık bilançosunda artışa yol açmaktadır. Varyans ayrıştırmasının bulguları ile etki tepki analizinin sonuçları tutarlı olupülke risk priminde gözlenen yapısal şokların kredi üzerindeki etkilerinin diğer değişkenlere kıyasla daha fazla olduğu sonucuna varılmıştır.Article Plant Size, Turnover and Productivity in Malaysian Manufacturing(2010) Doğan, Ergun; Wong, Koi NyenMalaysian manufacturing has an asymmetrical structure: small and medium-sized enterprises dominate in numbers, but contribute relatively little to total output, employment, and exports as compared to their larger counterparts. In light of an increasingly competitive environment arising from globalization, a sound knowledge of turnover patterns within the sector by plant size and its potential impact on aggregate productivity growth is imperative. We find that turnover, particularly of large plants, makes a substantial contribution to overall productivity growth in manufacturing. Hence, from a policy perspective, facilitating turnover might be as important as supporting existing plants in promoting aggregate productivity growth.Article Nonnormal Regression.I. Skew Distributions(2001) Islam, M. Qamarul; L. Tiku, Moti; Yildirim, F.In a linear regression model of the typey¼ Xþe, it is oftenassumed that the random erroreis normally distributed. Innumerous situations, e.g., whenymeasures life times or reac-tion times,etypically has a skew distribution. We considertwo important families of skew distributions, (a) Weibull withsupport IR:ð0,1Þon the real line, and (b) generalised logisticwit hsupport IR:ð 1,1Þ. Since the maximum likelihoodestimators are intractable in these situations, we derivemodified likelihood estimators which have explicit algebraicforms and are, therefore, easy to compute. We show that theseestimators are remarkably efficient, and robust. We develophypothesis testing procedures and give a real life exampleArticle Is there a Purchasing Power Parity (PPP) Puzzle? New Evidence from a Nonlinear Asymmetric Panel Unit Root Test(2016) Çorakçı, AyşegülThis study re-examines the validity of the purchasing power parity (PPP) hypothesis for 24 OECD countries. The econometric methodology implemented not only allows for asymmetric nonlinear mean reversion within a panel context, but also corrects for the cross-sectional dependence bias frequently encountered in panel data. This feature is important because a test that ignores the presence of asymmetry and cross-sectional dependence when they are in fact present in the data would lead to misleading results. We obtain relatively stronger evidence in favor of the PPP hypothesis when compared to the other alternative panel unit root tests. However, on the whole, this support is still weak even after allowing for asymmetric nonlinear mean reversion in the real exchange rate series. Therefore, to reconcile the data with the theory further methods should be developed.Article Exchange Rate And Bilateral Trade Balance Of Turkey With EU (15) Countries(2014) Yazıcı, Mehmet; Islam, M. QamarulThis paper investigates the short-run and long-run impact of real exchange rate on the bilateral trade balance of Turkey with EU (15) countries. We’ve employed the bounds testing approach to the cointegration and the error correction modeling. Following Yazici and Islam (2011a, 2011b, 2012) and Yazici (2012), we select the optimal model from the set of those models that satisfy both diagnostic tests and cointegration. Thus, unlike the other studies, it is ensured that a statistically reliable and cointegrated model is picked up for estimation. Based on the quarterly data for 1982-I to 2001-IV period, estimation results indicate no evidence of J-curve in the short run in any of Turkey’s bilateral trade with EU(15) countries. In the long run, however, real depreciation of Turkish Lira improves the trade balance of Turkey with Austria, Denmark, France, Ireland, Italy, Sweden and UK.Article Citation - WoS: 9Citation - Scopus: 9Hysteresis and Stochastic Convergence in Eurozone Unemployment Rates: Evidence From Panel Unit Roots With Smooth Breaks and Asymmetric Dynamics(inst Badan Gospodarczych, 2022) Omay, Tolga; Hasanov, Mubariz; Corakci, AysegulResearch background: Studying the dynamic characteristics of unemployment rate is crucial for both economic theory and macroeconomic policies. Despite numerous research, the empirical evidence about stochastic behaviour of the unemployment rate remains disputable. It has been widely agreed that most economic variables, including unemployment rates, are characterized by both structural breaks and nonlinearities. However, a little work is done to examine both features simultaneously. Purpose of the article: In this paper, we analyse the stationarity properties of unemployment rates of Euro area member countries. Also, we aim to test stochastic convergence of unemployment rates among member countries. Our empirical procedures explicitly allow for simultaneous gradual breaks and nonlinearities in the series. Methods: This paper develops a new unit root test procedure for panel data, allowing for both gradual structural breaks and asymmetric adjustment towards equilibrium. We carry out Monte Carlo simulations to examine small sample performance of the proposed test procedure and compare it to the existing test procedures. We apply the newly proposed test to examine the stochastic properties of the unemployment rates of Euro-member countries as well as relative unemployment rates vis-a-vis the Eurozone unemployment rate. Findings & value added: We find that the newly developed test procedure outperforms existing tests in highly nonlinear settings. Also, these tests reject the null hypothesis of unit root in more cases when compared to the existing tests. We find stationarity in the series only after allowing for structural breaks in the data generating process. Allowing for nonlinear and asymmetric adjustment in addition to gradual breaks provides evidence of stationarity in more cases. Furthermore, our results suggest that relative unemployment rate series are stationary, providing evidence in favour of stochastic convergence in unemployment rates. Overall, our results imply a limited room for coordinated economic policy to fight unemployment in the Eurozone.Article Determinants Of Turkish Mining Trade Balance With Eu(15): Estimates From Bound Testing Approach(2016) Yazıcı, Mehmet; Islam, QamarulWe estimate the short-run and long-run determinants of the trade balance of Turkish Mining with EU (15) countries as well as impact of Customs Union (CU) agreement using the bounds testing approach to the cointegration and the error correction modeling. In selecting the optimal model, we follow Yazici and Islam (2011a, 2011b, 2012) and Yazici (2012) and adopt their model selection strategy where selection is made from the set of those models that satisfy both diagnostic tests and cointegrtion, thus ensuring the selection of a statistically reliable and cointegrated model. Estimation results based on the data for 1988-I to 2008-IV period indicate that in the determination of mining trade balance in the short-run only real domestic income matters. Long-run results indicate that real exchange rate and real domestic income variables have coefficients with expected signs but they are not statistically significant. Only statistically significant long-run determinant of mining trade balance is real EU(15) income. Dummy variable for the customs union agreement does not have a statistically significant coefficient, meaning that the agreement does not have a significant long-run effect on mining trade balance of Turkey with EU(15).Article Citation - WoS: 2Citation - Scopus: 2On the Heterogeneous Effects of Tax Policy on Labor Market Outcomes(Wiley, 2022) Adnan, Wifag; Arin, Kerim Peren; Corakci, Aysegul; Spagnolo, NicolaMany recent studies have documented the heterogeneous effects of government-spending shocks on major macroeconomic variables, particularly on output. We delve deeper into the heterogeneous effects of fiscal policy innovations, but focus on the tax policy innovations and their impact on the labor market, while accounting for gender, race, ethnicity, and the business cycle. Using microlevel data from the United States, we find that: (i) Tax shocks have varying employment effects depending on gender, race, and the stage of the business cycle; (ii) Sector, industry, and occupational segregation in labor markets by gender, race, and ethnicity can explain most of the variation in response to fiscal policy shocks.Article Citation - WoS: 2Citation - Scopus: 1Impact of Exchange Rate and Customs Union on Trade Balance at Commodity Level of Turkey With Eu (15)(Routledge Journals, Taylor & Francis Ltd, 2011) Islam, M. Qamarul; Yazici, Mehmet; Qamarul Islam, M.This paper investigates the short-run and long-run impact of exchange rate and customs union on the trade balance at commodity-group level of Turkey with EU (15). Bounds testing approach is employed where a new strategy in the model selection phase is odopted ensuring that optimal model is selected from those models satisfying both diagnostics and cointegration. Results indicate that in the short-run exchange rate matters in determination of trade balance of 13 commodity groups out of 21 and customs union in 8 cases. Pattern of response of trade balance to exchange rate does not suggest a J-curve effect in any of cases. As for the long-run effect, neither exchange rate nor customs union has a statistically significant effect on trade balance of any of commodity groups, suggesting that those significant short-run effects don't last into long-run.Article Citation - WoS: 1Citation - Scopus: 2Profitability of Brokerage Houses in Turkey(Routledge Journals, Taylor & Francis Ltd, 2019) Gunalp, Burak; Kadioglu, EyupThis paper uses a direct measure of efficiency to examine the relationship between market structure and the performance of brokerage houses in Turkey. This methodology involves two stages: First, a stochastic translog cost frontier is specified to obtain a direct measure of efficiency. Second, this measure is included in a profitability equation along with market concentration and market share variables. These two equations are then estimated using quarterly data from 112 brokerage houses for the period 2008-2015. The results show that the efficiency of brokerage houses does not influence profitability when measured directly. Market share, on the other hand, is found to be one of the main determinants of profitability, providing support for the relative market power hypothesis.