Theses supervised by Prof. Dr. Nildağ Başak Ceylan
14 theses · Ankara Yıldırım Beyazıt University
The responses of asset prices in Turkey to monetary policies of Federal Reserve and European Central Bank
This study aims to investigate the responses of asset prices in Turkey such as stock market indices returns, exchange rates and domestic interest rate to the monetary policy changes of the Fed and the ECB for the pre- and post- global financial crisis. The time period of the study between 2004 and 2013 is separated into two main parts as the pre-crisis period (January 2004 - September 2008) and the post-crisis period (October 2008 - December 2013) by considering the key event of the global financial crisis, which is the bankruptcy of Lehman Brothers in September 2008. The study employs event-study approach and standard instrumental variables approach proposed by Rigobon and Sack (2004) by utilizing appropriate monetary policy measures for the pre- and post-crisis periods. The monetary policy measures are based on short-term interest rates for the pre-crisis period while the monetary policy measures are retrieved from longer-term interest rates for the post-crisis period. The findings of the study offer that the most of the asset prices in Turkey react significantly to the monetary policy changes of the Fed and the ECB while the assets do not respond significantly in general in the pre-crisis period. The accommodative monetary policy actions during the post-crisis period increase most of the returns of the stock market indices in Turkey and lead to appreciation of Turkish lira against U.S. dollar. Furthermore, the expansionary policy implementations of the Fed during the post-crisis period result in depreciation of Turkish lira against euro as well as a decrease in the domestic interest rate.
Belirsizlik ve Türkiye ekonomisine etkisi
There has been a renewed attention to measure uncertainty and estimate its effects on the economy following 2008/2009 global financial crisis. This thesis develops an uncertainty measure for Turkey and analyses the macroeconomic effects of changes in this measure for the period of June 2005-August 2015. Two uncertainty measures are formed through principal component analysis by using a number of uncertainty proxies from three main financial markets and Expectations Survey. Aggregating uncertainty derived from varying sources into one summary statistic, the constructed measures capture four important incidents of uncertainty for Turkey in the last decade. These episodes occurred in May 2006 (domestic economic and political issues), October 2008 (collapse of Lehman Brothers), 2011 (Europe crisis), the summer of 2013 (taper tantrum coincided with Gezi events). A 7-variable vector autoregression model is constructed in order to estimate the impact of uncertainty shocks on Turkish economy. The variables included in the model are uncertainty measure, economic conditions index, unemployment rate, industrial production index, CPI, credit interest rate, and consumer confidence index. Economic conditions index is used to disentangle the effects of uncertainty from deterioration in the economic outlook. The results present evidence that an unanticipated shock to uncertainty measure is associated with a fall in industrial production, rise in unemployment, inflation and credit interest rate together with worsening in consumer confidence. The results are robust to a series of checks with respect to different ordering of variables, an alternative uncertainty measure, and a shorter variable set and sample period.
The effects of economic conditions and financial market development on the capital structure of firms
This thesis aims to provide a cross-country comparison of the factors that affect the capital structure decisions of firms. The significance of firm-specific variables, the country-specific variables, and the industry of the firms is investigated by constructing a panel data set from a sample of firms operating in 14 countries. In order to analyze the significance of the country-specific factors which are time-invariant, Hausman-Taylor method of analysis has been implemented together with the fixed-effects model. The analyses of the whole sample, regions, and the countries demonstrate that the firm-specific variables are the right proxies for the parameters set forth in the theoretical framework. The research results suggests that the financing decisions of firms are highly influenced by the features of the banking system and the size of the stock market. In this study, it is demonstrated that well-functioning legal system facilitates borrowing. It is also proved empirically that the increasing transparency of firms leads to more equity financing and less debt usage. The analysis of pooled data with the aggregate tax rate implies that the firms use more debt in order to benefit from tax advantages as trade-off theory predicts. It is suggested that more accurate data and analysis is needed for developing countries. The conflicts between the different theories of capital structure can be resolved with the analysis of samples from countries bearing distinct features. Keywords: Capital structure, leverage, financial distress
Para politikası ile hisse fiyatları arasındaki ilişki: Borsa İstanbul'dan bulgular
This paper examines the effect of monetary policy on the stock exchange prices in Türkiye using monthly data for eighteen years (2006:12-2024:2). Data are taken from the Central Bank of the Republic of Türkiye and Turkish Statistical Institute. The method of data analyses used are Ordinary Least Square (OLS), Johansen Cointegratin test, and Granger causality test. BIST100 Index is used as a indicator for stock exchange prices while the explonatory variables included the Central Bank the Republic of Türkiye monetary policy weekly repo rate, 3 months Treasury bill rate, M3 money supply, and USDTRY foreign exchange rate. The cointegration test result determines that there is a long run relationship between monetary policy and stock exchange prices in Türkiye. The OLS regression result reveals that monetary policy weekly rate significantly explains % 0.4 changes of stock exchange prices in Türkiye. 3 months Treasury bill rate insignificantly explains % 0.1 changes of stock exchange prices. M3 money supply significantly explains % 17 changes of stock exchange prices. USDTRY foreign exchange rate insignificantly explains % 5.3 changes of stock exchange prices. The Granger causality test reveals that BIST100 index has no casual relationship with monetary policy weekly repo rate, 3 months Treasury bill rate, M3 money supply, and USDTRY foreign exchange rate. Keywords: Monetary policy, stock price, Treasury bill rate, foreign exchange rate, money supply
Do FED's unconventional monetary policy and CBRT's ROM facility affect Turkish banks' external borrowing?
At the end of 2008, FED had to reduce its monetary policy interest rates to near zero level as a response to house market collapse. As this policy response was not find as enough, FED started to purchase papers, which resulted in an increase of its balance sheet to 4,5 trillion U.S. dollar. By large scale asset purchases, FED targeted to lower the yields on longer-term securities in order to increase the price of remaining securities and finally, to increase investment, demand for consumer durables and the prices of more risky assets. FED's unconventional policy had some spillover effects on emerging markets who enjoyed cheap and abundant liquidity during that period. During same period, CBRT introduced ROM facility by which banks were able to use foreign exchange for their Turkish Lira reserve requirements. The aim of this study is to demonstrate whether FED's unconventional monetary policy and CBRT's ROM facility affected Turkish banks' external borrowings by using Event Study, Regression Analysis and VAR. The event study indicates that although FED's unconventional monetary policy had significant effects on the external borrowings, the second phase had more impact. Regression analysis also indicates that FED's and CBRT's policies affect banks' external borrowing levels. Finally, the VAR system indicates that both FED's and CBRT's policies may have effects on the external borrowing but the CBRT's effect lasts longer compared to FED's. As a result, both FED's unconventional monetary policy and CBRT's ROM facility have impacts on Turkish banks' external borrowings. For the following study, the impacts of FED's unconventional monetary policy and its effects on emerging countries would be studied by using panel data set.
A comparative analysis of drivers of secondary market liquidity in bond and stock markets after global financial crisis in Turkey
We argue that the liquidity of financial markets is one of the best indicators of financial development. Yet, the concept of liquidity is a complex one with different features. Moreover, different stakeholders have different perspectives on liquidity which makes the concept much more complex from a policy perspective. In this thesis, we investigated the drivers of secondary bond market and stock market liquidity after global financial crisis in Turkey. The literature in Turkey focused only on return volatility for driving liquidity in both bond and stock markets. However, we argued that other type of volatilities including domestic and international volatilities have also a deteriorating impact on secondary market liquidity in Turkey. In this context, we empirically tested whether the volatility and/or uncertainty that stem from the FED and ECB policies within the last 10 years had a negative impact on liquidity both in government bond and stock markets. Our results reveal that international volatilities measured by MOVE index for bond market and measured by VIX index for stock market had negative impacts on secondary market liquidity in addition to return volatilities in these markets. Similarly, FX risk which is an indicator of domestic volatilities had a negative impact on secondary market liquidity in bond and stock markets. We further analyzed the impact of non-residents in bond and stock markets on secondary market liquidity by including their holdings in stock and bond market. The results showed that as the share of non-residents increase in bond or stock markets the liquidity in these markets improves.
Global economic policy uncertainty and its effects on selected emerging market countries
Economic policy uncertainty is a widespread debate area in the modern management, economics and finance. In the management perspective, understanding of organizational environment is one of the key contributor to good governance. In addition to this, macroeconomist focus on some kind of uncertainties such as inflation uncertainty, exchange rate uncertainty and growth rate uncertainty on the way of sustainable growth. As for financial side, the finance – growth nexus cannot separable from uncertainties around the environment. In recent years especially aftermath of global financial crisis, there has been a common search for novel measurement tool of economic policy uncertainty. Meanwhile, Global Economic Policy Uncertainty Index which is constructed by Baker, Bloom and Davis (2013) became a popular tool in order the grasp the impact of uncertainty both financial and real side of economy. Their method base upon text analysis via word searching from major newspapers of a selected country. The most prominent feature of the index is that its appearance in the media and academic papers. In addition to this, The Global Economic Policy Uncertainty Index provides high frequent and publicly available long span data. Therefore, there are other types of indices which use as a base of it. Although, there are ample of works concentrate on the influence on economic policy uncertainty in the literature, we focus on emerging market side of these effects. With this regard, we use a Panel VAR model with a sample of twelve countries and their financial variables. According to the model results, economic policy uncertainty impacts stock markets negatively, flattens the yield curve and depreciates the nominal currency.
Corporate social responsibility practices in Türkiye: An analysis of approaches, drivers, barriers and financial performance in the cement sector
Today, good employees and environmentally conscious corporate practices are the keys to a successful business. The construction industry engages in several unethical behaviors that have a detrimental effect on society and the environment. Businesses in the construction sector need to create and carry out business plans that go beyond profitability, consider all stakeholders and are ecologically sustainable. Numerous studies have demonstrated the importance of corporate social responsibility (CSR) as a management concern in the construction sector and the potential benefits of its adoption for the economy, society, and environment. With cement being the most important building material for the development of a nation's infrastructure, and having a growing market demand, this thesis sets out to examine how cement industries perceive and practice CSR. In this regard, the scope of the study is limited to one multinational cement industry: OYAK CIMENTO FABRIKALARI A.S in Turkiye. Through a qualitative and quantitative method, the study equally provides a thorough analysis of CSR practices methodologies, drivers, barriers, and financial performance. The study finds that while some cement companies see (CSR) as a sustainable strategy for competitive advantage, to improve firms' reputations, increase innovation, increase customer loyalty, and ultimately improve financial performance over time, others see CSR as a way of satisfying stakeholders (customers, employees, and shareholders). According to research and in-person interviews, OYAK CIMENTO appears to have the best CSR practices because of its strategic management policy of sustainable development. The study's findings support the idea that institutions that adopt CSR experience positive financial outcomes. By enhancing their brand and competitiveness, CSR consequently indirectly improves OYAK's financial success. The study also demonstrates how CSR may financially benefit some stakeholders at the expense of shareholder wealth, which lowers profitability and stock prices in turn. Key Words: CSR, Approaches, Drivers, Barriers, financial performance, OYAK CIMENTO FABRICA A.S., Sustainability development.
A discussion on adequate and optimal level for international reserves
Whether developed, or developing, for almost all economies, holding prudent amounts of international reserves bring considerable advantages in conjunction with sound policies and fundamentals. Appropriate governance structure for foreign reserves and the determinants of foreign reserve demand are analysed in this study. Three types of indicators for foreign reserve adequacy are discussed in detail: ratio of foreign reserves to imports, foreign reserves to monetary aggregates, and foreign reserves to external debt. Three different approaches are used to uncover the factors behind the demand for foreign reserves. First, a precautionary approach named as Buffer Stock Model is employed. Then, asymmetry in volatility is evaluated as a determinant of reserves. Lastly, it is assumed that there may be no discretion regarding the level of reserves but it is a result of macroeconomic developments. It is found that high international capital mobility could not reduce the importance of volatility. While opportunity and replacement costs are also important, volatility is still an important determinant. Controlling for skewness underlined the importance of opportunity costs. Last attempt showed that real imports, volatility of balance of payments and average tendency of imports have both statistically and economically significant effects on the demand for foreign reserves.
Financial development and economic growth: evidence from sub-Saharan Africa
The connection between financial development and economic growth is yet a disconcerted topic, and the discussion keeps on fascinating the consideration of policymakers. To add to the continuous discussion on financial development and economic growth nexus this study tries to empirically investigate the short and long-term impacts of financial development on economic growth in some chose nations in Sub-Saharan Africa (SSA). To bring out the short and long run features, the study shaped an aggregate variable of financial development dependent on four key proportions of financial development through the Principal Component Analysis. To this end, the Autoregressive distributed lag model (ARDL), which allows the examination of both the short and long- run impacts of financial development on economic growth for a panel of twenty three nations in SSA covering a time of forty eight years from 1970 to 2017 is utilized. The outcomes from the Pooled Mean Group (PMG) estimator show that in the case of Sub-Saharan African countries, a positive and significant impact of financial development on economic growth is proved over the long run, however the impact is negative in the short-run. Concerning the CFA countries, the findings uncover that over the long-run financial development and economic growth are decidedly and entirely related, whereas a significant negative relationship is recorded in the short-run. In the NCFA nations, the investigation establishes that regardless of the timeframe, financial development impacts economic growth positively. The causality test result shows that the demand-following hypothesis is predominant in the chosen Sub-Saharan Africa nations, that is financial development is caused by economic growth in SSA. To accomplish convenient long-run economic growth in Sub-Saharan Africa, the study proposes the execution and quickening of effective financial sector reforms and implementation of growth-oriented policies that would boost financial sector by policymakers. Keywords: ARDL, CFA, Financial Development, Economic Growth, NCFA, Sub-Saharan Africa, Pooled Mean Group Estimator.
Investigating the relationship between foreign direct investment, political stability and economic growth: Panel data approach
Foreign direct investments (FDI) are meant to improve the economic performance of a country. It is known that Developing countries have benefited from FDIs, leading to economic growth. The recipient country's economic, political, and social climates must be favorable to attract FDI inflows. However, for top emerging countries attracting FDI such as Brazil, China, India and Türkiye with a critical political climate, the influence of this factor on FDI inflows remains unknown. The political stability and volatility of each of these countries was one of the key determinants behind this data selection. The aim of this research will be to investigate the relationship of FDI inflows, political stability and economic performance. A quantitative methodology with a panel data design was used to guide data collection and analysis. Specifically, data was pulled from the World Bank's development indicator database. Among the variables to be retrieved are net foreign direct investment (FDI) inflows, which will be the dependent variable, and explanatory variables such as market size, trade openness, economic stability, Domestic investments and political stability, which will be determined by the proxies GDP, export and import volumes, inflation, GFCF and political stability and absence of violence, respectively, which will be investigated in relation to each other. According to the findings of this study, indicator of political stability has no significant impact on FDI inflows into the countries under study. However, GDP of the countries studied is the strongest predictor of FDI inflows. Keywords: FDI, economic growth, Panel data.
Belirsizlik ve Türkiye ekonomisine etkisi
There has been a renewed attention to measure uncertainty and estimate its effects on the economy following 2008/2009 global financial crisis. This thesis develops an uncertainty measure for Turkey and analyses the macroeconomic effects of changes in this measure for the period of June 2005-August 2015. Two uncertainty measures are formed through principal component analysis by using a number of uncertainty proxies from three main financial markets and Expectations Survey. Aggregating uncertainty derived from varying sources into one summary statistic, the constructed measures capture four important incidents of uncertainty for Turkey in the last decade. These episodes occurred in May 2006 (domestic economic and political issues), October 2008 (collapse of Lehman Brothers), 2011 (Europe crisis), the summer of 2013 (taper tantrum coincided with Gezi events). A 7-variable vector autoregression model is constructed in order to estimate the impact of uncertainty shocks on Turkish economy. The variables included in the model are uncertainty measure, economic conditions index, unemployment rate, industrial production index, CPI, credit interest rate, and consumer confidence index. Economic conditions index is used to disentangle the effects of uncertainty from deterioration in the economic outlook. The results present evidence that an unanticipated shock to uncertainty measure is associated with a fall in industrial production, rise in unemployment, inflation and credit interest rate together with worsening in consumer confidence. The results are robust to a series of checks with respect to different ordering of variables, an alternative uncertainty measure, and a shorter variable set and sample period.
The responses of asset prices in Turkey to monetary policies of Federal Reserve and European Central Bank
This study aims to investigate the responses of asset prices in Turkey such as stock market indices returns, exchange rates and domestic interest rate to the monetary policy changes of the Fed and the ECB for the pre- and post- global financial crisis. The time period of the study between 2004 and 2013 is separated into two main parts as the pre-crisis period (January 2004 - September 2008) and the post-crisis period (October 2008 - December 2013) by considering the key event of the global financial crisis, which is the bankruptcy of Lehman Brothers in September 2008. The study employs event-study approach and standard instrumental variables approach proposed by Rigobon and Sack (2004) by utilizing appropriate monetary policy measures for the pre- and post-crisis periods. The monetary policy measures are based on short-term interest rates for the pre-crisis period while the monetary policy measures are retrieved from longer-term interest rates for the post-crisis period. The findings of the study offer that the most of the asset prices in Turkey react significantly to the monetary policy changes of the Fed and the ECB while the assets do not respond significantly in general in the pre-crisis period. The accommodative monetary policy actions during the post-crisis period increase most of the returns of the stock market indices in Turkey and lead to appreciation of Turkish lira against U.S. dollar. Furthermore, the expansionary policy implementations of the Fed during the post-crisis period result in depreciation of Turkish lira against euro as well as a decrease in the domestic interest rate.
Effects of exchange rate on export performance: A case study of Tanzania
This study analyses effects of exchange rate of Tanzanian shilling on the country's exports performance applying Vector Auto-Regressive (VAR) model covering the sample period from 1993Q1 to 2016Q4. The results show that; there is no long-run association between exchange rates and exports. Results of Granger Causality test shows that; exchange rate and foreign demand granger cause exports (each with unidirectional causality). The Impulse Response Function (IRF) shows that; a one-standard deviation positive shock to exchange rate (depreciation of local currency) increases the country's exports in nominal terms. And although the effect of shock is contemporaneous but it is not statistically significant at the 5% in the first four periods. Moreover, such effect of shocks is not permanent as it does not increase exports for all 10 periods. The same were observed when a one standard deviation positive shock to the foreign demand was applied. The variance decomposition shows that, the effects of exchange rates on Tanzania's exports are weak in the short run (less than 5%) but reaches 12.3% in the tenth period. And the variance brought by shocks in foreign demand remained weak (less than 5%) up to the tenth quarter. Hence, with these results, deliberate devaluation of shilling can do good towards boosting exports; this is in line with Marshall-Lerner Condition. Keywords: Exchange Rates, Exports, VAR, Granger Causality, IRF, Variance Decomposition.