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 Citation - WoS: 9Citation - Scopus: 11A Value-Adding Approach To Reliability Under Preventive Maintenance Costs and Its Applications(Taylor & Francis Ltd, 2014-05-12) Dubey, Rameshwar; Kılıç, Erdem; Ali, Sadia Samar; Weber, Gerhard WilhelmNo equipment (system) can be perfectly reliable in spite of the utmost care and best efforts on the part of the designer, decision-maker and manufacturer. The two sides of maintenance are corrective and preventive maintenance. It is generally assumed that a preventive maintenance action is less costly than a repair maintenance action. We examine this proposition in detail on the basis of a failure-time model that relates conformance quality to reliability. Illustratively, we present reliability in the context of contracts with asymmetric information. The model shows how to overcome information rents through price distortions and quantity rationing. The paper ends with a conclusion and an outlook to future studies.Book 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.