No abstract

This study analyzes the short-run and long-run effects of interaction between fiscal and monetary policies on stock market performance in four emerging Asian economies, which are China, India, Indonesia, and Malaysia, by using ARDL model. The study covers the period of 2003:Q1-2020:Q1. The findings from this study show monetary and fiscal policies play an important role in determining stock market returns. Also, the results theoretically support Richardian neutrality hypothesis for China and Indonesia, Keynesian positive effect hypothesis for India, and classical crowding out effect hypothesis for Malaysia, and interest channel of monetary transmission mechanism only for China.

In this study, the time-varying dynamic relationships among real exchange rate, average real oil price and food inflation is investigated in Turkey during the period of 2006:1-2021:12. For this reason, TVP-VAR models are applied. The findings from this study revealed that the pass-through effect of real exchange rate on food inflation increases rapidly during the COVID-19 pandemic, and this effect reaches the highest level in October 2021 in which the fluctuations in exchange rate occured. Besides, it is detected that raises in average oil prices significantly enhance food inflation since the vaccination proccess, starting in early 2021, has caused increases in production and demand.

Bu çalışmada, Türkiye ekonomisinde 2000Q1-2018Q2 döneminde reel efektif döviz kuru riskinin belirlenerek, söz konusu riski ortaya çıkaran makroekonomik değişkenlerin etkileri analiz edilmiştir. EGARCH ve EKK yöntemlerinin kullanıldığı çalışmanın sonucunda elde edilen analiz bulgularına göre, reel efektif döviz kurunda meydana gelen şokların etkisinin yaklaşık 272 gün sürdüğü ve negatif şokların reel efektif döviz kuru oynaklığı üzerinde pozitif şoklara göre daha etkili olduğu görülmüştür. Ayrıca, Türkiye'de döviz kuru riskini portföy yatırımları, cari açık ve merkez bankası rezervleri pozitif etkilerken; doğrudan yabancı yatırımların istatistiki olarak anlamlı bir etkisi saptanmamıştır.

Determining of the effects of the concentration appearing in banking sector on financial fragility is extremely importance. In the theory, this relationship discusses within the frame of "competition-stability" and "competition-fragility". The aim of this study is to determine which variables financial fragility in banking sector affects, and to present short-run and long-run effects of these variables and the effect of concentration on financial fragility with reference to the example of Turkey over the period of 2007:01-2014:09. In this regard, it is taken advantage of Pearson correlation matrix, panel classical regression equations and Holtz-Eakin causality analysis. It is infered from the casuality analysis performed that there is two-way interaction between concentration and financial fragility in Turksih banking sector.

This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices, including the industrial, financial, service, information technology, basic metals, tourism, real estate investment, and chemical petrol plastic, during the COVID-19 outbreak and the global financial crisis (GFC) within the framework of the adaptive market hypothesis. This study employs multifractal detrended fluctuation analysis to illustrate these sectors’ multifractality and short- and long-term dependence. The results show that all sectoral returns have greater persistence during the COVID-19 outbreak than during the GFC. Second, the real estate and information technology industries had the lowest levels of efficiency during the GFC and the COVID-19 outbreak. Lastly, the fat-tailed distribution has a greater effect on multifractality in these industries. Our results validate the conclusions of the adaptive market hypothesis, according to which arbitrage opportunities vary over time, and contribute to policy formulation for future outbreak-induced economic crises.

In this study, we examined the volatility effect of terrorist incidents on Istanbul Gold Exchange, ISE100 and on the index yields of the sub-sectors in Turkey. Since negative and positive events have different effects on volatility, EGARCH and GJR-GARCH models used. Because of the study, it has seen that the terrorist attacks which occured in Turkey do not have statistically significant effects on the volatility of Istanbul Gold Exchange, ISE100 and of the sub-sectors. In addition, it has found that gold, service and technology indices have affected by only positive events; however, both negative and positive ones affect industrial and financial indices.

The aim of this study is to examine the volatility spillover effects of German, French and American stock market indices on BIST 100 Turkish stock market index. Dataset consists of daily closing price observations starting from January 2, 2004, until February 6, 2017, for indices DAX 30, CAC 40, S&P 500 and BIST 100. E-GARCH(1,1) method has been used to model the conditional variance. Volatility is in a relatively narrow band under a non-crisis economic conjuncture. On the other hand, it is expected that the global risk will be higher during crisis periods. Therefore, the differentiation in the volatility spillover behavior among the markets while under different economic conditions is a rational expectation. In this regard, the Threshold VAR (TVAR) model was used in the study. In the result of the study, it has been observed that the volatility spillover effect on the BIST 100 index is relatively low in the regimes where the global risk is low, whereas the effect is relatively higher in the regime where the global risk is high. Furthermore, results of analysis also indicate that S&P is the most influential index to affect BIST 100 both in high and low-risk regimes. ÖzBu çalışmanın amacı Almanya, Fransa ve Amerika hisse senedi piyasalarının Türkiye hisse senedi piyasası üzerindeki oynaklık yayılımı etkisini incelemektir. 02.01.2004 -06.02.2017 dönemi için günlük frekansda DAX 30, CAC 40, S&P 500 ve BİST 100 endekslerine ilişkin kapanış verileri kullanılmıştır. Koşullu varyans değerlerini elde etmek amacıyla E-GARCH(1,1) modelinden yaralanılmıştır. Volatilitenin normal bir ekonomik konjonktürde nispeten daha dar bir bant içinde olması olağandır. Buna karşın küresel riskin yüksek olduğu kriz dönemlerinde ise daha büyük bir aralıkta seyretmesi beklenen bir durumdur. Dolayısıyla risk açısından farklılık gösteren ekonomik koşullarda, piyasalar arası oynaklık yayılımı davranışlarının da farklılaşması rasyonel bir beklentidir. Bu açıdan araştırmada söz konusu durumu dikkate alan Threshold VAR (TVAR) modellemesi kullanılmıştır. Çalışma sonucunda küresel riskin düşük olduğu rejimde BİST 100 endeksi üzerindeki yayılım etkisinin göreli olarak düşük olduğu, buna karşın küresel riskin yüksek olduğu rejimde ise söz konusu etkinin nispeten yüksek olduğu gözlemlenmiştir. Buna ek olarak BİST 100 endeksinin bu gelişmiş ülkelere ait 3 endeks içerisinden en yoğun olarak S&P endeksinden etkilendiği bulgulanmıştır.