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  • Küçük Resim
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    Analysing Unit Root Properties of Macro-Economic Variables for Turkey
    (2018) Kara, Erkan; Azman, Fatih; Oğuzhan, Kodalak
    This paper will analyse the unit root properties of main macro-economic variables of Turkey. These macro-economicvariables are always in demand by policy makers. This is why we have chosen 10 variables for investigation. This study will try tosee whether these macro-economic variables are level stationary or first difference stationary. We applied traditional unit root andnewly generated unit root tests which takes structural breaks into account for macro-economic variables of Turkey. Grossdomestic product, real money supply of M1, Borsa Istanbul stock exchange index and non-agricultural unemployment rates seemsto be non-stationary at their level; However, we found some mixed results for long term interest rates and interest rate spread.They appear to be either level stationary or first difference stationary. Though in most cases they are level stationary according totest results. Unemployment rate and capacity utilization rates are stationary in their level formation. Consumer Price Index ofTurkey appears to be non-stationary both at level and when first differenced.
  • Küçük Resim Yok
    Öğe
    Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?
    (Elsevier Science Inc, 2024) Bouri, Elie; Gok, Remzi; Gemici, Eray; Kara, Erkan
    This paper examines the impact of three global risk factors (geopolitical risk (GPR), economic policy uncertainty (EPU), and crude oil volatility (OVX)) on the returns and variance of commodity, Islamic stock, and green bond markets across quantile distributions and various time horizons. To this end, Granger causality tests in quantiles and distributions along with wavelet-based correlation and causality approaches are applied to daily data from February 1, 2013 to June 30, 2023. The results of the Granger causality in quantiles tests show strong evidence that all three global risk factors Granger-cause returns across all quantiles, except the lowest and middle quantiles. The Granger causality is significant for both returns and variances, where GPR is the least predictor and OVX is the most predictor. Evidence of causation in risk spillovers is in the right tail and center of the distribution rather than the left tail, indicating no evidence of down-to-down risk spillover. The upside risk of OVX causes both the upside and downside risk of asset returns. The positive volatility of EPU and GPR drives the positive and negative volatility of the green bond and Islamic stock markets, respectively. Green bond markets are completely immune to risk spillover from geopolitical risks. The effects of risk factors are negligible at the lower and somewhat middle quantiles but strengthen with varying magnitude and significance for the remaining quantiles. The results of the wavelet analysis indicate that asset returns co-move with the global risk factors in the short term but decouple in the longer term. Risk factors exert short-lived causal impacts in the short term, but the duration of significant causal periods rises with time and the effect intensifies during crisis periods.