This paper assesses the response of a set of emerging markets' domestic interest rates to the US ... more This paper assesses the response of a set of emerging markets' domestic interest rates to the US monetary policy surprises within a dynamic framework. Monthly data from Algeria, Bahrain, Israel, Jordan, Kuwait, Tunisia and Turkey for the 1989:03 to 2005:12 period reveal positive effects of the unanticipated Federal Funds target changes on the short-term interest rates of these countries. When we look at the effect of US monetary policy surprises for different Turkish interest rates, the evidence is robust for the 3 and 12-month rates, but government controlled interbank and treasury auction rates have reverse positions.
The paper examines the effects of exchange rate fluctuations on real output, the price level, and... more The paper examines the effects of exchange rate fluctuations on real output, the price level, and the real value of components of aggregate demand in Turkey. The theoretical model decomposes movements in the exchange rate into anticipated and unanticipated components. Unanticipated currency fluctuations help to determine aggregate demand through exports, imports, and the demand for domestic currency, and aggregate supply through the cost of imported intermediate goods and producers' forecasts of relative competitiveness. Anticipated exchange rate appreciation has significant adverse effects, contracting the growth of real output and the demand for investment and exports, while raising price inflation. Unanticipated exchange rate fluctuations have asymmetric effects that highlight the importance of unanticipated depreciation in shrinking output growth and the growth of private consumption and investment, despite an increase in export growth.
Many studies have examined the asymmetric effect of US dollar-denominated crude oil prices on pet... more Many studies have examined the asymmetric effect of US dollar-denominated crude oil prices on petroleumproductprices.The'rocketsandfeathers'argumentsuggeststhatacrudepriceincreaseraises petroleum product prices more than a corresponding decrease in crude prices lowers product prices. However,forthecountriesthatdonotusetheUSdollarasamediumofexchange,petroleumproduct pricesarealsoaffectedbytheexchangerates.ThispaperanalysedtheasymmetriceffectsofbothUS dollar-denominatedcrudeoilpricesandexchangeratesonlocalcurrency-denominateddieselpricesfor 27Europeancountriesintheshortrunaswellaslongrun.Theoverallempiricalevidencesuggeststhat, in the short run, diesel prices react more to crude oil price increases than to a decrease, parallel to the 'rocketsandfeathers'argument.However,contrarytothatargument,thelong-runadjustmentisthe opposite.Asforexchangerateshocks,againthe'rocketsandfeathers'argumentholdsanddieselprices respondmoretoexchangeratedepreciationthanappreciationintheshortandlongrun.
This paper assesses how Japanese economic performance affects the Indonesian economy for the 1988... more This paper assesses how Japanese economic performance affects the Indonesian economy for the 1988 to 2004 period. The empirical evidence provided here suggests that Japanese growth appreciates the local currency in real terms, decreases the inflation and increases growth. As a side issue, we also documented that real exchange rate depreciation accelerates inflation and decreases growth in Indonesia.
Encouraged by the findings of the recent studies it is argued that a kind of centre-periphery rel... more Encouraged by the findings of the recent studies it is argued that a kind of centre-periphery relation has been emerging between the equity markets of the developed and less developed countries. To test the argument the VAR model is employed with block exogeneity. Empirical results show that S&P500 returns, representing the centre, affect the equity markets of the emerging markets either instantaneously or with a time lag depending on their geographical location.
This paper investigates the inflation dynamics in Turkey between 1988 and 2000. Using model-free ... more This paper investigates the inflation dynamics in Turkey between 1988 and 2000. Using model-free techniques, we first observe that there is strong inertia in Turkish inflation. Next, we look at the correlations between Consumer Price Index (CPI) inflation and the leads and lags of the various possible determinants of CPI inflation. The evidence indicates that there are significant positive correlations between the dynamics of housing rents and the CPI, and both the US Dollar and German Mark exchange rates and the CPI. Contrary to expectations, however, data show both a negative relationship between wage and price dynamics and a negative lagged effect of import price inflation on the CPI inflation. The evidence also indicates a negative lagged impact of inflation received by farmers on CPI inflation and a positive lagged response of the CPI to it.
This paper assesses the effects of anticipated and unanticipated United States Federal Funds targ... more This paper assesses the effects of anticipated and unanticipated United States Federal Funds target rate changes on the domestic interest rates of a set of countries for the period from June 1989 to August 2008. The empirical evidence provided here suggests that i. unanticipated changes have a greater effect than anticipated changes; and ii. evidence from developed markets is stronger than that from developing/emerging markets.
Evidence from an Emerging Economy -Turkey * This article examines whether various macroeconomic p... more Evidence from an Emerging Economy -Turkey * This article examines whether various macroeconomic policy shocks have different effects on overall unemployment rate and the unemployment rate by different levels of education in Turkey. These effects are assessed for total, male and female unemployment rates separately. To examine the relationship, a quarterly VAR model with a recursive order is employed to estimate the effects of real GDP, price, exchange rate, interbank interest rate, money supply and unemployment for the period from 1988:01 to 2003:04. Main findings indicate that a positive income shock reduces total unemployment while positive exchange rate and interbank interest rate innovations both increase the unemployment rate during the initial periods. The responses of high school educated unemployment rate to five macroeconomic variable shocks are different than the response of other educational unemployment rates. Furthermore, the overall results across gender are similar.
There is an emerging but important literature on the effects of sport events such as soccer on st... more There is an emerging but important literature on the effects of sport events such as soccer on stock market returns. After a soccer team's win, agents discount future events more favorably and increase risk tolerance. Similarly, after a loss, risk tolerance decreases. This paper directly assesses risk tolerance after a sports event by using daily data from the three major soccer teams in Turkey (Beşiktaş, Fenerbahçe and Galatasaray). Results provide evidence that risk tolerance increases after a win, but similar patterns were not found after a loss.
International Review of Applied Economics, Mar 29, 2007
This study examines the dynamics and determinants of inflation in the Ottoman Empire during the 1... more This study examines the dynamics and determinants of inflation in the Ottoman Empire during the 1586-1913 period. There are two possible reasons for inflation: fiscal expansion and monetary expansion, which could be generated through the debasement of local currency (Akçe). We used a set of political and structural variables in order to explain the change in inflation dynamics. In particular, we considered the war years, periods of Ottoman history that show different characteristics (the slow-down period, the recession period and the break-up period) and the period of constitutional monarchy. Moreover, we tested whether the inflation process was the same for each sultan and whether each sultan's behavior during the first year was different from the rest of his reign. The empirical evidence reported here suggests that war accelerated inflation as expected and fiscal expansion rather than the debasement of the Akçe was the main reason for inflation. Moreover, the slow-down, the recession and the break-up periods affected inflation positively; both fiscal expansion and the debasement of the Akçe were seen in these three periods as sources of inflation. While employing different inflationary policies during his reign, each sultan accelerated inflation in the first year of his reign by the debasement of the Akçe or by fiscal expansion. Last, the constitutional monarchy period had a significant positive effect on inflation although fiscal expansion, rather than the debasement of the Akçe, was the source of inflation during this period.
The duration of Global Financial Cycles (GFCs) have a role in the global financial environment wh... more The duration of Global Financial Cycles (GFCs) have a role in the global financial environment which is shaped by the fluctuations in short-term capital flows, changes in monetary conditions in the center economies and co-movement in asset prices. The duration of GFCs for a set of global financial data -the VIX index, the TED spread and the 3-Month LIBOR-Effective Federal Funds Rate -are analyzed by using a periodogrambased method. Our results suggest that there is a 43-month common cycle for these three series. We obtain eight different cycle periods for 43-month common cycles from our sample period.
This study is an assessment of the different ways in which various shocks affect the industrial s... more This study is an assessment of the different ways in which various shocks affect the industrial sectors of an economy. Specifically, we examine how production in various industrial sectors are affected by interest rates, as well as exchange rates, money aggregates, aggregated industrial production, and overall price level innovations in the Turkish economy. Our analysis reveals that positive money aggregates and interest rate innovations generate their effects with the expected positive and negative signs, respectively, wherever they are statistically significant. However, the nominal exchange rate has significant effects in more cases than money and interest rates have, most of which are negative. Overall industrial production has significantly positive but short-lived effects on individual sectors, while the positive self-responses of the sectors last for an average of five months. An increase in the general price level has significantly positive effects on sectoral industrial production indices in onethird of the examined cases.
This paper uses a EGARCH method to model inflation uncertainty in Turkey. Unlike ARCH and GARCH m... more This paper uses a EGARCH method to model inflation uncertainty in Turkey. Unlike ARCH and GARCH methods, the EGARCH method both hampers the effect of outlying shocks in the estimation of inflation uncertainty and enables the separate treatment of the negative and positive shocks to inflation. As inflation uncertainty itself may follow a seasonal pattern, the series is subjected to monthly seasonal adjustment. The inflation measure we use in this paper is the monthly CPI inflation and covers the period from 1986:1 to 2000:12. The evidence in the paper shows that monthly seasonality has a significant effect on inflation uncertainty. Moreover, once seasonal effects are accounted for, lagged inflation no longer appears to affect inflation uncertainty.
Carolina Digital Repository (University of North Carolina at Chapel Hill), 2004
This paper estimates a forward looking monetary policy reaction function of the Central Bank of t... more This paper estimates a forward looking monetary policy reaction function of the Central Bank of the Republic of Turkey by considering the period from 1990:01 to 2000:10. When the spread between the interbank rate and depreciation rate of the local currency is taken as a policy tool, the empirical evidence suggests that the Turkish Central Bank responds to its foreign exchange reserves, output and M2 growth not the forward, current or lagged inflation.
Energy Sources Part B-economics Planning and Policy, Jul 3, 2021
Measuring the size of the informal diesel market is important for determining tax revenue losses ... more Measuring the size of the informal diesel market is important for determining tax revenue losses and identifying inefficiencies in tax policies. The conventional ways of assessing the informal sector entail either not allowing the measurement of the size of the informal sector across time or assuming a stable relationship between diesel consumption and a set of economic variables. This study assesses the informal sector of the Turkish diesel market by using the Kalman filter method. This method allows unobserved values to be estimated with observed variables. Using monthly interpolated GDP, official diesel consumption, and the number of diesel motor vehicles, Turkey's unobserved informal diesel fuel consumption between January 2005 and February 2020 is estimated. The results obtained with this estimation method reveal that the level of informal diesel consumption increased until 2012-2014; it then started to decline at the end of 2014 and started to increase again after 2018. These dates are associated with periods of economic recession, political developments, and the passing of antismuggling legislation.
This paper evaluates the relationship between a country's openness to trade and the effectiveness... more This paper evaluates the relationship between a country's openness to trade and the effectiveness of monetary policy in changing output growth and inflation in 29 different countries. Using quarterly data from the 1957-2003 period, empirical estimates based on individual country specifications show that the direction, significance and nature of the relationship between openness and the effectiveness of monetary policy on output growth as well as inflation vary considerably across countries.
This paper assesses the response of a set of emerging markets' domestic interest rates to the US ... more This paper assesses the response of a set of emerging markets' domestic interest rates to the US monetary policy surprises within a dynamic framework. Monthly data from Algeria, Bahrain, Israel, Jordan, Kuwait, Tunisia and Turkey for the 1989:03 to 2005:12 period reveal positive effects of the unanticipated Federal Funds target changes on the short-term interest rates of these countries. When we look at the effect of US monetary policy surprises for different Turkish interest rates, the evidence is robust for the 3 and 12-month rates, but government controlled interbank and treasury auction rates have reverse positions.
The paper examines the effects of exchange rate fluctuations on real output, the price level, and... more The paper examines the effects of exchange rate fluctuations on real output, the price level, and the real value of components of aggregate demand in Turkey. The theoretical model decomposes movements in the exchange rate into anticipated and unanticipated components. Unanticipated currency fluctuations help to determine aggregate demand through exports, imports, and the demand for domestic currency, and aggregate supply through the cost of imported intermediate goods and producers' forecasts of relative competitiveness. Anticipated exchange rate appreciation has significant adverse effects, contracting the growth of real output and the demand for investment and exports, while raising price inflation. Unanticipated exchange rate fluctuations have asymmetric effects that highlight the importance of unanticipated depreciation in shrinking output growth and the growth of private consumption and investment, despite an increase in export growth.
Many studies have examined the asymmetric effect of US dollar-denominated crude oil prices on pet... more Many studies have examined the asymmetric effect of US dollar-denominated crude oil prices on petroleumproductprices.The'rocketsandfeathers'argumentsuggeststhatacrudepriceincreaseraises petroleum product prices more than a corresponding decrease in crude prices lowers product prices. However,forthecountriesthatdonotusetheUSdollarasamediumofexchange,petroleumproduct pricesarealsoaffectedbytheexchangerates.ThispaperanalysedtheasymmetriceffectsofbothUS dollar-denominatedcrudeoilpricesandexchangeratesonlocalcurrency-denominateddieselpricesfor 27Europeancountriesintheshortrunaswellaslongrun.Theoverallempiricalevidencesuggeststhat, in the short run, diesel prices react more to crude oil price increases than to a decrease, parallel to the 'rocketsandfeathers'argument.However,contrarytothatargument,thelong-runadjustmentisthe opposite.Asforexchangerateshocks,againthe'rocketsandfeathers'argumentholdsanddieselprices respondmoretoexchangeratedepreciationthanappreciationintheshortandlongrun.
This paper assesses how Japanese economic performance affects the Indonesian economy for the 1988... more This paper assesses how Japanese economic performance affects the Indonesian economy for the 1988 to 2004 period. The empirical evidence provided here suggests that Japanese growth appreciates the local currency in real terms, decreases the inflation and increases growth. As a side issue, we also documented that real exchange rate depreciation accelerates inflation and decreases growth in Indonesia.
Encouraged by the findings of the recent studies it is argued that a kind of centre-periphery rel... more Encouraged by the findings of the recent studies it is argued that a kind of centre-periphery relation has been emerging between the equity markets of the developed and less developed countries. To test the argument the VAR model is employed with block exogeneity. Empirical results show that S&P500 returns, representing the centre, affect the equity markets of the emerging markets either instantaneously or with a time lag depending on their geographical location.
This paper investigates the inflation dynamics in Turkey between 1988 and 2000. Using model-free ... more This paper investigates the inflation dynamics in Turkey between 1988 and 2000. Using model-free techniques, we first observe that there is strong inertia in Turkish inflation. Next, we look at the correlations between Consumer Price Index (CPI) inflation and the leads and lags of the various possible determinants of CPI inflation. The evidence indicates that there are significant positive correlations between the dynamics of housing rents and the CPI, and both the US Dollar and German Mark exchange rates and the CPI. Contrary to expectations, however, data show both a negative relationship between wage and price dynamics and a negative lagged effect of import price inflation on the CPI inflation. The evidence also indicates a negative lagged impact of inflation received by farmers on CPI inflation and a positive lagged response of the CPI to it.
This paper assesses the effects of anticipated and unanticipated United States Federal Funds targ... more This paper assesses the effects of anticipated and unanticipated United States Federal Funds target rate changes on the domestic interest rates of a set of countries for the period from June 1989 to August 2008. The empirical evidence provided here suggests that i. unanticipated changes have a greater effect than anticipated changes; and ii. evidence from developed markets is stronger than that from developing/emerging markets.
Evidence from an Emerging Economy -Turkey * This article examines whether various macroeconomic p... more Evidence from an Emerging Economy -Turkey * This article examines whether various macroeconomic policy shocks have different effects on overall unemployment rate and the unemployment rate by different levels of education in Turkey. These effects are assessed for total, male and female unemployment rates separately. To examine the relationship, a quarterly VAR model with a recursive order is employed to estimate the effects of real GDP, price, exchange rate, interbank interest rate, money supply and unemployment for the period from 1988:01 to 2003:04. Main findings indicate that a positive income shock reduces total unemployment while positive exchange rate and interbank interest rate innovations both increase the unemployment rate during the initial periods. The responses of high school educated unemployment rate to five macroeconomic variable shocks are different than the response of other educational unemployment rates. Furthermore, the overall results across gender are similar.
There is an emerging but important literature on the effects of sport events such as soccer on st... more There is an emerging but important literature on the effects of sport events such as soccer on stock market returns. After a soccer team's win, agents discount future events more favorably and increase risk tolerance. Similarly, after a loss, risk tolerance decreases. This paper directly assesses risk tolerance after a sports event by using daily data from the three major soccer teams in Turkey (Beşiktaş, Fenerbahçe and Galatasaray). Results provide evidence that risk tolerance increases after a win, but similar patterns were not found after a loss.
International Review of Applied Economics, Mar 29, 2007
This study examines the dynamics and determinants of inflation in the Ottoman Empire during the 1... more This study examines the dynamics and determinants of inflation in the Ottoman Empire during the 1586-1913 period. There are two possible reasons for inflation: fiscal expansion and monetary expansion, which could be generated through the debasement of local currency (Akçe). We used a set of political and structural variables in order to explain the change in inflation dynamics. In particular, we considered the war years, periods of Ottoman history that show different characteristics (the slow-down period, the recession period and the break-up period) and the period of constitutional monarchy. Moreover, we tested whether the inflation process was the same for each sultan and whether each sultan's behavior during the first year was different from the rest of his reign. The empirical evidence reported here suggests that war accelerated inflation as expected and fiscal expansion rather than the debasement of the Akçe was the main reason for inflation. Moreover, the slow-down, the recession and the break-up periods affected inflation positively; both fiscal expansion and the debasement of the Akçe were seen in these three periods as sources of inflation. While employing different inflationary policies during his reign, each sultan accelerated inflation in the first year of his reign by the debasement of the Akçe or by fiscal expansion. Last, the constitutional monarchy period had a significant positive effect on inflation although fiscal expansion, rather than the debasement of the Akçe, was the source of inflation during this period.
The duration of Global Financial Cycles (GFCs) have a role in the global financial environment wh... more The duration of Global Financial Cycles (GFCs) have a role in the global financial environment which is shaped by the fluctuations in short-term capital flows, changes in monetary conditions in the center economies and co-movement in asset prices. The duration of GFCs for a set of global financial data -the VIX index, the TED spread and the 3-Month LIBOR-Effective Federal Funds Rate -are analyzed by using a periodogrambased method. Our results suggest that there is a 43-month common cycle for these three series. We obtain eight different cycle periods for 43-month common cycles from our sample period.
This study is an assessment of the different ways in which various shocks affect the industrial s... more This study is an assessment of the different ways in which various shocks affect the industrial sectors of an economy. Specifically, we examine how production in various industrial sectors are affected by interest rates, as well as exchange rates, money aggregates, aggregated industrial production, and overall price level innovations in the Turkish economy. Our analysis reveals that positive money aggregates and interest rate innovations generate their effects with the expected positive and negative signs, respectively, wherever they are statistically significant. However, the nominal exchange rate has significant effects in more cases than money and interest rates have, most of which are negative. Overall industrial production has significantly positive but short-lived effects on individual sectors, while the positive self-responses of the sectors last for an average of five months. An increase in the general price level has significantly positive effects on sectoral industrial production indices in onethird of the examined cases.
This paper uses a EGARCH method to model inflation uncertainty in Turkey. Unlike ARCH and GARCH m... more This paper uses a EGARCH method to model inflation uncertainty in Turkey. Unlike ARCH and GARCH methods, the EGARCH method both hampers the effect of outlying shocks in the estimation of inflation uncertainty and enables the separate treatment of the negative and positive shocks to inflation. As inflation uncertainty itself may follow a seasonal pattern, the series is subjected to monthly seasonal adjustment. The inflation measure we use in this paper is the monthly CPI inflation and covers the period from 1986:1 to 2000:12. The evidence in the paper shows that monthly seasonality has a significant effect on inflation uncertainty. Moreover, once seasonal effects are accounted for, lagged inflation no longer appears to affect inflation uncertainty.
Carolina Digital Repository (University of North Carolina at Chapel Hill), 2004
This paper estimates a forward looking monetary policy reaction function of the Central Bank of t... more This paper estimates a forward looking monetary policy reaction function of the Central Bank of the Republic of Turkey by considering the period from 1990:01 to 2000:10. When the spread between the interbank rate and depreciation rate of the local currency is taken as a policy tool, the empirical evidence suggests that the Turkish Central Bank responds to its foreign exchange reserves, output and M2 growth not the forward, current or lagged inflation.
Energy Sources Part B-economics Planning and Policy, Jul 3, 2021
Measuring the size of the informal diesel market is important for determining tax revenue losses ... more Measuring the size of the informal diesel market is important for determining tax revenue losses and identifying inefficiencies in tax policies. The conventional ways of assessing the informal sector entail either not allowing the measurement of the size of the informal sector across time or assuming a stable relationship between diesel consumption and a set of economic variables. This study assesses the informal sector of the Turkish diesel market by using the Kalman filter method. This method allows unobserved values to be estimated with observed variables. Using monthly interpolated GDP, official diesel consumption, and the number of diesel motor vehicles, Turkey's unobserved informal diesel fuel consumption between January 2005 and February 2020 is estimated. The results obtained with this estimation method reveal that the level of informal diesel consumption increased until 2012-2014; it then started to decline at the end of 2014 and started to increase again after 2018. These dates are associated with periods of economic recession, political developments, and the passing of antismuggling legislation.
This paper evaluates the relationship between a country's openness to trade and the effectiveness... more This paper evaluates the relationship between a country's openness to trade and the effectiveness of monetary policy in changing output growth and inflation in 29 different countries. Using quarterly data from the 1957-2003 period, empirical estimates based on individual country specifications show that the direction, significance and nature of the relationship between openness and the effectiveness of monetary policy on output growth as well as inflation vary considerably across countries.
Uploads
Papers by Hakan Berument