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    Altın piyasasında asimetrik oynaklık: Türkiye için model önerisi
    (İSADER, 2017) Kurt Cihangir, Çiğdem; Uğurlu, Erginbay
    Altın geleneksel olarak servet saklama aracı olarak algılanmış ve ayrıca parasal bir varlık ve özellikle finansal piyasalarda güvenli bir liman olarak görülmüştür. Günümüzde altının parasal varlık ve güvenli liman algısı ağır basmaktadır. Bu bağlamda altın fiyatlarının incelenmesi finans yazını açısından önem taşımaktadır. Bu çalışmada Türkiye'de altın fiyatlarındaki oynaklık 01.01.2010 - 28.10.2016 dönemi için İstanbul Altın Piyasası (ABD Doları/Ons) günlük verileri kullanılarak incelenmiştir. Çalışmada asimetrik etkilerin saptanması amaçlanmış ve asimetrik oynaklık modellerinden APARCH, TARCH ve EGARCH modelleri ve GARCH modeli kullanılmıştır. Model karşılaştırma ölçütlerine göre, APARCH modeli, altın fiyatlarının getiri serisindeki oynaklığı açıklayan en uygun model olarak seçilmiştir. APARCH modeli sonucunda İstanbul Altın Piyasası için kaldıraç etkisinin çalıştığı ve negatif olduğu saptanmıştır. Bu sonuca göre, Türkiye'de altın fiyatlarındaki oynaklığın, olumlu şoklardan olumsuz şoklardan daha fazla etkilendiği belirlenmiştir
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    Income inequality and inflation in the EU
    (2012) Thalassinos, El; Uğurlu, Erginbay; Muratoğlu, Yusuf
    The main aim of this research is to analyze the relationship between income inequality and inflation in 13 European countries for the period 2000 to 2009 using panel data methodology. The GINI coefficient has been used to measure the income inequality while the inflation rate, the growth rate, the employment level and the openness of the economies have been used as independent variables. The results support the hypothesis that inflation has a positive significant effect on income inequality.
  • Küçük Resim
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    Kamu açıkları, parasal büyüme ve enflasyon ilişkisi: Türkiye örneği (1983-2008)
    (Okan Üniversitesi, 2013) Sağlam, Metin; Uğurlu, Erginbay
    Bu makale, Türkiye’de kamu bütçe açığı, para arzı ve enflasyon arasındaki uzun dönemli ilişkiyi Sınır Testi (Pesaran vd. 2001) yaklaşımı kullanarak 1983-2008 dönemi için yıllık verilerle incelemektedir. Çalışmada bu değişkenler arasında uzun dönemli ilişki olmadığı saptanmıştır. Buna ek olarak kısa dönemli ilişkinin araştırılması amacıyla VAR modeli kurulmuştur. Sonuçlar, enflasyonun ve KKBG’nin varyansındaki ana kaynağın “kendi şokları”, para arzının varyansındaki onemli bir kaynağın enflasyon olduğunu göstermektedir. KKBG’ deki bir şok para arzını azaltıcı, enflasyonu ise artıcı etki yapmaktadır.
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    Modelling volatility: Evidence from the bucharest stock exchange
    (ASERS Publishing House, 2014) Uğurlu, Erginbay
    Financial series tend to be characterized by volatility and this characteristic affects both financial series of developed markets and emerging markets. Because of the emerging markets have provided major investment opportunities in last decades their volatility has been widely investigated in the literature. The most popular volatility models are the Autoregressive Conditional Heteroscedastic (ARCH) or Generalized Autoregressive Conditional Heteroscedastic (GARCH) models. This paper aims to investigate the volatility of Bucharest Stock Exchange, BET index as an emerging capital market and compare forecasting power for volatility of this index during 2000-2014. To do this, this paper use GARCH, TARCH, EGARCH and PARCH models against Generalized Error distribution. We estimate these models then we compare the forecasting power of these GARCH type models in sample period. The results show that the EGARCH is the best model by means of forecasting performance. © 2014 ASERS Publishing House. All rights reserved.
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    Nowcasting credit demand in Turkey with google trends data
    (ASERS Publishing House, 2015) Zeybek, Ömer; Uğurlu, Erginbay
    Age of Big Data and internet has brought variety of opportunities for social researchers on identifying on-going social trends instantly. As internet user base grew exponentially, major internet content search companies have begun to offer data mining products which could extract attitude of on-going trends and identify new trends on web as well. Since 2009, as a pioneer on these web analytics solutions Google has launched Google Trends service, which enables to researchers to examine change of trend on specific keywords. We use weekly Google Trends Index of “General Purpose Loan” (GT) and total out-standing volume of Turkish banking system from the data period of first week of March 2011 to second week of September 2014. In this paper we test whether the Google Analytics search index series can be used as a consistent forecaster of national general purpose loan (GPL) demand in Turkey. We show how to use search engine data to forecast Turkish GPL demand. The results show that Google search query data is successful at nowcasting GPL demand. © 2015 ASERS Publishing House. All rights reserved.
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    Oil price fluctuations and trade balance of Turkey
    (ASERS Publishing House, 2014) Açıkalın, Süleyman; Uğurlu, Erginbay
    The relationship between oil price fluctuations and the trade balance of Turkey is the main concern of this paper. Economic growth performance of Turkey depends on imported capital goods as well as imported oil. Oil price increases bring a heavy burden for Turkish economy. Therefore, it is important to analyze the effects of oil price increases on external balances of Turkey. We specifically aim to examine the effects of price fluctuations of imported oil on Turkey’s trade balance using a structural vector autoregression (VAR) model. The variables used in this model are imported crude oil price, imports of crude oil, industrial production index, and trade balance to GDP ratio. Monthly data set for the period of September 2009 - June 2014 is used. The results show that the oil price shock creates a negative impact on trade balance and this effect continues while declining in magnitude for more than 10 months. Most of the variation in forecast error of trade balance ratio is explained by the shock on itself and only a limited variation, around 4%, is explained by oil price shock for a 10 months period. © 2014 ASERS Publishing House. All rights reserved.
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    The asymmetric effect of renewable and non-renewable energy on carbon emissions in OECD: new evidence from non-linear panel ARDL model
    (FRONTIERS MEDIA SA, 2023) Şanlı, Devran; Muratoğlu, Yusuf; Songur, Mehmet; Uğurlu, Erginbay
    The level of economic income, population density and sources of energy supply is critical in assessing environmental quality. Recent empirical studies paid limited attention to the role of renewable (RE) and fossil energy (NRE) supply in carbon pollution regarding the Environmental Kuznets Hypothesis (EKC). Therefore, this study investigates the asymmetric relationships between carbon emissions and energy sources on the one hand and the environmental Kuznets hypothesis on the other hand for OECD countries, comprising countries with significant renewable energy supplies. The study includes the annual data from 1990 to 2021 and performs panel non-linear ARDL regression. The empirical results clearly show that RE and NRE have asymmetric effects on emissions in the long run but not in the short run. Both positive and negative shocks in RE reduce CO2 emissions in OECD economies, while asymmetric shocks in NRE substantially increase them. Increasing RE supply is clearly effective in reducing emissions. However, unlike most previous studies, this study shows that RE does not significantly reduce CO2 emissions in OECD countries. The error correction term (ect.) in the NARDL model is negative and significant. The magnitude of the term indicates that the system will return to long-term equilibrium about 4.2 years after any shock. Furthermore, we show that the EKC Hypothesis is supported in OECD countries. The turning point of the EKC is at $4085.77 per capita. Besides, regression with Driscoll-Kraay standard errors and Augmented Mean Group (AMG) estimator approach were used for robustness checks. The findings from the robustness check are consistent with the NARDL findings. Policies based on the promotion of a lowcarbon and sustainable green environment should place greater emphasis on renewable resources even in OECD countries. Moreover, while many studies in the literature address asymmetric effects and EKC as energy consumption or utilisation, the novelty of this study is that it approaches the issue regarding energy supply with asymmetric effects for RE and NRE.
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    Trade flows between Russia and other Black Sea Economic Cooperation Countries: a gravity model analysis
    (Gümüşhane Üniversitesi, 2017) Muratoğlu, Gönül; Uğurlu, Erginbay; Muratoğlu, Yusuf
    This paper applies the Gravity Model of international trade to the import and export flows between Russia and Black Sea Economic Cooperation (BSEC) countries. Since trade flows are not only related with the macro-economic variables, the basic Gravity Model is augmented using colonial link and population variables. The period analyzed in this paper is 1997-2015. Several model selection tests are used then it is concluded that the Feasible Generalized Least Squares (FGLS) and Panel-Corrected Standard Errors(PCSE) models are suitable. The results of the analyses show that GDP of trading partners, GDP of Russia, colonial link, population of the trading partner countries and geographical distance have a statistically significant impact on Russia’s both imports and exports