Publications with Fulltext
Permanent URI for this collectionhttps://hdl.handle.net/20.500.14288/6
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Publication Open Access Exploring the nexus between inflation and globalization under inflation targeting through the lens of New Zealand's experience(2017) Martínez-García, Enrique; Soytaş, Mehmet Ali; Department of Economics; Kabukçuoğlu, Ayşe; Faculty Member; Department of Economics; College of Administrative Sciences and EconomicsWe investigate empirically the inflation dynamics in New Zealand, a small open economy and a pioneer in inflation targeting, under various open-economy Phillips curve specifications. Our forecasting exercise suggests that open-economy Phillips curves under standard measures of global slack do not help forecast domestic inflation, possibly indicating measurement problems with global slack itself. In turn, under a stable inflation target we still find that (i) global inflation and (ii) global inflation and oil prices have information content for headline CPI and core CPI inflation over the 1997:Q3-2015:Q1 period and appear to be reliable proxies for global slack in forecasting inflation.Publication Open Access Female labor force participation in Turkey: a synthetic cohort analysis, 1988-2013(2017) Kırdar, Murat Güray; Dayıoğlu, Meltem; Department of Economics; Tunalı, Fehmi İnsan; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 105635We study the aggregate labor force participation behavior of women over a 25-year period in Turkey using a synthetic panel analysis. In our decomposition of age, year, and cohort effects, we use three APC models that have survived the scrutiny of the demography community. We rely on predictions from just-identified models that render different methods comparable. The exercise is carried out by rural/urban status and by education to tease out some key differences in behavior. Our comparative methodology yields remarkably robust age-profiles that represent the behavior of a typical woman over her life-cycle. Notably an M-shape attributable to child-bearing related concerns is detected in rural areas and for low-educated women in urban areas. We also find that later birth-cohorts among the less-educated women—which constitutes the majority of the female workforce—are significantly more likely to participate, which implies that the recent rise in the aggregate participation rates is not only due to rising education levels and that the current substantial gap in participation by education will decrease.Publication Open Access Bank volatility connectedness in South East Asia(2018) Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return volatilities of major banks in the region, we obtain results that help us uncover valuable information on the region's static and dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from 2007 to 2009) and during the European sovereign debt and banking crisis in 2011. The recent increase in the total connectedness has resulted from temporary financial shocks on a global scale. Once included in the analysis, the global systemically important banks (GSIBs) from the U.S. and Europe generate substantial volatility connectedness to SEACEN banks. We also identify country clusters in the banking volatility network. Major Indian, Taiwanese and Chinese banks generate volatility connectedness to their counterparts in other countries of the region. Finally, we show that the region's bank volatility network becomes tighter during systemic events; banks from different countries in the region generate volatility connectedness to the others.Publication Open Access Measuring dynamic connectedness with large Bayesian VAR models(2018) Korobilis, Dimitris; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of Diebold and Yilmaz (2014) (DYCI). We show that the connectedness index from the TVP-VAR model captures abrupt turning points better than the one obtained from rolling-windows VAR estimates. As the TVP-VAR based DYCI shows more pronounced jumps during important crisis moments, it captures the intensification of tensions in financial markets more accurately and timely than the rolling-windows based DYCI. Finally, we show that the TVP- VAR-based index performs better in forecasting systemic events in the American and European financial sectors as well.Publication Open Access Mixed-frequency macro-financial spillovers(2017) Cotter, John; Hallam, Mark; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111We develop a new methodology to analyse spillovers between the real and financial sides of the economy that employs a mixed-frequency modelling approach. This enables high-frequency financial and low-frequency macroeconomic data series to be employed directly, avoiding the data aggregation and information loss incurred when using common-frequency methods. In a detailed analysis of macro- financial spillovers for the US economy, we find that the additional high-frequency information preserved by our mixed-frequency approach results in estimated spillovers that are typically substantially higher than those from an analogous common-frequency approach and are more consistent with known in-sample events. We also show that financial markets are typically net transmitters of shocks to the real side of the economy, particularly during turbulent market conditions, but that the bond and equity markets act heterogeneously in both transmitting and receiving shocks to the non- financial sector. We observe substantial short and medium-run variation in macro- financial spillovers that is statistically associated with key variables related to financial and macroeconomic fundamentals; the values of the term spread, VIX and unemployment rate in particular appear to be important determinants of macro-financial spillovers.Publication Open Access Edgeworth expansion based correction of selectivity bias in models of double selection(2012) Yavuzoğlu, Berk; Department of Economics; Tunalı, Fehmi İnsan; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 105635Edgeworth expansions are known to be useful for approximating probability distributions and moments. In our case, we exploit the expansion in the context of models of double selection embedded in a trivariate normal structure. We assume bivariate normality among the random disturbance terms in the two selection equations but allow the distribution of the disturbance term in the outcome equation to be free. This sets the stage for a control function approach to correction of selectivity bias that affords tests for the more common trivariate normality specifi-cation. Other recently proposed methods for handling multiple outcomes are Multinomial Logit based selection correction models. An empirical example is presented to document the differ-ences among the results obtained from our selectivity correction approach, trivariate normality specification and Multinomial Logit based selection correction models.Publication Open Access Rescaled additivity non-ignorable (RAN) model of generalized attrition(Nazarbayev University, Department of Economics, 2017) Yavuzoğlu, Berk; Department of Economics; Tunalı, Fehmi İnsan; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 105635We augment the Additively Non-ignorable (AN) model of Hirano et. al. (2001) so that it is suitable for data collection efforts that have a short panel component. Our modification yields a convenient semi-parametric bias correction framework for handling selective non-response that can emerge when multiple visits to the same unit are planned. Selective non-response can be due to attrition, when initial response is followed by nonresponse (the commonly studied case), as well as a phenomenon we term reverse attrition, when initial nonresponse is followed by response. Accounting for reverse attrition creates an additional identification problem, which we circumvent by rescaling. We apply our methodology to data from the Household Labor Force Survey (HLFS) in Turkey, which shares a key design feature (namely a rotating sample frame) with popular surveys such as the Current Population Survey and the European Union Labor Force Survey. The correction amounts to adjusting the observed joint distribution over the state space (inactive, employed, unemployed in our example) using reflation factors expressed as parametric functions of the states occupied in the initial and subsequent rounds. Our method produces a unique set of corrected joint probabilities that are consistent with externally obtained marginal distributions (in our case published official statistics). The linear additive version has a closed form solution, a feature which renders our method computationally attractive. Our empirical results show that selective attrition/reverse attrition in HLFS-Turkey is a statistically and substantially important concern.Publication Open Access Is the Turkish current account deficit sustainable?(2017) Abbasoğlu, Osman Furkan; İmrohoroğlu, Ayşe; Department of Economics; Kabukçuoğlu, Ayşe; Faculty Member; Department of Economics; College of Administrative Sciences and EconomicsDuring the 2011-2015 period, Turkey's current account deficit as a percentage of GDP was one of the largest among the OECD countries. In this paper, we examine if this deficit can be considered sustainable using the Engel and Rogers (2006) approach. In this framework, the current account of a country is determined by the expected discounted present value of its future share of world GDP relative to its current share. A country, whose income is anticipated to rise relative to the rest of the world is expected to borrow now and run a current account de cit. Our findings suggest that Turkey's current account deficit in 2015 may be considered sustainable if the Turkish economy's share in the world economy could continue to grow at rates similar to the past. The same approach, however, indicates that the current account deficit in 2011, at its peak, was unlikely to be sustainable.