Researcher:
Yılmaz, Kamil

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Faculty Member

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Kamil

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Yılmaz

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Yılmaz, Kamil

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Now showing 1 - 10 of 38
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    Publication
    Trans-Atlantic equity volatility connectedness: U.S. and European financial institutions, 2004-2014
    (Oxford Univ Press, 2016) Diebold, Francis X.; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    We characterize equity return volatility connectedness in the network of major American and European financial institutions, 2004-2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007-2008 the direction of connectedness was clearly from the United States to Europe, but that connectedness became bidirectional starting in late 2008. Second, we find an unprecedented surge in directional connectedness from European to U.S. financial institutions in June 2011, consistent with massive deterioration in the health of EU financial institutions. Third, we identify particular institutions that played disproportionately important roles in generating connectedness during the U.S. and the European crises.
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    Foreign ownership, survival and growth dynamics in Turkish manufacturing
    (Routledge, 2014) Taymaz, Erol; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    The chapter is organized as follows. Section 11.2 provides a brief overview of FDI flows to Turkey followed by brief information on the establishment-level Turkish manufacturing industry data used in empirical analysis. Section 11.3 presents the model and results of the firm survival dynamics. Section 11.4 presents the estimation model and results on the employment growth of domestic and foreign firms. Section 11.5 concludes the chapter.
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    Asymmetric response to monetary policy surprises at the long-end of the yield curve
    (Louisiana State University Press, 2012) Department of Economics; Department of Economics; Demiralp, Selva; Yılmaz, Kamil; Faculty Member; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; College of Administrative Sciences and Economics; 42533; 6111
    This paper investigates the responsiveness of asset markets to monetary policy path revisions. Using federal funds futures contracts to extract near-term path revisions, we find that the responsiveness of longer term Treasury securities to path revisions is significantly asymmetric, the magnitude of which increases during tightenings and decreases during easings. These findings blend nicely with the earlier literature that documents asymmetric effects of monetary policy on output. (C) 2012 Elsevier Inc. All rights reserved.
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    Survey data, expectations and the macroeconomy
    (Elsevier, 2023) Beckmann, J.; Czudaj, R.L.; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    N/A
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    History matters for the export decision: plant-level evidence from Turkish manufacturing industry
    (Pergamon-Elsevier Science Ltd, 2009) Özler, Şule; Taymaz, Erol; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    We analyze the export decision of Turkish manufacturing plants from 1990 to 2001. In addition to the presence of high Sunk costs of entry in export market,,, we find support for the hypothesis that the full history of exporting matters for the current export decision. However, the effect of the past export experience on current export decision depreciates rapidly with time: recent export market participation matters more than the participation further in the past. Finally, while persistence in exporting helps lower the costs of re-entry today, there are diminishing returns to export experience. The results are robust to several plant characteristics (plant size, technology, composition of the employment), and the spillovers from the presence of exporters in the same industry.
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    Turkey’s recent trade and foreign direct investment performance
    (Taylor and Francis, 2009) Izmen, Ümit; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    Over the last decade there have been significant changes in Turkey’s external economic relations. The process of integration of the Turkish economy into the world economy has gained momentum following the Customs Union with the EU in 1996, the economic crisis of 2001 and the EU’s decision to start accession talks with Turkey in December 2004. Current figures on foreign trade, foreign direct investments and other capital flows prove the case. Both internal and external factors contributed to accelerating integration of the Turkish economy with the world economy. Thanks to the persistence in the implementation of macroeconomic and structural reforms, the Turkish economy recovered rather quickly after the 2001 economic crisis. The increased confidence in Turkey’s ability to sustain economic reforms led to a surge in capital inflows. While the increased domestic demand has been the domestic pull factor behind the faster growth performance, the availability of abundant foreign capital since 2003 has been the external push factor behind it. The best way to characterize the Turkish growth experience since 2002 is to emphasize that Turkish growth is domestic demand (consumption and investment) driven. However, the rapid expansion of the domestic demand during this period implies that domestic savings were insufficient to finance the everexpanding domestic investment. When domestic savings are not sufficient the only alternative left to finance the expanding domestic demand is the foreign savings. Actually, this basic characteristic of the Turkish economic growth has been observed since 1980s. Turkey’s growth episodes over the last three decades are almost always financed by capital inflows. This was also the case in the post2002 era. The availability of abundant international capital ready to flow into emerging markets and therefore Turkey led to the real appreciation of the Turkish lira since 2002. This in turn further fueled the demand for imports, worsening the current account deficit. In addition, the secular upward trend in the international price of oil and other raw materials since 2003 contributed to the rapid deterioration of the current account balance, as two-thirds of the country’s imports are raw materials and other intermediate goods.
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    Publication
    Industry
    (Taylor and Francis, 2013) Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    N/A
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    Measuring financial asset return and volatility spillovers, with application to global equity markets
    (Wiley, 2009) Diebold, Francis X.; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes, including trends and bursts in spillovers; both turn out to be empirically important. In particular, in an analysis of 19 global equity markets from the early 1990s to the present, we find striking evidence of divergent behaviour in the dynamics of return spillovers vs. volatility spillovers: return spillovers display a gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts.
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    Is there persistence in the growth of manufactured exports? evidence from newly industrializing countries
    (Elsevier, 1997) Mody, Ashoka; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    Applying cointegration techniques in a panel data setting, we document persistent growth of manufactured exports from certain developing countries. To complement the investigation of persistence (measured by the country 'fixed-effects'), we analyze asymmetries in income elasticities: for all developing countries, the decline in exports with world income contraction is sharper than is the rise on the upswing; the decline is, however, especially pronounced for countries with low or negative persistence. The results are consistent with long-term buyer-supplier relationships that create 'insiders' and 'outsiders' in manufactured goods trading. Exports are also influenced by the transactional infrastructure (proxied by telecommunications penetration).
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    Measuring real-financial connectedness in the us economy
    (Elsevier Science Inc, 2021) Uluceviz, Erhan; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    We analyze the connectedness between the real and the financial sectors of the U.S. economy. Using the weekly ADS index of the Philadelphia Fed (the widely used business conditions indicator) to represent the real side, we find that during times of financial distress and business cycle turning points, the direction of connectedness runs from the real sector to financial markets. The ADS index is derived from a model containing a measure of term structure along with real variables. Therefore, it might not be the best representative of the real activity used in the connectedness analysis. As an alternative, we derive a real activity index (RAI) from a dynamic factor model of the real sector variables only. The behavior of RAI over time is quite similar to that of the ADS index. When we include RAI to represent the real side, connectedness from the real side to financial markets weakens substantially, while the connectedness from financial markets to the real side becomes more pronounced.