Theses supervised by Prof. Dr. Veysel Ulusoy
15 theses · Yeditepe University
Three essays on technology, trade, and business cycle: A dynamic econometric approach
The purpose of this thesis is to shed light on the implementation of forward-looking and counter-cyclical macroeconomic policies through an examination of technology and international trade processes using macroeconomic models. The thesis contains three independent chapters on PMG-ARDL and GMM econometric modeling of technology and international trade and estimating and evaluating a small open economy and middle open economy DSGE modeling as well as an introduction. In the second part of this study, we examined in detail the transfer of technology in terms of both developed and developing countries. In the third part of the study, we extensively investigated the dynamic and stochastic general equilibrium models, which have recently been used by many central banks in terms of analysis and planning of monetary and interest rate policies. In the final section, we extended the model for the same period to a middle open economy. Our research indicates that all countries benefit from technology transfer and that there is a long-term relationship between technology transfer and economic growth per capita. On the other hand, the simulation results for both small and medium open economy dynamic stochastic general equilibrium models are quite consistent with the Turkey macroeconomic variable data set. However, due to the high volatility of the macroeconomic variables used in the study, the model's simulated variables have large standard deviations. Both small and medium open economy general equilibrium models, while there are some parts to be improved, are excellent tools for analyzing optimal monetary policy for the Turkish economy.
Endüstri içi ticaret üzerine üç makale
This study consists of two different parts of international trade which are intra- industry trade (IIT) and foreign direct investment (FDI). The thesis has meaningful contribution to the literature both it collects the intra- industry trade values by various products and industries, strengthens determinants of IIT and FDI that are exits in the literature by new indexes and making a unique comparison between marginal intra- industry trade (MIIT) indexes to explain the relationship between MIIT and labor adjustment cost. In the first chapter, influence of currency crisis on foreign direct investment is observed with the situation of economic freedom level in the country. At the same time the chapter also presents determinants of FDI with the comparison of two methods of panel data in 37 countries in the period 1995 to 2017. The model provides special contribution to the issue of international trade by its indexes. In the second chapter, we took various eight products that are widely imported and exported in international trade to observed determinants of IIT in 40 different countries in the periods 2002 to 2018 in tobit model. The model improved by new indexes and new point of view to the related indexes that are also used in the literature. In the third chapter, we used three various indexes which were taken places in the literature to calculate marginal intra-industry trade (MIIT) on the issue of observation of labor adjustment cost. We investigated the relationship between marginal intra-industry trade and labor adjustment cost by compering different MIIT measurements.
Seküler durgunluk hipotezi üzerine üç deneme
In this thesis, The Secular Stagnation hypothesis is investigated from emerging and developed markets perspectives. The first chapter investigates the contagiousness of safe asset shortages as an implication of the secular stagnation hypothesis. Our motivation is to quantify the degree of financial contagion of safe asset demand among developed and emerging markets. In the second chapter, inspired by the universal law of gravitation, a new metric to measure the financial distance of countries has been created. In this metric, financial distance is directly related to Credit Default Swap (CDS) Spreads and is inversely associated with the Foreign Exchange (FX) Rate. The new metric has been used to optimize the hedging global fixed income portfolios. The third chapter aims to provide a new financial gravity framework to understand the nature of dependency on US monetary policy and its results. This thesis provides significant theoretical and empirical take aways by analyzing different aspects of secular stagnation hypothesis.
Three essays on co-movement in financial market: Fractal behavior, information flow, causality and forecasting
The behavior of financial time series, their interactions with each other, and analyzes of forecasts especially in crisis and shock periods, have gained an important place in the literature. In the coming years, such analyzes will find a place in many studies. The relationships between financial time series are a very important indicator in analyzing the economic shocks encountered. There are many methodologies and analyses on this subject in the literature. From this point of view, the aim of the thesis is to analyze the co-movement of financial time series, fractal behavior, the measure and direction of information flow, and future price forecasting, and to develop new analysis methods. The fact that all these methods have not been studied together is another starting point of the thesis. In the first part of the thesis, the co-movement of financial time series was analyzed by Wavelet coherence (WTC) method, crisis and shock periods were determined by Multiple wavelet coherence (MWC) method, then fractal behaviors were examined with Multifractal de-trended fluctuation analysis (MFDFA) method and for the post-crisis periods, daily price range estimations for the future were made by using the Vector autoregressive fractionally integrated moving average (VARFIMA) method, in comparison with real data. In the second part, a new method called Wavelet transform guided transfer entropy method (WTGTEM) has been proposed. In this new method, the co-movement of exchange rate time series has been examined with the Wavelet coherence (WTC) method, and the measurement and direction of the information flow between the financial series under the guidance of WTC have been analyzed by the Transfer entropy (TE) method. In the last part of the thesis, the new methodology presented in the second part has been applied to major stock indices. Especially during the COVID period, the behavior of the series has been analyzed, and it would be helpful for investors in portfolio diversification, especially in times of crisis. We believe that this thesis will guide future studies of this kind and that the methods used will be preferred by researchers.
An investigation of the relationship between health care expenditures and economic growth
In the 1960s, endogenous growth theories revealed that human capital as much effect as as physical capital in economic growth. Then, it was focused on how to increase human capital accumulation, and it was determined that first of all, education and then health were two main components. There are a lot of studies in the literature trying to assess the relationship between health expenditures and economic growth. In the studies on the relationship between economic growth and health expenditures, which is the subject of this thesis, it has been observed that economic growth is increased by health expenditures generally, but there are some studies that show that it does not affect economic growth even decrease. In this thesis, the relationship between health expenditures and economic growth has been examined for OECD countries, including Turkey, with five different methods: panel data analysis, structural break panel data analysis, panel causality test, dynamic panel data analysis and non-linear panel data analysis. In these methods, firstly, the relationship between health expenditures and economic growth is examined, then the other components of economic growth that are generally accepted in the literature, such as capital accumulation, total factor productivity and the democracy index, whose effects on economic growth are discussed, are included in the model to determine the effect of health expenditures on economic growth. has been studied. In addition, although there are studies on the optimal level of public expenditures in the literature, it has been observed that there is no study on the optimal level of health expenditures in OECD countries, and it has been tried to calculate at which health expenditure level the economic growth will be maximum
A review on currency shocks and inflation volatility: Evidence from a DCC-GARCH model
In the present research, the relationship among the exchange rate and inflation in Turkey was investigated by considering the monthly dataset among 1990:1-2022:4 years. The consumer price index, producer price index, industrial production index, nominal exchange rate, and money supply are used as variables to represent inflation. Impulse-Response analyzes were used to find the short-term effects of the variables, decomposition of variance analysis for the causes of the changes in the variances of the variables, and the medium and long-term relationships of the variables in pairs were determined by DCC-GARCH models. While the models were being created, they were seasonally adjusted, and the inputs of the DCC-GARCH models were determined, consequently, the VAR analysis. In the results of the impulse-response analysis, it is seen that the reaction of inflation to the exchange rate shock is positive and lasts for five periods, after which the response fades. In the results of the impact-response analysis of the exchange rate, it has been determined that the reaction of the exchange rate to inflation has been stable for twelve periods. In the results of the variance decomposition analysis for inflation, at the end of twelve periods, 4.83% of the change in inflation was caused by the exchange rate; In the exchange rate variance decomposition analysis, it was concluded that 8% of the difference in the exchange rate was caused by inflation. While GARCH models show a negative interaction between inflation and exchange rate, DCC-GARCH results show that the permanence degree of short-term shocks between inflation and exchange rate is 0.43%. In addition, while a semi-strong GARCH process was found between inflation and money supply, a strong GARCH process was found between inflation and producer price index.
Three essays on economic growth:Economic freedom, intra-industry trade, foreign direct investment
Economic Freedom affects countries' economic development and their progress. However, economic growth is not only influenced by economic freedom, but also by other institutional factors and structural parameters such as savings rate, human capital and research and development expenditure, commercial and financial openness (Trade, Foreign Direct Investment and Financial Integration), infrastructure, competitiveness, financial development. This study aims to analyze the determinants of economic growth. The main findings of Chapter 2 are similar with the resource curse literature and general accepted theories i.e. economies rich in natural resources have tendency to grow slower than resource-poors and quality of institutions determines the curse or blessing in Natural Resource Rich countries. Economic freedom and its determinats show positive effect on Total Factor Productivity growth. In Chapter 3, the effects of Economic Freedom, Foreign Direct Investment, Human Capital, Intra-Industry Trade and their interaction effect together on Total Factor Productivity Growth are analysed and relation between Total Factor Productivity and other variables in both Natural Resource Rich countries, Organisation for Economic Co-operation and Development countries (OECD), except Foreign Direct Investment in Natural Resource Rich Countries has been observed. Whether Economic Freedom stimulates macroeconomic growth within non-linear endogenous growth model with the other growth determinants namely Saving Rate and Labor Force is analyzed in Chapter 4. Findings show relation between economic freedom and per capita growth.
Empirical essays on stock market linkages
Understanding the dynamics of stock market linkages is of paramount importance for global investors, portfolio managers and policy makers. The main objective of this doctoral dissertation is to analyze the time-varying co-movement dynamics across international equity markets. The thesis consists of four independent empirical essays. The first essay investigates the dynamic correlations between emerging and developed markets, paying special attention to the effects of recent and extant financial and debt crises. The results show that the level of correlations significantly increases during the crisis episodes and these crises induce contagion effects. The second essay focuses on extending a directional spillover methodology by using asymmetric price ranges. The empirical findings suggest that downside risks dominate upward risks in cross-market spillovers. We also find that asymmetric spillovers are episodic; the magnitude of asymmetries is quite small after the global crisis of 2008 compared to the pre-crisis period. The third essay examines stock market integration at the regional level and conducts an equicorrelation measure. Focusing on six different regions, the results provide evidence of increased intra-regional linkages over the entire study period. We also investigate conditional diversification benefits and find that these benefits significantly diminish in the last years, particularly for the developed regions. The last essay focuses on the macroeconomic, cultural and geographic determinants of stock market synchronization in G7 economies. The results reveal that real macroeconomic convergence, global shocks and geographical proximity are more important in determining equity return linkages than cultural distance.
Concentration and economic growth in the automotive sector in Turkey: An econometric approach
The automotive industry has a connection between other sectors, due to this reason the automotive industry is accepted as a leader sector in country`s economy. In our study economic growth is defined and is focused on an improvement of automotive industry in planned period, export, import, employment and economic growth theory. The aim of this study is to determine the concentration trends in the different parameters of the business organisation in the sector, to observe its effect on the economy. The concentration ratio was analyzed by Herfindahl Index and concentration rate index. The value of concentration affects the technological efficiency and affects economic growth. The measurement of concentration has been made in this study in order to examine the growth of the automotive sector.In the next section, the releation between automotive sector`s export, import, turnover, employment, concentration and economic growth is analysed with panel data analysis method. This study`s data, which is contained 18 companies`s data that are providing in Turkey, is based on Uludağ Automotive Industry Exporters' Association (OIB) and Automotive Manufacturers Association (OSD) Bulluteins and panel data analysis were analysed with E-views. The results obtained of this of this analyses are determined in the conclusion. Keywords: Panel Data Regression Analysis, Concentration Ratio Analysis, Economic Growth Models, Economic Growth Factors
The relationship between development of finance and economic growth
At last dates have been made important many academic and observational studies on importance of financial indicators in encouraging economic growth. The interrelation between finance market progress and economic growing negatively affected economic performance after global crisis. Like these situations show us the degree of importance of studying the interrelation between finance market progress and economic growing. This study, reveal a new special revisable of scientific studies, as well as new observational and statistical proof on the interrelation between finance market progress and economic growing for a wide cross-section sampling of forty-one states for the time period of the first quarter of 1999 to third quarter of 2011. We use a range of econometric approaches, focusing on developed and developing countries. Finance market progress is measured by five variables to keep the different dimensions of the financial systems. These variables are total current account balance (percent of GDP), exchange rate (national currency to USD), net direct investment ratio to GDP, total loan to private sector (percentage of GDP) and interest rate. The result of study shows us the presence of causality and the trend way of causation between finance market progress and economic growing. It is determined by the factors that are chosen to represent progress of finance. We use Panel Var and GMM method to detect every aspects of this relationship. In addition, the interrelation between finance market progress and economic growing indicate differences among states in spite of these economies have almost identical structural features.
Mekansal ekonomi üzerine ampirik makaleler
Intra-industry trade (IIT) approach is widely believed to entail low transitional adjustment costs in relative production factors. First chapter of thesis examines labor adjustment costs of EU industries with trade relation of NAFTA on industry-level via the perspective of IIT over 36 months period. Results have shown that high economic performance and dominant free trade approach impact trade blocks positively but a financial turmoil cripples IIT by lowering bilateral trade amounts. Second chapter aims to capture marginal IIT levels of trade of industry sectors in 25 developing countries with 34 developed countries and compare its adjustment costs pattern. Evaluating MIIT patterns in diversifying adjustment costs is main approach for examining the correlation between trade liberalization and adjustment costs. Dual index application with newly introduced graphical resolution, Trade Concentration Space (TCS) are crucial for robust results of developing countries by identifying industries as contracting, neutral and expanding via trade liberalization process. Third chapter focuses on the geographical region determinants as a weight matrix. The main motive is here to move beyond singular two-fold relations and aim to confine the effect of IIT on job turnover while monitoring the rest of relevant variables by using newly introduced weight matrix. A spatial two-stage least squares model (S2SLS) is applied for measuring MIIT relation between regional trade pattern and labor market adjustment costs. In first stage, Euclidean distance spatial model is applied to calculate regional weights in EU-28 and in second stage the distinctive impact of variables have shown in empirical results.
Three essays on dynamics of firm-specific performance: Intangible asset, financial openness and uncertainity
Which characters of firms provide sustainable competitive economic performance gains importance nowadays. According to the Resource Based View (RBV) the key factor in this field is intangible assets. 3 dynamics on the economic performance of the firms are defined as company-specific internal dynamics, integration with financial markets and sectoral concentration and global and local risk factors. General derivations are i-) Size effect, trade openness and intangible assets enable the firms to gain competitive advantages in their sectors. ii-) Although the rise in the amount of intangible investment affects positively short-term economic performance of firms, it does not have a positive effect in achieving a sustainable competitive advantage. It has been observed that intangible investments and market power-trade openness simultaneously have a positive influence on sustainable competitive performance. iii-) While it is observed that financial openness alone decreases the economic performance of companies in the mean, the covariate effect of financial openness with trade openness and herfindahl index is more effective in economic performance. iv-) Sectoral concentration harms overall economic performance of the firms. v-) The uptrend in all indices of uncertainty has lowered the economic performance of the firms in the mean. vi-) In an environment of increased uncertainty, blue-chip companies and high exports firms are regarded as safe havens. The data obtained from financial statements between the years 1995-2014 of above 200 firms traded at Borsa Istanbul are used. Generalized Method of Moments is used to solve the equations through the thesis.
Three essays on investment and cash flow; Financial constraint, financial development and uncertainty
In this thesis, the relationship between investment and cash flow is examined under three headings. In the first part of the thesis, it was tried to understand how the sensi-tivity of companies' investment expenditures to cash flows is affected by the financial limitations and export rates. In the second part, it is tried to be understood how the development of capital and money markets affected the sensitivity of investments to cash flows. In the third chapter, it was tried to determine how the uncertainties in global and local sense affect both the investment expenditures and the dependence of investments on cash flows. Data of the investigation is composed of the data of com-panies that are traded on the BIST (Istanbul Stock Exchange) between the years 1996 and 2014. As the data are in the panel data type, analyses were performed by applying dynamic GMM (Generalised Method of Moments) analysis. As a result, it has been found that as the degree of financial constraints of companies and the level of global and local uncertainty increase, dependence of investment expenditures on cash flows strengthen and the level of investments decline. In the second part we were expecting a decline in the dependence of investments on cash flows as capital and money mar-kets evolve, however according to the analysis results we could not surely confirm our expectation. That is to say it is understood that more data is needed to validate or fal-sify the hypothesis of the second part.
Three essays on economic growth : Financial innovation, human capital and foreign direct investment
The most recent global financial crisis has fueled arguments against financial innovation on the premise that it was especially the financially engineered complex products that triggered or paved the way to the crisis, which had detrimental effects on macroeconomic growth. Thus, there is considerable motivation to study and empirically test financial innovation and GDP growth relationship. In chapter 1, focus is to examine financial innovation and GDP growth relationships within an endogenous growth model. I explicitly aim to derive balanced growth path equilibrium and stability conditions for the endogenous growth model. Genuine proxy variable for financial innovation is defined. Also an iterative estimation technique panel non-linear least squares method with Gauss Newton algorithm is used to determine relation between per capita growth and financial innovation via simulation. In chapter 2 and 3, we aim to test whether the non-linear endogenous growth model explains relationship between per worker growth and other important growth determinants namely Human Capital and Foreign Direct Investment and also compare and contrast Financial Innovation empirical results with them.
Kredi riski ve derecelendirme
In the thesis, firstly, the meaning of credit is defined and categorized, in chapter two with the aim to analyze credit risk issue in the next chapters. As a result of financial liberalization achieved in global markets in last decades, investment possibilities around the world have been boosted and this development has led to lots of opportunities and risks. In Chapter three, risk management is explained with the aim to explore the benefits of risk management in the financial institutions. In Chapter four, types of credit risk are analyzed. The aim of this thesis is to create a rating system which enables to analyze the creditworthiness of the firms with objective criterias. In chapter five, rating system methodologies are discussed. In Chapter six and seven the impacts of credit risk on the profitability are discussed and credit risk models are explained. Also importance of credit analysis are discussed. The stages to create a rating system are analyzed in the chapter eight. After explanation of credit rating in chapter eight, three well known rating agencies are considered. The financial ratios used by this rating sytem are explained in detail in chapter ten. The principles of the rating sytem is based on liquidity ratios, solvency-ability to meet key term obligations ratios, profitability ratios, Altman Z scores, Z prime scores and the industry averages published by TCMB. Rating score cards are calculated for 11 firms which are traded in ISE. The results obtained of this rating system are determined in the conclusion.