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Öğe DO GOVERNMENT EXPENDITURES AND TRADE DEFICITS AFFECT EACH OTHER IN THE SAME WAY? EVIDENCE FROM TURKEY(Sveuciliste Josipa Jurja Strossmayera & Osijeku, Ekonomski Fak, 2017) Bayat, Tayfur; Kayhan, Selim; Tasar, Izzet; Acci, YunusThe purpose of this study is to determine the causality between trade deficits and government expenditure for the Turkish economy in different time horizons and in the case of different shock types between year 1987 and 2014. By doing so, we aim to understand whether the twin deficit hypothesis is valid in the Turkish economy or whether government expenditures have more ability to cause the movements of trade deficit. To do this, we employ asymmetric causality test developed by Hatemi-J (2012) and Hatemi-J and Roca (2014) and rolling windows causality test developed by Balcilaret al. (2010) methods. Results obtained from all tests imply that there is a bi-directional causality between variables. Different from other causality analysis, asymmetric causality analysis results indicate that an increase in government expenditures reduces trade deficit contrarily to existing literature. This means twin divergence hypothesis might be valid in the Turkish economy instead of twin deficit hypothesis.Öğe Does credit default swap spread affect the value of the Turkish LIRA against the U.S. dollar?(Elsevier, 2017) Hassan, M. Kabir; Kayhan, Selim; Bayat, TayfurWe examine possible links between CDS spreads and the value of the Turkish lira against the U.S. dollar by using the recently developed rolling window causality method as well as the Markov Switching Vector Autoregressive method. Results show that credit default swap premiums drive the value of the Turkish lira against the U.S. dollar in the post crisis period. We conclude that market risk as a part of financial risk has become an important factor in determining exchange rate fluctuations in the Turkish economy during the post-crisis period. Copyright (C) 2016, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.Öğe An Empirical Investigation of Fisherian Link in BRIC-T Countries(Bilgesel Yayincilik San & Tic Ltd, 2014) Bayat, Tayfur; Kayhan, Selim; Dogan, CetinThis study investigates the causal dynamics between policy rate and inflation rates in BRIC-T countries by employing monthly data from the January 1993 to March 2012. The study benefits from the recent advance in the time series and carries out nonlinear co-integration, frequency domain test approach. The results suggest that strong evidence of non-linear co-integration in Brazil and Turkey, linear co integration in Russia, India and China. According to non-linear causality analysis, there is a bi-directional relationship between nominal interest rate and inflation in the case of Brazil and Turkey. Linear causality test finds that there is a uni-directional causality running from inflation rate to nominal interest rate in Russia. Frequency domain analysis results imply the existence of the Fisher effect on the long run in China, Russia and Turkey, rejects the validity of effect in India and Brazil, contrary to nonlinear causality test.Öğe Petrol fiyatları ve döviz kuru arasındaki ilişkinin ampirik analizi: Asimetrik nedensellik analizi(2016) Adıgüzel, Uğur; Bayat, Tayfur; Kayhan, SelimSon dönemde petrol fiyatlarında yaşanan yoğun dalgalanmaların yanısıra Türk lirasının yabancı para birimleri karşısında değer kaybetmesi petrol fiyatları ile döviz kurları arasındaki ilişkinin tekrar gündeme gelmesine neden olmuştur. Bu çalışmada petrol fiyatları ile döviz kuru arasındaki ilişkinin Türkiye ekonomisi için asimetrik nedensellik testi ile incelenmesi amaçlanmaktadır. Son dönemde Hatemi-J ve Roca (2014) tarafından geliştirilen asimetrik nedensellik testi ile 2009 - 2015 yılları arasında kalan ve dalgalı döviz kuru rejiminin uygulandığı dönem incelenerek değişkenler arasındaki muhtemel asimetri test edilmektedir. Test sonuçları petrol fiyatlarından döviz kuruna doğru bir nedenselliğin olduğunu dahası ilişkinin asimetrik bir davranış sergilediğini göstermektedirÖğe RELATIONSHIP BETWEEN OIL PRICES AND EXCHANGE RATES: THE CASE OF ROMANIA(Acad Economic Studies, 2014) Sahbaz, Ahmet; Adiguzel, Ugur; Bayat, Tayfur; Kayhan, SelimThis study investigates to causality between crude oil prices and exchange rates in Romania employing monthly data from the beginning Bloating exchange regime for November 2004 to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out nonlinear causality and frequency domain causality tests. According to nonlinear causality test results there is no causality between the variables. Results show that frequency domain causality results slightly differentiate from the nonlinear causality analysis and imply that there is a causality running from real exchange rate to real oil price on the median and long run.
