Dr. Öğr. Üyesi Asad Ul Islam Khan danışmanlığındaki tezler
11 tez · Ibn Haldun University
Education expenditure and economic growth nexus: Evidence from the MINT
The MINT - Mexico, Indonesia, Nigeria and Turkey - are from the countries projected to attain a significant level of economic success in the years to come. As a result of the demographic and geographic characteristics of these countries, they have the potential to push their economies to a globally competitive standard that is suitable for rapid economic development and advancement. From the prerequisites for the actualisation of such standard is the improvement in the quality of labour and deliberate investment in human capital through education. This study examines the viability of such prospects for the MINT by investigating education expenditure and economic growth relationship in the MINT. Through the use of a panel data set ranging from the year 1994 to the year 2020, the study utilises panel Dynamic Least Squares (DOLS) and Fully Modified Least Squares (FMOLS) methods to examine the impact of education expenditure on growth in the MINT, and the finding from the study shows that there is a long-run relationship between education expenditure and economic growth. Expenditure on education positively affects economic growth in Mexico, Indonesia, Nigeria and Turkey. More specifically, according to findings in this study, it is observed that a unit increase in the percentage of education expenditure will result in a 3 - 4 per cent increase in economic growth in the MINT. Labour also significantly impacts economic growth in the MINT. The results for the countries imply that expenditure on education and human capital should be encouraged, as evidence from this study conforms to findings from the literature.
Inter- and intra- dynamics of prices and volumes: Bitcoin and Ethereum in the pre- and peri-COVID-19 period
Bitcoin and Ethereum are the top two cryptocurrencies in the first and the second places respectively. This study looks to examine the inter and intra dynamics and relationship between Bitcoin price (BTCP), Ethereum price (ETHP), Bitcoin volume (BTCV) and Ethereum volume (ETHV). This study utilizes the Johansen Cointegration Test as well as the Vector Error Correction Model (VECM) to determine the long-run relationship between Bitcoin price (BTCP), Ethereum price (ETHP), Bitcoin volume (BTCV) and Ethereum volume (ETHV) before and during the COVID-19 pandemic and to determine whether the pandemic has any effect on the changes in prices and volumes of these cryptocurrencies. The study also utilizes daily data extracted from coinmarketcap.com for Bitcoin price and volume as well as for Ethereum price and volume from August 8, 2015 up to February 28, 2021 extracted on March 1, 2021. We find that the COVID-19 pandemic has no effect on the long run relationship between Bitcoin price (BTCP), Ethereum price (ETHP), Bitcoin volume (BTCV) and Ethereum volume (ETHV) for all the specifications. We also find that the pandemic has no effect on the prices of Bitcoin and Ethereum but has an effect on their trading volumes in the short run. We find that the price of Bitcoin is positively related with the Bitcoin trading volume and positively related with the trading volume of Ethereum whereas the Ethereum price is negatively related with the Bitcoin trading volume and positively related with the trading volume of Ethereum. We also find that the price of Bitcoin is positively related with the trading volume of Bitcoin and negatively related with the trading volume of Ethereum. On the other hand, the price of Ethereum is positively related with trading volume of Bitcoin and positively related with the trading volume of Ethereum. Keywords: Bitcoin, COVID-19 pandemic, Ethereum, Price and Volume dynamics, VECM.
The nexus between the yield curve and economic activity: Empirical evidence from emerging markets (EMs)
The yield curve has been widely considered a powerful predictor of economic activity. This study primarily looks at the nexus between the yield curve and economic activity, using the latent factor approach, to study nine (9) MSCI Emerging Markets. Monthly data, covering the period from November 2007 to June 2022 (2007:M11 to 2022:M06), are employed. The main objective is to study the relationship between the yield curve and economic activity. The specific objectives include, for instance, how the spread impacts economic activity when controlled for the local stock markets, i.e., the All Share Index (ASI) or Composite Index (CI); how the spread impacts economic activity when controlled for an international stock market index, i.e., the iShares MSCI Emerging Markets Index (MSCI); and how the spread impacts economic activity when controlled for an alternative international or global benchmark like the global oil price, i.e., the West Texas Intermediate (WTI). The Fully-Modified OLS (FMOLS), Dynamic OLS (DOLS), and Canonical Cointegrating Regression (CCR) estimators are respectively employed to test for the long-run heterogeneous relationship between the yield curve and economic activity. Among other things, it is found that the spread is negatively related to the economic activity, which is represented by the industrial production index, suggesting that, in the long run, an inverted yield curve retards the economic activity of the MSCI Emerging Markets. The result is robust to both the international equity index and the global oil price. Among other things, it is recommended that the 10-year long-term bond rate could be replaced with the 5-year long-term bond rate to check the accuracy of the yield spread in predicting the economic activity of the MSCI Emerging Markets. Keywords: Economic Activity, Long-run Relationship, MSCI Emerging Markets, Panel Data, Yield Curve.
Monetary unions and crypto-currency competition: Implications for financial stability
This thesis contains three full article chapters. Chapter one is a general introduction of the thesis explicitly stating the research gap, purpose and objectives of the essays and their significance. Chapter two develops a model of nonperforming loans that is dependent on the lending gap and the output gap. Using nonperforming loan ratios as a measure of financial soundness, the model is used to examine the financial stability implication of a monetary union on member countries. This is tested in a counterfactual framework using Ghana, a member of the yet to be implemented West African Monetary Zone. Chapter three reviews the literature on Hayek's Denationalisation of Money proposal prior to and after the proliferation of cryptocurrencies. It also evaluates the extent to which cryptocurrencies align with Hayek's proposal in the denationalisation of money. It is concluded that, opinions on Hayek's proposal subtly changed for critical to cautious acclaim. Also, it is concluded that custodial stablecoins best reflects Hayek's proposal and are the crypto asset most likely to survive government legibility regulations. In chapter four, the impact crypto-currency substitution, proxied by cryptocurrency returns, on exchange rate volatility is examined empirically for the case of Nigeria. Cryptocurrency returns is found to have a positive impact on volatility of the Naira.
Inter-dynamics between corruption, government effectiveness, and economic growth: A case study for West Africa
The data surveys conducted by Afrobarometer and Transparency International Corruption Perception Index indicate that the level of corruption and government underperformance in West Africa has reached extremely concerning levels. The study aimed to investigate the complex relationship between corruption, government effectiveness, and GDP growth trends across sixteen West African Nations from 2003- 2021 utilizing panel data analysis. The study employed a unique technique using the causality results to form the model's functional and regression form. Upon these results, the study utilized a dynamic panel-data estimation, a two-step system Generalized Methods of Moments by Arellano and Bond. This method effectively addresses potential issues such as sample size, autocorrelation, heterogeneity, and endogeneity and is asymptotically more potent than the regular one-step GMM. Using this method, it was found that a negative relationship exists between corruption and GDP growth in the region. Also, a significant negative relationship exists between government effectiveness and corruption. The findings also showed that the relationship between GDP growth and government effectiveness within the region is positive and significant. These results support the "Sand in the Wheels Hypothesis". Therefore, the study recommends urgent structural change within the administration to ensure effective and quality institutional structure, focus on building effective anti corruption agencies to fight against systematic corruption within the governing body and ensure accountability, and establish development strategies tailored to contemporary contexts rather than outdated colonial-era systems. Keywords: Corruption, Dynamics, Effectiveness, GMM, Governance, Growth.
Comparative analysis of Beveridge Curve during global financial crisis and COVID-19 crisis in Turkey
Following the impact of Global Financial Crisis (GFC), there has been increasing interest in the study of the Beveridge curve. This thesis analyses the unemployment and vacancy rate dynamics for the Turkish labour market during the period of global financial crisis and Covid-19 in the mirror of Beveridge curve. The visual inspection of the Beveridge curve reveal that the labour market is inefficient due to a shift in Beveridge curve away from the origin. It is evident that both unemployment rate and vacancy rate increase over the period with a counter clockwise (clockwise) movement of the curve for Global Financial Crisis (Covid-19). The visual inspection shaped the understanding of the unemployment-vacancy behaviour. The Beveridge curve shift for the labour market is attributed to cyclical and structural factors within the economy. Our empirical results show youth unemployment to be the significant factor determining unemployment dynamics both in the short run and long run. GDP growth and construction sector employment are also shown to exert great influence on unemployment dynamics in Turkey during the sample period. In addition, we found that GFC and Covid-19 have no significant effect on the Beveridge curve. Vacancy rate expected to have a negative relationship with unemployment rate is shown to have a positive insignificant effect. This is in contradiction to the Beveridge curve proposition. This implies that vacancy rate in Turkey falls short of the unemployment number in the labour market. There are no consistent job creations to match the number of people seeking for jobs in the economy. Based on this, the Turkish labour market is characterised by inefficiencies.
Exploring volatility, structural breaks, and economic interactions in the turkish stock market
The thesis comprises three empirical studies. Chapter 2 analyzes the impact of exchange rate volatility on sectoral stock volatility by utilizing intraday volatility measures derived from daily data across 27 Borsa Istanbul sectors over a period of 20 years (from April 29, 2003, to April 25, 2023). I critique traditional GARCH models and the application of aggregate data, which may lead to biased results. The findings demonstrate significant sectoral heterogeneities: all sectors are positively influenced by exchange rate volatility, with the basic metal sector being the most responsive, followed by banking and transportation. In contrast, the sports, investment trust, and construction sectors exhibit minimal sensitivity, underscoring the necessity for policymakers to devise sector-specific strategies aimed at stabilizing financial markets. Chapter 3 examines structural breaks in the Istanbul stock market, focusing on the seven largest sectors by market capitalization. I critique traditional breakpoint analysis for overlooking return variance breaks and employ the supMZ test to identify breakpoints in stock returns and the TL/Dollar exchange rate from 2004 to 2023. Key findings reveal simultaneous breakpoints across sectors, particularly in the years linked to major economic events in 2006, 2008, and 2018. Furthermore, more breakpoints were identified in the exchange rate than in sectoral stock prices, likely due to exposure to international events. The analysis indicates that the buy-and-hold strategy surpasses the "in and out" strategy across most sectors and the exchange rate, except for the financial and banking sectors. Chapter 4 takes a macroeconomic perspective, linking the stock market to financial liquidity needs functions (M1 and M2) through Autoregressive Distributed Lag (ARDL) and Granger causality analyses. It reveals that M1 and M2 financial liquidity needs are cointegrated with real stock prices, real income, deposit interest rates, and real exchange rates. The wealth effect from real stock prices significantly affects financial liquidity needs, with M2 being more responsive to stock price fluctuations while M1 remains stable, highlighting the stock market's role in shaping long-term financial liquidity needs and monetary policy implications in Turkey.
Yapay zeka merceğı̇nden algorı̇tmı̇k sı̇nyaller, duyarlılık alanı ve toplumsal refah: Türkı̇ye örneğı̇
Bu tez, toplumsal yaşam kalitesi ve refahı değerlendirmek için duyarlılık analizi, makine öğrenimi ve coğrafi mekânsal ağ analitiği yoluyla Türkiye'deki finansal dalgalanma ve mekânsal eşitsizliği araştırmaktadır. Çalışma, farklı veri setleri ve metodolojiler kullanarak üç alanı analiz etmektedir. Finansal analiz için, Ocak 2015'ten Şubat 2024'e kadar günlük Türk Lirası-USD döviz kurları ve borsa verileri, uluslararası medya (The Economist, The New York Times, The Guardian) ve yerel kaynakların (Yeni Şafak, Türkçe Twitter) duyarlılık analizi ile birlikte incelenmiştir. Tahmin için doğal dil işleme teknikleri ve denetimli makine öğrenimi modelleri, açıklanabilirlik için ise XAI teknikleri kullanılmaktadır. Mekânsal analiz için OpenStreetMap verileri ve belediye kayıtları kullanılarak İstanbul'un 38 ilçesinde 15 dakikalık şehir çerçevesinde ulaşım, yeşil alanlar, kamu hizmetleri, güvenlik altyapısı ve ekonomik faaliyetler olmak üzere beş kentsel boyutta yürüme erişilebilirliğini ölçen bileşik bir yaşanabilirlik endeksi oluşturulmuştur. Sonuçlar, uluslararası medya duyarlılığının Türk Lirası oynaklığı ile yerel haber kaynaklarına göre daha güçlü ilişkiler gösterdiğini ortaya koymaktadır. Benzer şekilde, borsa tahminleri için, uluslararası haber duyarlılığı modeller arasında öngörülebilirliği tutarlı bir şekilde artırırken, yerel duyarlılık daha az rol v oynamaktadır. Toplu öğrenme yöntemleri, bireysel ağaç tabanlı tekniklere kıyasla daha üstün tahmin doğruluğu elde etmektedir. Kentsel erişilebilirlikle ilgili olarak, birçok İstanbul sakini hizmetlere 15 dakika içinde erişebilirken, ulaşım ve eğlence tesislerine erişim eşit değildir. Merkez ilçeler (Fatih, Beyoğlu, Kadıköy) en yüksek erişilebilirlik seviyelerini sergilerken, çevre bölgeler önemli ölçüde geride kalmaktadır. Araştırma, ekonomik stres ve istikrarı yakalayan finansal duyarlılık analizi ile kent sakinlerinin duygusal ve fiziksel refahını ölçen kentsel duyarlılık analizini entegre ederek, finansal dalgalanma ve mekânsal eşitsizliğin Türkiye'deki toplumsal yaşam kalitesini nasıl etkilediğini anlamak için bütünsel bir çerçeve sunuyor.
Twitter and inflation dynamics: Investigating the role of twitter sentiment in Türkiye's hybrid new keynesian phillips curve
This inquiry explores the role of Twitter-based sentiment in shaping inflation expectations within Türkiye's Hybrid New Keynesian Phillips Curve (NKPC) in a closed economy framework. By incorporating a novel Twitter-based inflation expectations variable (TWT), derived using Natural Language Processing (NLP) with the BERT model, as a forward-looking component, this research offers an alternative to traditional methods like rational expectations and survey data. The findings reveal that while backward-looking inflation (past inflation) remains the dominant driver of expectations, Twitter sentiment significantly influences forward-looking expectations, though with a relatively weaker effect. This suggests that while past inflation plays a crucial role, TWT offers useful, up-to-date observations of the public's views on future inflation. The study also shows that in this closed model, the output gap has minimal significance, reinforcing the notion that inflation persistence remains central to Türkiye's inflation dynamics. The results suggest that policymakers should consider integrating Twitter sentiment into their strategies, enabling more effective and dynamic communication with the public. By better understanding and responding to inflation expectations through both traditional and social media channels, especially Twitter, authorities can enhance the credibility of inflation-targeting frameworks and potentially reduce inflation more efficiently.
Inflation pressures and a search for an anchor: A case study of the Wamz region
This study seeks to identify which of three major international currencies could serve as an optimal anchor for selected countries in the ECOWAS (Economic Community of West African States). These selected countries include The Gambia, Ghana, Guinea, Nigeria, and Sierra Leone. The price, output, and trade data sourced from various international data portals like the World Development Indicators of the World Bank and the International Financial Statistics of the International Monetary Fund are used to compute comovement relationships between prices and outputs. And then, by employing autoregressive (AR) models, the research analyses and establishes a more statistically rigorous relationship amongst these macroeconomic indicators—gross domestic product (GDP), consumer price index (CPI), and bilateral trade. The study highlights how and which among the United States dollar (USD), the euro, and the Chinese yuan could potentially benefit these countries by influencing economic performance and overall stability, particularly if countries in the region were to dollarize. The issue of persistent price instability—more specifically, inflationary pressures—that has plagued Anglophone West African economies for years has been receiving increasing attention in recent times, renewed by global economic shocks and inflation woes associated with the COVID-19 pandemic, geopolitical tension, and other disruptive international events. These new challenges have accentuated the need for more reliable monetary frameworks across the Economic Community of West African States region. The intent of the findings is to offer policymakers insights as they consider future monetary strategies. The study aims to influence decision-making related to exchange rates, inflation control, and broader regional economic integration efforts.
The effects of Covid-19 pandemic on the volatilities of the dynamics of bitcoin and gold
The emergence of the health crisis, covid-19 in this advanced technological era where connections between markets, nations and economies have grown stronger than ever before, both the physical and digital financial markets were affected by the shock of the covid-19 pandemic rapidly. The Chinese financial market experienced the first consequences of the covid-19 pandemic, the shocks in the Chinese stock markets spill over to the other financial markets like bitcoin, gold and others in the world. This thesis focuses on impact the covid-19 has on volatilities of the dynamics of bitcoin in the cryptocurrency market and gold in the precious metals market. Gold has an online platform as well as bitcoin where both assets can be traded online worldwide, however gold has a physical form as it is mined physically and also used in many physical ways too whereas bitcoin has no physical form as it is digitally generated and cannot be used in any physical form, this paper argues that these similarities and differences between these financial assets play major roles in how the covid-19 crisis affected their respective markets. The research employs the GARCH model by using ARMA as the mean equation and examines the impact the health crisis Covid-19 has on the volatilities of the price returns and volumes returns of bitcoin and gold using daily data of bitcoin prices and volumes, gold prices and volumes from 9/22/2014 to 3/31/2021.The empirical results of the estimation gives evidence that covid-19 impacted the volatilities both bitcoin and gold price returns to be more volatile, however the pandemic has no significant impact on the mean values of bitcoin and gold price returns, moreover, the covid-19 restricted the movement of people all over the world, mining, transportation and physical usage of gold was affected unlike for bitcoin where is produced and traded digitally only, the results of this thesis also verifies that the covid-19 has effects on both the mean values and the volatilities of the gold volumes but has no effect on both the mean values and volatilities of the bitcoin volumes.