Ekonomi Bölümü Koleksiyonu
Permanent URI for this collectionhttps://hdl.handle.net/20.500.11779/1936
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Article Citation - WoS: 17Citation - Scopus: 19Oil Prices and Economic Activity in Brics and G7 Countries(Springer, 2019-08-29) Kılıç, Erdem; Çankaya, SerkanThe effect of oil prices on countries’ economic activity has been the center of attention for decades. The empirical link between oil prices and economic activity has been steadily investigated during this time period but the measured outcomes have revealed mixed results and been inconsistent. This study examines the effect of oil prices on economic activity for Brazil, Russia, India, China, and South Africa (BRICS) and Group of Seven (G7) countries in both short-run and long-run relationships by estimating a maximum likelihood structural vector autoregression model. The model shows that a positive shock to oil prices tends to affect the monetary aggregate in Brazil, Canada, France, Germany, and Russia. The effect on interest rate spread is most significant in India and Russia. Impulse response functions display almost no effect on the gross domestic product in the US and China. A positive response on the consumer price index is observed mostly for developed countries. The response of real exchange rate reveals a positive effect on all countries in varying degrees, with the exception of the US and South Africa. Finally, Granger causality tests were conducted with proper allowance for the non-stationarity of the data. The findings illustrate that the Russian economy is among the economies that are most significantly affected by oil price fluctuations for almost all the selected variables. The models also reveal that the effect of oil price shocks on the US’s and China’s economic activities is only limited to the effect on real exchange rates. Other variables show no or limited reactions to oil prices. We also used the Markov switching maximum likelihood vector autoregression models, which reveals similar results.Conference Object Contagion Effects in Forward and Spot Foreign Exchange Markets(2017) Kılıç, ErdemContagion effects in the Forex Markets are estimated by the help of a bivariate Hawkes diffusion model. Contagion occurs in most cases beyond volatility. n this regard, asymmetry in these expectations is involved. The asymmetry depends on each currency pair. Internal market dynamics, as well as the transmission of country-specific dynamics are important features in determining the exact impact of the asymmetry on the evolution of these parameters.Book Part Staatsverschuldung Unter Politökonomischen Gesichtspunkten(Peter Lang GmbH, Internationaler Verlag der Wissenschaften, 2015) Kılıç, ErdemObwohl es in der wissenschaftlichen Literatur, die sich mit der politischen Ökonomie der Staatsverschuldung beschäftigt, verschiedene Meinungen über Gründe exzessiver Staatshaushaltsdefizite gibt, setzt sich mittlerweile die Erkenntnis durch, dass das Ausmaß der Staatsverschuldung auf das institutionelle Gefüge zurückzuführen ist, das Einfluss auf die Schuldenaufnahme nimmt. Während die Theorierichtung der electoral institutionalists die Wahlsysteme (electoral systems) als ausschlaggebend betrachtet, legen die fiscal institutionalists die Priorität auf die Regierungsinstitutionen (governmental institutions), in denen der jährliche Staatshaushalt gestaltet wird. Ziel dieser Arbeit ist es, den Einfluss von politökonomischen Prozessen und der Gestaltung von Budgetinstitutionen auf die Höhe des Staatsdefizits bzw. der Staatsverschuldung zu veranschaulichen. Zu Anfang werden die Bestimmungsgründe der Staatsverschuldung aus der traditionellen Sicht der Finanzwissenschaft dargestellt. Im weiteren Verlauf wird die Rolle der Staatsverschuldung im politischen Prozess untersucht, das Verhalten der Staatsverschuldung in einem Generationenmodell behandelt und der Einfluss der Wahlen bzw. der Wahlverfahren auf die Staatsverschuldung untersucht. Anhand einer neu etablierten Theorierichtung in der politischen Ökonomie, werden im naechsten Abschnitt die Verhandlungsstrukturen während der Budgetprozesse und die institutionellen Implikationen von Budgetprozessen untersucht. Der folgende Abschnitt stellt einige Aspekte einer fiskalischen Verfassung dar, die die Staatsverschuldung bestimmen. Für die Ergebnisse der verschiedenen Theorieansätze wird die empirische Evidenz überprüft und ein empirischer Überblick über die Budgetinstitutionen in den US-amerikanischen Staaten und den EU-Staaten gegeben. Der letzte Abschnitt liefert eine Abschlussbetrachtung und beurteilt den Erklärungsgehalt der theoretischen Modelle.Conference Object Institutional Investor Behavior in X-Capm(2019) Kılıç, ErdemThis study aims to model institutional investor behavior in the XCAPM model underthe premise of reflecting a more detailed decomposition of investor types in equitymarkets. We explore the behavior and its impact in the model, esp. on pricing andon key financial ratios. We observe that the prevalence of the institutional investorcounteracts extrapolator’s effects, resulting in lower volatility of price dividendratio, lower predictive power of changes in consumption for future price changesand lower equity premiumBook Part Monetary Coordination and Regulation Policies of Spillover Effects on Asset Dynamics(Springer, 2017) Kılıç, ErdemIn this study we propose a model for excessive volatility regulation. The model dealswith the control of shocks in capital markets. After describing a transmission mechanism thattransfers shocks in a macroeconomic variable, we establish a model how to control the shocks inthe framework. Two economies are considered with alternative constellations in coordination ofpolicies. Spillover effects under coordination are less severe, than the spillover effects under Nashequilibrium in the case of comovements of asset volatilities. In other terms, coordination helps tocure the contagious effects, in the case, where two countries are affected by the same spillovereffect in the same direction.Article Citation - WoS: 5Citation - Scopus: 5Evidence for Financial Contagion in Endogenous Volatile Periods(Wiley, 2015-01-27) Ulusoy, Veysel; Kılıç, ErdemThe objective of this study is to analyze cross-border contagious dynamics in both foreign exchange markets and stock exchange markets. Propagation is analyzed with respect to the transmission of excessive volatility that is endogenously determined. The contagion process is discussed in the context of financial systems, foreign direct investments and trade. Implementing a vector autoregressive-multivariate generalized autoregressive conditional heteroskedasticity (VAR-MGARCH) model, we show that country-specific turbulence in financial markets is able to create unanticipated financial contagion across countries. Diversified trade and financial relations decrease the risk of exposure to contagion from external markets. The world's largest economies, however, play a price-setter role, and diversification is of secondary importance. Asymmetric transmission of the empirically predicted contagion prevails in the latter case.Article Citation - WoS: 18Citation - Scopus: 20Consumer Confidence and Economic Activity: a Factor Augmented Var Approach(Taylor & Francis, 2016-02-03) Kılıç, Erdem; Çankaya, SerkanThis study aims to analyse the effects of the consumer confidence on economic activity for the USmarket. We use the empirical factor-augmented vector autoregression (FAVAR) method, whichenables us to incorporate a wide range of economic activity factors into the analysis. Theconsumer confidence index (CCI) is chosen as the principal variable that is presumed to representthe degree of optimism on the state of economic activity. The results show that consumerconfidence and economic activity are strongly correlated for manufacturing-related factors,such as industrial production and inventories. We also observe strong relation among CCI andpersonal consumption expenditures, as well as housing market variables.Article Citation - WoS: 11Citation - Scopus: 13Contagion Effects of U.s. Dollar and Chinese Yuan in Forward and Spot Foreign Exchange Markets(Elsevier, 2017-04-01) Kılıç, ErdemFinancial contagion in forex markets is modeled by the application of a bivariate Hawkes stochastic jumpprocess. The self-exciting and mutually exciting properties of the jump-clustering model allow for illustratinginternal and cross-sectional transmission processes. The results obtained suggest stronger effects from US tomutual markets than in the reverse case. Cross-sectional excitation dynamics in the spot markets are larger thanin the forward markets. As a central result, we can observe that the results for the Hawkes-model parameters aremore significant in the forward markets. Transmission dynamics beyond volatility determine the likelihood ofcontagion occurrence. The significance of the decay parameters towards the long term jump intensities supportsthe importance of abrupt fluctuations in the contagion discourse.