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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.