Bankacılık ve Finans Bölümü Yayın Koleksiyonu
Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/400
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Browsing Bankacılık ve Finans Bölümü Yayın Koleksiyonu by Scopus Q "Q2"
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Article Citation - WoS: 11Citation - Scopus: 12Energy Consumption and Growth: New Evidence From a Non-Linear Panel and a Sample of Developing Countries(World Scientific Publ Co Pte Ltd, 2015) Apergis, Nicholas; Ozcelebi, Hulya; Omay, TolgaThis paper investigates the relationship between economic growth and energy consumption through non-linear causality tests. Eight developing countries from Europe and Central Asia spanning the period 1993 to 2008 are selected for the purpose of panel empirical analysis. Panel unit root and panel cointegration tests with and without considering cross section dependency (CD) problems are implemented. Next, linear panel cointegration tests are employed and, finally, a two-regime Dynamic Panel Smooth Transition Vector Error Correction (PSTRVEC) model is estimated for testing the presence of non-linear short-and long-run causality. To this end, a new estimator, called the Dynamic Non-linear Pooled Common Correlated Effect Estimator (DNPCCEE) is proposed. The empirical findings indicate that short and long-run causalities are regime-dependent.Article Citation - WoS: 12Citation - Scopus: 16Exchange Rate Risk and International Trade: the Role of Third Country Effect(Elsevier Science Sa, 2018) Tunc, Cengiz; Solakoglu, M. Nihat; Babuscu, Senol; Hazar, AdaletUsing the recently launched Exporter Dynamics Database of the World Bank, this paper empirically investigates the role of external exchange rate risk (third-country effect) on trade flows between countries. We find a strong positive influence of external exchange rate risk on exports to a specific destination. However, the effect is more observable in advanced destination countries, countries with low bilateral exchange rate volatility in comparison to external exchange rate volatility, and countries in which export is concentrated among a small number of firms. (C)2018 Elsevier B.V. All rights reserved.Article Citation - WoS: 91Citation - Scopus: 87Fractional Frequency Flexible Fourier Form To Approximate Smooth Breaks in Unit Root Testing(Elsevier Science Sa, 2015) Omay, TolgaIn this study, a Fractional Frequency Flexible Fourier Form DF-type unit root test is proposed. The small sample properties of the proposed test are found to be better than that of the integer frequency counterpart. (C) 2015 Elsevier B.V. All rights reserved.Article Citation - WoS: 2Citation - Scopus: 3Loan-To Policy: Evidence From Turkish Dual Banking System(Emerald Group Publishing Ltd, 2018) Hepsen, Ali; Pirgaip, BurakPurpose-This paper aims to answer how effective the loan-to-value (LTV) regulation has been since 2011 for conventional and Islamic (participation) banks in Turkey in terms of curbing mortgage loan growth and delinquency[1]. Design/methodology/approach-The authors first use unit root tests and tests of difference in loan and property price data in pre-LTV and post-LTV period. Second, the authors follow Chow test and ordinary least squares regression analyses to test for a structural break when sensitivity of mortgage loan and delinquency growth changes to property price changes considered. Findings-The authors find that two periods are statistically different, while the significance level is lower for Islamic banks. Moreover, loan growth has become less responsive to property price increases; delinquency sensitivity to property price changes has significantly increased in the post-LTV period for conventional banks, while this is not the case for Islamic (participation) banks. Originality/value-This paper not only increases empirical evidence regarding the effectiveness of LTV ratio policy but also fills the gap in the literature by providing a comparison between conventional banks and Islamic (participation) banks.Article Citation - WoS: 11Citation - Scopus: 10Managing Working Capital Efficiency in Turkish Agribusinesses and the Impact of Globalization: Insights From an Emerging Market(Wageningen Academic Publishers, 2019) Dinc, Dilek Temiz; Akdogan, Ece C.The efficiency of working capital is a major determinant of firm profitability. So, the grasp of working capital dynamics is extremely important for managers, but also for policy makers, since inefficient working capital management is an important source of industrial sickness. This study focuses on the profitability impacts of working capital policies of Turkish agribusinesses, and aims to investigate the potential effects of globalization on these interrelated relationships. The findings obtained from pooled panel analyses demonstrate that Turkish agribusinesses can enhance their profitability and value by adopting a conservative working capital policy through lengthening the cash conversion cycle up to an optimal level. Besides, globalization is found to deteriorate their efficiency and profitability where economic globalization seems to have the highest impact raising questions on the effectiveness of Turkish agribusinesses in coping with competition. Thus, both the managers and the policy makers should concern with the competitiveness impacts of globalization.Article Citation - WoS: 1Citation - Scopus: 1Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels With Logistic Smooth Breaks(Mdpi, 2023) Omay, Tolga; Ucar, NuriIn this study, we investigate the validity of the purchasing power parity (PPP) proposition for 34 European and selected global countries. For this purpose, we propose a new unit root test for cross-sectionally dependent heterogeneous panels that allows for gradual structural breaks and symmetric nonlinear adjustment toward the equilibrium level. The alternative hypothesis stationary is obtained by symmetric adjustment due to exponential smooth transition autoregression (ESTAR) around a nonlinear trend. Moreover, we provide small sample properties extensively for the newly proposed test. Hence, this alternative hypothesis has been proven to characterize real exchange rate data (REER) correctly. Thus, the newly proposed tests provide an essential basis for modeling the REER series correctly. Finally, we also derive the approximate asymptotic distribution of the proposed tests using new techniques.Article The effects of terrorist activities on foreign direct investment: nonlinear Evidence(2013) Omay, Tolga; Takay Araz, Bahar; Ilalan, DenizIn this study, we examine the relationship between foreign direct investment and terrorist incidents that took place in Turkey for the period from 1991:12 to 2003:12. This research contributes to the literature by checking for a possible non-linear relationship between terrorism and foreign direct investment. The data used to measure the intensity of terrorism were collected from the newspapers of Turkey, and therefore are limited to the direct signals given to the market. Empirical evidence from both linear and non-linear models confirms that terrorism has a large significant negative impact on foreign direct investment. With respect to the nonlinear model, the impact of terrorism on the foreign direct investment is more severe during periods of high terrorism when the intensity of terrorism passes the threshold level 3.725.Article Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence From US T-Bond Yields(Walter de Gruyter GmbH, 2019) Ilalan, Deniz; Ozel, OzgurMean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump formations are at stage. Considering this framework, we provide a new unit root testing methodology and compute its asymptotic critical values via Monte Carlo simulation. Moreover, we numerically compare the power of this generalized mean reversion test with the pioneering linear unit root test in the literature namely the Augmented Dickey Fuller (ADF) test. We deduce that our test is a refinement of ADF test with a higher power. Weapply our findings to US 10-year Treasury bond yields. We aim to shed light to the discussion among researchers whether interest rates can sometimes revert to a long-term constant mean or not from an unorthodox point of view.
