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External public debt management: Use of derivative instruments
Public debt is a financing tool that is frequently applied for increasing public spending in the face of increasing public costs or for financing large countrywide public investments.There have been many different schools of though and theory put forth on public debt from ancient times to the present day. The impossibility of achieving an equilibrium between market conditions and the understanding the state?s role of the social state in the economy is a reality accepted by virtually every country today. Taken in this context, for those countries that lack the internal dynamics for public debt financing to go the route of external borrowing to cover public debt is an unusual phenomenon.Budget deficits in developing countries have reached serious levels due to many global crisis?s that have developed in International markets, and cyclical changes that occur as a result of inflationary pressures. These countries which do not have a robust economy and financial structure had to resort to foreign borrowing to finance public deficits.This process of borrowing that gained substantial acceleration especially during 1980s, effecting the debt rates and services of developing countries? economies and thus jeopardizing the status of countries that has been the lender. This situation revealed that developing countries needed to focus on public domestic and external debt management. From this period forward, the debt management issues such as debt stock limit, risk ratio, internal and external debt sustainability gained importance for developing countries. During the same period, the derivative products emerged as a result of the studies performed in order to reduce the risks brought by borrowing in international markets. These products began to be used effectively by many developed countries to avoid risks such as exchange rate, interest rate, inflation. These products that were used in these markets grew as time went on and with the promotion of certain economic and financial institutions began to attract the attention of developing countries.The situation in Turkey was not different than in other developing countries. Especially after 1980, the external public debt levels increased sharply by means of economic and financial reforms that had been performed during this period. The derivative instruments which ensure the risk management and which emerged in the '80s as an alternative in the public internal and external debt management only began to attract attention at the end of the 90s in Turkey and the trading volume could be increased with the opening of the Derivatives Market in 2002. But this interest remained confined only to the private sector.It is not possible to ignore the benefits that may be obtained by use of derivative instruments when the past experiences of Turkey are observed.In this study it is explained the importance of a sound external public debt management and the advantages of use of derivative instruments within this frame. It is signified that evaluation and development of the derivative market will be advantageous, both in order for the economic development plans to be executed in a more clear way and in terms of assistance to the monetary policies to become successful.
Audit committee and committee subdivisions' characteristics versus operational risk oversight in Turkish banking sector
The main reason for financial scandals and crises experienced during the 2000s has always been addressed as lack of corporate governance; and accordingly, countless theories and suggestions have been asserted in order to develop appropriate corporate governance mechanisms. Nevertheless, because of missing data and abstractness of concepts, it has not been possible to measure completely whether these mechanisms were really effective, or whether they served their designated purpose. The present thesis analyzes, by means of the dynamic-panel data method based on unique data, the effect of important characteristics of internal audit, internal control, risk management, and audit committee mechanisms on operational risk, whose significance has substantially increased after the re-structuring developed in the Turkish Banking industry parallel to the international regulations that arose after the 2001 financial crisis. Also analyzed in terms of their comprehension capability regarding local economic environments are staff size, competence, reporting level, and explanation level of financial resource, as well as gender, auditing background of audit committee, and nationality. According to the study results, it was revealed that while there is almost no effect of the characteristics of the risk management department on operational loss, some characteristics of internal audits and internal control can mitigate operational risk. On the other hand, it was concluded that having female members and experienced members on an audit committee, and leaving off foreign-originated members, have significant positive impact on minimizing operational risk.
An attempt on the applicability of Basel III liquidity coverage ratio (LCR) and capital adequacy ratio (CAR) requirements to selected food retail sector firms and a comparison with traditional financial ratio analysis
Banks, in financial markets, work as intermediaries between who need funds and those who have fund surplus. Funds gathered from a person, agency or institute are placed to a person, agency or institute who need funds. At this point, banks have to pay their money to those who have fund surplus on demand, while call back from organizations who need funds at a particular time set when the money placed. Even though it's possible to recall a credit, this process is avoided for the reason that reputationally it has big reservations. Accordingly, in this point two main problems appear: First one is maturity mismatch and the second is credit safety. Maturity mismatch is the problem of being shorter the fund maturity of investors than demandants. The second problem is the situation that withholding payment of a placed credit when it is due or late payment. These two problems actually arise from a single point: liquidity. First point features the liquidity, in other words capability of obligation to pay, of the banks while the second of a person, agency or institute who demand funds. Spreading of financial crisis emerges with becoming unable of a financial institution after one or more debtor fail to discharge of obligation, because of inadequacy of liquidity, and accordingly with reaching a point of failing to discharge of obligation of this financial institution itself, failing the other creditor financial institutions successively. Financial crisis can reach a point that put even governments in a tight spot, it's essential that financial institutions and whom they lend to be liquid. This significance is evaluated within countries and in a platform between countries. Bank of International Settlements (BIS) set up a committee, named Basel Committee, in order to prevent emerging and spreading the financial crisis. This committee targeted to ensure the financial security of financial institutions taking some decisions. Financial criteria, with some changes, take their present form. The point to be emphasized is that these criteria only bind the financial institutions. There is no obligation for the debtors unless being a financial institution. Financial institutions use several evaluation standards while choosing the person, agency or institute to whom are credit a fund. Financial analysis is one of the methods to present the financial status of an institutions and the most significant of all evaluation tools in using evaluations of big firms. According to the criterion in consequence of this evaluation, a decision is made whether to give a credit or not. In this thesis, it is aimed to show the contingency situation in case of adaptation the liquidity and capital adequacy criteria to firms. While implementation process, we confronted an inconsistency problem of financial statements of between financial institutions and real sector firms. In order to overcome this problem we implemented transformation processes. Because of the scale difference, we also used some parameters and ratio smoothing, which committees and national board of audits use to audit institutions. We implemented this study to the firms which operates in stock market of retail industry, which we suppose that it is the most approximate sector to financial institutions from among the real sector firms. Three firms are analised and, then compared the ratio analysis, one of the financial analysis techniques and our adopted method.
Stochastic mortality using non - life methods
Although longevity and mortality risks have been studied for a long time, there has been a remarkable increase in the number and scope of these studies due to recent theoretical and practical developments. Such developments paved the way for a more detailed analysis of the asset-liability balance of life insurance and pension companies. The impact of these risks is huge albeit long-term. In addition to life insurance and pension companies, governments are also considerably affected through health expenditures and pension payments. Further, environmental impact on food and water supplies and pollution should also be considered as well as financial ramifications. Hence, the accurate modelling and forecasting of longevity and mortality risks has become more important than ever as the accelerating population increase is taking its toll on mankind both financially and environmentally. This thesis focuses on the most widely used stochastic mortality models. The results pertaining to historical death probability, force of mortality, life expectancy, and rectangularization behavior are analysed in detail. These models are applied to the data from 20 different countries. In terms of the variety of stochastic mortality models and the number of different countries, this study is singled out as the most extensive study to date. The main contribution of this thesis is the introduction of a new approach to model mortality. This approach is based on IBNR calculations in non-life insurance. The comparison of this approach with two extensively used models in practice, namely Lee and Carter and Renshaw and Haberman models, shows that the new approach outperforms the aforementioned models with UK data.
Foreign exchange risk and financial performance: The case of Turkey
The purpose of this study is to investigate the amount of foreign exchange open positions of manufacturing and service sector companies, to determine the effect of open positions on companies' financial performance and to find out the factors that contribute to the firms' tendency of keeping short foreign exchange position. The analysis conducted on 30 firms for the period spanning from the third quarter of 2012 to the second quarter of 2015 showed that operating profitability of the firms with short foreign exchange position was lower than operating profitability of firms with long foreign exchange position. The performed ANOVA test indicated that companies with short foreign exchange position were able to increase their overall profitability to the same level as companies with long foreign exchange position in periods when local currency was overvalued, but exposed to serious losses in periods of local currency devaluation. Applied regression analysis revealed that companies carried short foreign exchange position in the present period had higher liquidity and asset efficiency and lower overall profitability than companies with long foreign exchange position in the previous period Keywords: Short FX Position, Hedging, Financial Performance, Relative Purchasing Power Parity
The effect of crude oil prices on the foreign trade deficit - case of Turkey (2000-2015)
In this study, the relationship between Turkey's foreign trade deficit and oil prices, was analyzed with non-linear cointegration analysis for the period 2010-2015. The variables were analyzed using the Johansen Cointegration analysis after first differences were taken and stabilized. The results of the analysis revealed, a long-term positive relationship between foreign trade deficit and oil prices. The fact that the change in oil prices affected the foreign trade deficit with a delay of three periods is also among the findings of the study. It has been found with the Error Correction Model that the relationship is positive and the long-run correlations between oil prices and foreign trade deficit have stabilized by 38% compared to the previous turn. The findings of the econometric analysis, showed that the long-term relationship between oil prices and foreign trade deficits is positive consistent with the previous studies.
Kurumsal iktisat perspektifinden Türkiye'de vergi gayreti ve kurumsal kalite ilişkisi: Teori ve uygulama
Ülkeler arasındaki mali ve ekonomik farklılıkların açıklanmasında ana akım (mainstream) iktisada eleştirel bir açıdan yaklaşan Heterodoks iktisadi görüşlerin özellikle geride bıraktığımız yüzyılın son çeyreği ile birlikte tutarlı ve rasyonel katkıları yadsınamaz niteliktedir. Toplumların, gelişme – büyüme ve kalkınma ölçütlerinin salt ekonomik performansa bağlı değerlendirilmemesi gerektiğini, toplumların bir arada kalabilme ve hareket edebilme kabiliyetlerine yön veren hukuk, kültür, siyaset, tarih, eğitim, teknoloji, dil, din ve örf ve adetler gibi unsurların iktisadi analizlerin içine dahi edilmesini öneren Kurumsal İktisat son yıllarda gerek dünyada gerekse de ülkemizde popülerliğini artırma eğilimindedir. Vergi, geçmişten günümüze devletler nezdinde sadece kamu harcamalarının finansmanında kullanılmak üzere toplumun geneli üzerinden sağlanan bir fon olarak değil, aynı zamanda sosyal ve politik bir olgu olarak da önemli bir politika olma özelliğini sürdürmektedir. Verginin bu özelliği onun maliye otoriteleri açısından bir teknik mesele olarak ele alınmasından ziyade siyasi, kültürel, sosyolojik ve felsefi bir konu olarak tüm yönleriyle bütüncül (holistic) açıdan ele alınmasını gerektirmektedir. Doğurduğu sonuçlar açısından birey –devlet, birey – toplum ve toplum – devlet ilişkileri içerisinde karşılıklı etkiler yaratan vergi konusu Kurumsal iktisadın klasik sınıflandırmasından hareketle formal ve informal kurumlar çerçevesinde ele alınmış ve vergi uyumu, vergi ahlakı ve vergi kültürü gibi kavramlar irdelenmiştir. Bir kurum olarak vergi kavramı Türkiye açısından tarihsel perspektifte ortaya konularak, cumhuriyetin kuruluş yıllarından günümüze uygulanan vergi politikaları kurumsal iktisat perspektifinde eleştirilmiştir. Bu noktadan hareketle çalışmada 1984 – 2017 yılları arasında kurumsal kaliteyi oluşturan unsurlar ve Türkiye için gerçekleştirilen vergi yükü tahmini ve vergi gayreti hesaplamaları ekonometrik analize tabi tutularak elde edilen sonuçlar kurumsalcı bir yaklaşımla yorumlanmıştır.
Asimetrik panel nedensellik testi: Gelişmekte olan ülkelerin borsaları üzerine bir uygulama
Değişkenler veya olaylar arasındaki ilişki anlamına gelen nedensellik kavramı geçmişten bugüne kadar birçok bilim dalı tarafından inceleme konusu olmuştur. Nedensellik ilk olarak felsefe bilimi tarafından kullanıldıktan kısa süre sonra istatistik ve ekonometri gibi sayısal bilimlerin de ilgi alanına girmeyi başarmıştır. İktisadi değişkenlerin arasındaki ilişkilerin varlığının saptanması iktisat literatüründe var olan birçok teorinin temelini oluşturmaktadır. Bu sebeple iktisat literatüründe nedenselliğin önemi göz ardı edilemez. Ekonometri ise iktisadi teorilerin geçerliliğinin sınanmasına olanak sağlamaktadır. Bu teorilerin birçoğu nedensellik testleri yardımıyla açıklanmaktadır. Bu açıdan bakıldığında nedensellik ilişkisi ve bu ilişkinin test edilmesi son derece önemlidir. Asimetri ise birçok farklı tanıma sahiptir. Değişkenlerde asimetri, bir iktisadi zaman serisi değişkeninin meydana gelen pozitif ve negatif şoklara verdiği farklı tepkileri ifade etmektedir. İktisadi değişkenlerin şoklar karşısındaki tepkileri farklılık gösterebilmektedir. Bu farklılıklar göz ardı edildiği zaman değişkenlerin aralarında var olan ilişkiler ortaya çıkarılamayacaktır. Bu durum yapılan analizlerin güvenilirliğini azaltmaktadır. Bu noktada değişkenlerde asimetri dikkate alınarak aralarındaki saklı ilişkilerin bulunması mümkündür. Özellikle oynaklığın fazla olduğu değişkenlerde simetrik yerine asimetrik ilişiklerin incelenmesi daha güvenilir sonuçlar elde edilmesine neden olmaktadır. Bu çalışmada literatürde bir eksiklik olarak görülen panel veriler için asimetrik nedensellik testi geliştirilmesi amaçlanmıştır. Bu doğrultuda değişkenlerin asimetrik bileşenleri kullanılarak aralarındaki ilişki panelde yer alan her bir birim için ayrı ayrı incelenebilmektedir. Uygulama olarak geliştirilen asimetrik panel nedensellik testi, gelişmekte olan 11 ülkenin borsa endeksleri ile döviz kurları arasındaki asimetrik ilişkinin araştırılmasında kullanılmıştır. Bunun yanında sonuçlar simetrik panel nedensellik testi ile karşılaştırılmıştır. Çalışmanın sonuçlarına göre simetrik panel nedensellik testlerinin ortaya çıkaramadığı saklı ilişkiler yeni geliştirilen asimetrik panel nedensellik testi ile ortaya çıkarılmıştır.
Teknoloji, ticaret ve iş döngüsü üzerine üç deneme: Dinamik ekonometrik yaklaşım
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.
Borsa piyasalarının stokastik modellemesi
In this study, stochastic modelling is applied to analyze time series of daily closing prices of BIST100 and major stock exchange indices to gain new insight and help develop new applicable tools for investors and market participants alike for their portfolios and investments. The study is comprised of three parts. In the first essay we present the applicability of heavy-tailed distributions with the generalized autoregressive conditional heteroskedasticity (GARCH) model and continuous-time, COGARCH, model with Meixner distribution for BIST100. In the second part, we examine the long memory prop erty of five major stock exchanges by considering different models and show that the autoregressive fractionally integrated moving av erage (ARFIMA) model is a better candidate than the fractionally integrated generalized autoregressive conditional heteroscedastic (FI GARCH) in modelling volatility of the stock indices studied. The fi nal essay focuses on wavelet transformation, which has gained some popularity recently, between DAX and NIKKEI stock indices, and show that there are some level of correlation and coherency between the two. The Hurst exponent also estimated and there exist signs of multifractal process in the time series.
Haber etki eğrisi ve yayılma analizleri COVID-19 pandemisi vaka çalışmaları: İlaç endüstrisi, teknoloji şirketleri (Faang) & hava yolu endüstrisi
The Covid-19 pandemic, which has gained momentum since the day it started, has taken the whole world under its influence. In this thesis, how the Covid-19 pandemic affected three sectors, namely the pharmaceutical industry, technology companies, and the airline industry, was investigated in three separate chapters. Sectors have been affected by the discovery of the vaccine as well as by the pandemic. In this context, in the first chapter, an analysis was made using the EGARCH Model and news impact curves to examine the effects on the returns of pharmaceutical and biotechnology companies. As a result of the measures and restrictions taken to prevent the pandemic from progressing, people started to work from home. People have had to start meeting many of their needs online because restaurants only offer takeaway, shopping malls are closed, etc. Therefore, the need for technology has increased even more in this period. Individuals, being locked at home, have turned to online broadcasts such as Netflix. In this context, in the second chapter, how the stock returns of Facebook, Apple, Amazon, Netflix, and Alphabet (FAANG) are affected by using the DCC GARCH model was examined. In some periods, travel has been imposed restrictions due to the increasing number of cases. With the discovery of the vaccine, restrictions have also changed. In the last chapter, an analysis has made using the Granger Causality Tests and Diagonal BEKK Model to examine long-term spillover effects among the two crude oil prices (Brent, WTI) and three US Airlines Stock prices (American Airlines Group, Southwest Airlines Company, and Delta Air Lines). By expanding the data set used in the study, more comprehensive results can be obtained and may guide future research.
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.
Dalgacık uyumluluk analizleri ve çoklu fraktal davranış kullanılarak büyük dalgalanmaların büyük ölçekli tahminleri ve çoklu zaman serileri için dalgacık tutarlılığının geliştirilmesi
Shocks, jumps, booms, and busts are typical large fluctuation markers that appear in crisis. Identifying financial crises and estimating leading indicators with strong relations during crisis periods have an essential role in the literature. This thesis examines the dynamic co-movements of leading indicators' multifractal features to identify financial crises due to large fluctuations. The detected dynamic relationships predict leading indicators with scale-by-scale analysis and make large-scale predictions better than challenger models. As a natural result of these studies, the n-dimensional wavelet coherence method is examined, and the vectorwavelet package is transferred to the R program. This thesis consists of three independent parts, and the contents of the studies are summarized below. In the first part, stock returns' co-movements with other leading indicators in crisis periods are analyzed with multiple and quadruple wavelet coherence using interest rate, exchange rate, and trade balance differences. The scale-by-scale wavelet transformation was used to predict large-scale relationships, and stock return estimation was performed. In the second part, the multifractal characteristics of sectoral default probabilities of the real sector in Turkey and Turkey sovereign CDS rates were examined by detrended fluctuation analysis. Significant dynamic connections between the Hölder exponents of the default rates and CDS during financial crisis periods have been examined. During the periods of financial crises, among the Hölder exponents, severely correlated large scales show multifractal features. Scale-by-scale wavelet transform has been used to predict large-scale relationships, and hence vector fractionally autoregressive integrated moving average forecasting provides better results than scalar models. The final part of the thesis introduces a new wavelet methodology to handle multivariate time series dynamic co-movements by extending multiple quadruple wavelet coherence methodologies. The primary motivation of our works is to measure wavelet coherence analytically for the specific dimension.
Finansal piyasalarda birlikte hareket üzerine üç makale: Fraktal davranış, bilgi akışı, nedensellik ve tahmin
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.
Sağlık harcamaları ile ekonomik büyüme arasındaki ilişkinin incelenmesi
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
Uluslararası ticaret modelleme tahminleri
The study analyzed foreign trade volume among Turkey and 37 OECD countries, especially the sway of the LPI on Turkey's foreign trade volume. The effects of the LPI in determining Turkey's foreign trade volume were analyzed by using the data of Turkey and OECD countries in the 2007-2020 period. In the study, three different models were established in which the total foreign trade volume, Turkey's exports and imports with OECD countries are dependent variables. The variables used in the models are the GDP of Turkey and OECD countries, R&D investments, population, LPI, and distance between countries. Since the models have problems with autocorrelation, heteroskedasticity, and cross-section dependence, the Huber-Eicker-White estimator that robust to these problems, was used. When the results obtained were examined, it was concluded that the sign of the relationship between GDP and foreign trade volume of the countries in the model that the foreign trade volume was the dependent variable was positive. The gravity model has main variables used in the studies. Among these, the variable that expresses the geographical distance between countries is among the most used. In the study, the direction of relationship with trade flows is negative. Turkey's LPI positive affects foreign trade volume in the first two models. It's been observed that there is a positive relationship between the populations of OECD countries and Turkey's foreign trade volume, in line with expectations. When the study's primary purpose is evaluated, Turkey's LPI has a positive and significant effect on foreign trade volume.
Döviz kuru şokları ve enflasyon oynaklığı üzerine bir inceleme: DCC-GARCH modelinden kanıtlar
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.
Uluslararası altın fiyatları, merkez bankalarının altın rezervleri ve borç stoklarının ilişkisi: G8 ülkeleri arasındaki analizi
Gold is a commodity that has been used to protect the wealth of not only people but also organizations and states from past to present. For this reason, countries prefer to keep some of their reserves as gold through their central banks. At the financial macroeconomic level, the primary goal of countries is to sustain a healthy economic growth. However, when the economies of developed countries are examined, especially when the economic growth rate of the G8 countries, which are called the strongest countries class, is examined, it is seen that the public debt ratio is very high, which increases the risk levels of the countries. Therefore, it is expected that the gold reserve demands of these countries will be in a causal relationship with international gold prices. In this study, the causality relationship between the public debt stock of countries, international gold prices and gold reserve of countries is investigated based on this question. The country sample is based on the quarter between 2008 and 2020 of the G8 country group. The analysis method has been utilized by econometric methods and the relationship between variables has been examined with panel granger causality analysis. As a result, a unidirectional causality relationship has been found between the debt stock of countries and international gold prices, and between gold reservoirs and debt stock. Key Words: International Gold Prices; Gold Reserves of Central Banks; Panel Granger Causality Relationship; Public Debt Stock
Finansal piyasalarda iklim değişikliğinin etkisi
There is a critical relationship between climate change and financial markets. In this study, temperature change values are used to examine the impact of climate change on agriculture, banking, investment, and insurance sectors. The study determines the relationship between temperature changes and agriculture, banking, investment, and insurance indices in BIST by regression analysis. The results show that climate change has different impacts on different sectors. While the agricultural sector is more sensitive to temperature changes, its impact on the banking and investment sectors may be more limited. These results suggest that temperature changes directly and significantly impact the financial performance of the agricultural sector and provide a broad understanding of the potential impacts of climate change on financial markets and the agricultural sector. In addition, the insurance sector can be affected by climate change, and temperature increases can trigger changes in insurance indices. These results emphasize that climate change is an essential factor in financial sector performance and risk management. In this context, policies and strategies to combat climate change should focus on promoting stability and sustainability in financial markets.
Kripto paraların portföy çeşitlendirmesindeki etkisi
We examine whether cryptocurrencies provide any benefits if they are included in the well diversified portfolios. Their performance in a diversified portfolio is compared to those of standard currency and commodities. Optimal portfolios are created based on maximum Sharpe Ratio as well as on Global Minimum variance for two-asset, for three-asset and for four-asset portfolios, and the diversification effects obtained in each case are compared with the other assets, namely USD/TRY as standard currency and gold as commodity. For the four asset case, which is the most comprehensive case, where all types of currencies along with gold are added to the market portfolio, we repeat our analyses for the period of 04/05/21 - 04/28/23, which is the "main sample" period, for he "post-Covid-19 era," which includes the sub-sample period of 04/29/22 - 04/28/23, and for the "post-Covid-19 pre-Feb 6" period, which covers 04/29/22 – 02/03/23 excluding the period of the Feb. 6, 2023 great earthquake disaster in Turkey from the post-Covid-19 period. For each optimal portfolio, various risk and return metrics are estimated and compared. Our results show that cryptocurrencies can be good instruments for portfolio diversification in general. For our sample period, Etherium seems to perform better in diversified portfolios compared to Bitcoin.
Tahminleme yöntemlerinin dalgacık analizi ve çoklu fraktal eğilimden arındırılmış dalgalanma analizi kullanılarak geliştirilmesi
This thesis comprehensively explores the multifractal structure characterizing precious metal prices and their dynamic relationships. Utilizing advanced techniques such as Vector Fractionally Integrated Autoregressive Moving Average (V-FARIMA) modeling and Multifractal Cross-Correlation Detrended Moving Average Analysis (MF-X-DMA), the research delivers critical insights into forecasting accuracy and risk-return tradeoff in commodities investments. The initial portion of the research hones in on the multifractal structure inherent in precious metal prices, with a particular emphasis on periods of financial instability. The insights gathered in this phase contribute significantly to constructing precise predictions for commodity price variations, empowering investors to make knowledgeable decisions, manage risks effectively, and protect their investments even in a turbulent market. The study then investigates the dynamic relationship between the return rates of gold and platinum, discovering substantial connections across varying frequencies and time frames. This finding supports the concept of co-movement behavior in commodities markets, further influencing risk management, portfolio diversification techniques, and the formation of effective trading strategies. A notable discovery in this research is the consistent comovement over long periods of time as indicated by the constancy in Hölder exponents at lower frequencies. This result not only validates the proposed forecasting approach but also opens potential avenues for future investigations in the field. The first section presents the effectiveness of the V-FARIMA model, emphasizing its superiority in forecasting the Hölder exponents of multifractal precious metal time series. The V-FARIMA model shows promise in spotting underlying trends and patterns in data, increasing our comprehension of price movements in precious metal markets, leading to improved investment decisions. Subsequently, the study employs the MF-X-DMA for multifractal time series with significant coherence, confirming the presence of multifractal cross-correlation between gold and platinum at all scales. In spite of lower correlations, the two commodities still display long-term power-law cross-correlation, a finding of immense value for diversified investment portfolios. The study finishes with a notable affirmation of the MF-X-DMA approach's superiority to the MF-DFA technique in reliably detecting long-term memory in co-movement time series. The combination of continuous wavelet transform (CWT) and MF-X-DMA methodologies provides new insights into the true dynamics of the gold and platinum markets, helping to shape future investment strategies and risk management procedures.
ESG derecelendirmelerinin temettü ödemeleri ve gelecekteki kazanç büyüme ilişkisi üzerindeki etkisinin incelenmesi: Türkiye örneği
This study aims to examine how Environmental, Social, and Governance (ESG) ratings influence the relationship between dividends and earnings growth in Turkey. By addressing this research question, the study seeks to enhance our understanding of how ESG ratings influence the correlation between dividends and future earnings growth, while considering potential effects of other financial variables. The final sample covers a period of 10 years (2012-2021) with 26 cross-sections. The findings of this study provide insights into the relationship between dividends, earnings growth, and ESG ratings in the Turkish context. Importantly, the study demonstrates that ESG ratings have a positive and significant impact on future earnings growth. Firms with higher ESG ratings in Turkey are more likely to experience higher future earnings growth, indicating that integrating environmental and social considerations, along with strong governance practices, can contribute to improved long-term financial performance and growth prospects. Furthermore, the study finds a negative and significant interaction between ESG ratings and dividend payout, suggesting that the combined effect of higher ESG ratings and increased dividend payouts may dampen future earnings growth. In conclusion, this study contributes to our understanding of the influence of ESG ratings on the relationship between dividends and earnings growth in Turkey. The findings highlight the importance of considering ESG factors in corporate decision-making and strategic planning to enhance future earnings growth potential. By integrating sustainable business practices, maintaining high ESG ratings, improving profitability, and investing in future assets, Turkish firms can foster long-term financial success and resilience.
Bı̇lı̇şı̇m yatırımları, dövı̇z kuru ve enflasyonun G20 ülkelerı̇nde sağlık harcamaları üzerı̇ndekı̇ etkı̇sı̇
Health and investments in health are crucial components of human capital and have a positive relationship with economic growth according to endogenous growth theories. This study investigates the relationship between exchange rate, inflation rate, ICT (Information and Communication Technology) investments in the health sector, and health expenditures in G20 countries over the period of 2000-2019 using panel data analysis. Health expenditures are decomposed into different categories such total health expenditure, government health spending, private sector health spending and household health spending for more specific policy analysis. The empirical findings reveal that exchange rate, GDP, and general government final consumption expenditure are significant determinants of health spending. Our results show that the health sector ICT investment is a significant determinant of domestic private health expenditure per capita and out-of-pocket household expenditures per capita, indicating the importance of investments in health technologies for private sector health expenditures. However, it has no effect on current health expenditure per capita and domestic general government health expenditure per capita, suggesting that government health expenditures are not related to ICT investments. This study contributes to the understanding of the financial variables affecting health expenditures and provides insights for policymakers to take appropriate actions to ensure uninterrupted access to health services in the face of fluctuations and changes in health expenditures.