Afsin Sahin

This study examines whether correlation dynamics among the CSI 300, BIST 100, and S&P 500 improve hedging performance under alternative currency denominations and market–clock alignments, including during the geopolitical event window beginning on 28 February 2026. Market-specific GARCH models and CCC, DCC, and asymmetric DCC (aDCC) models with multivariate Student-t innovations are estimated using 1199 daily return observations on common trading days from 12 March 2021 to 17 July 2026, expressed in local currencies and US dollars. Among the dynamic models, symmetric DCC is preferred to aDCC. However, the Engle–Sheppard tests do not reject constant conditional correlation in either the local-currency specification (p = 0.7457) or the USD-denominated specification (p = 0.7519); the DCC news coefficient is also statistically insignificant, and CCC has the lower BIC under both currency denominations. Mean correlations are weakly positive and are highest for the BIST 100–S&P 500 pair. After Holm correction within each currency basis, structural breaks are supported for both CSI-related pairs in local-currency terms, but only for the CSI 300–BIST 100 pair in USD terms; no break is supported for the BIST 100–S&P 500 pair under either currency basis. Over the 85-day out-of-sample period, DCC produces the lowest mean QLIKE loss under both currency denominations. Relative to CCC, the DCC advantage remains significant after Holm correction at the 5% level in USD terms, but not in local-currency terms. Nevertheless, the 90% Model Confidence Set retains DCC, CCC, and the static covariance model under both currency denominations. DCC also provides the highest gross hedging effectiveness in all six pair–currency comparisons, whereas the static benchmark records a higher realized cumulative net hedge P&L in five of the six comparisons under the illustrative base-cost profile; however, this non-risk-adjusted 85-day measure is sensitive to realized sample drift and does not establish general static-strategy superiority. Overall, the evidence indicates limited and denomination-dependent differences in performance and does not establish the unconditional superiority of DCC.

In the context of the Environmental Phillips Curve hypothesis, this study investigates the impact of unemployment on environmental quality in ten emerging economies with the highest carbon emissions, as identified in the International Monetary Fund’s 2015 World Economic Outlook. The primary aim of this study is to estimate the effects of income, natural gas usage, renewable energy usage, unemployment, and population size on carbon dioxide emissions in the selected countries. The study utilizes panel data from 1990 to 2019 and employs an Autoregressive Distributed Lag model (ARDL) to evaluate the short- and long-run relationships between these variables. Findings obtained using the Pooled Mean Group (PMG) estimator indicate that both income and population size have a significant positive impact on air pollution levels, whereas natural gas consumption and the use of renewable energy correlate with a decrease in emissions. The results support a negative correlation between unemployment and environmental degradation, aligning with the EPC. The error correction term suggests that the process returns to equilibrium in about 2.8 years. The findings are validated through robustness tests utilizing the Fully Modified Ordinary Least Squares (FMOLS) and Dynamic Ordinary Least Squares (DOLS) estimators. This study offers important insights for environmental policymaking in these emerging economies, emphasizing the importance of sustainable development strategies and green energy adoption.

The ARDL model requires independent variables that are not correlated, whereas the VAR model does not impose this assumption, as all variables are considered endogenous, making endogeneity less of an issue. The author should consider revising the abs...

Kısa ve uzun vadeli tahvillerin faiz oranları arasındaki farkı yansıtan getiri farkı, Getiri Eğrisi’nin eğimi takip edilerek izlenebilmektedir. Getiri farkı, barındırdığı içsel bilgi yanında iktisadi değişkenlerin gelecekteki seyri ile ilgili piyasalara sinyal verebilmektedir. Bu sinyallerden bir tanesi de gelecekte iktisadi üretimin izleyeceği döngünün yönüdür. Bu çalışmada, Türkiye özelindeki 5 yıl ve 10 yıl vadeli Hazine Tahvili faiz oranları ile 2 yıl vadeli Hazine Tahvili faiz oranları arasındaki getiri farkları hesaplanarak ekonomik büyüme üzerindeki etkileri, Ocak 2006 ile Haziran 2023 dönemini kapsayacak şekilde incelenmektedir. Quantile-on-Quantile Regresyon Yöntemi, Quantile Regresyon Yöntemi ve En Küçük Kareler Yöntemi bulguları, literatürle uyumlu olacak şekilde Getiri Eğrisi’nin eğimi ile ekonomik büyüme arasındaki pozitif ilişkiye işaret etmektedir. Quantile-on-Quantile Regresyon Yöntemi ile elde edilen bulgular, dağılımın asimetrik etkilerini diğer yöntemlere göre daha belirgin olarak ortaya koyabilmektedir. Politika yapıcıların Getiri Eğrisi’nin eğimini yakından takip etmeleri ve bunun yanında uzun vadeli faizlerin kısa vadeli faizleri aşan kısmının iktisadi büyümeyi etkileme derecesini bağımlı ve bağımsız değişkenlerin dağılımını gözeterek değerlendirmeleri önem taşımaktadır.

In economics, some transactions are conducted by the bid rate, and some are conducted by the ask rate. The spread between these two rates creates an essential cost and inefficiency for the economy. Taking these problems into account, the purpose of this study was to analyze the effects of macroeconomic and financial variables on the USD/TL exchange rate bid–ask spread for Türkiye using daily data spanning the period between 2 January 1990 and 2 August 2022. The quantile autoregressive distributed lag (QARDL) model was drawn upon to capture possible asymmetry in parameters and distinguish the results between different locations. The results obtained in this study may differ from the linear model and may change by the location, implying that the spread is reduced by the volume while it is increased by volatility and interest rates in the long run for some quantiles. Stock prices stir it in the long run, yet they decline it in the short run, indicating an asymmetry. Following the examples from the literature that analyzed the relationship via linear models, this paper employed a QARDL model for exploring location and sign asymmetry in the results for some quantiles. As the results indicate, efficiency in the bid–ask exchange rate spread can be controlled; therefore, it is our suggestion for policymakers to consider the extreme levels and asymmetry of the bid–ask exchange rate spread while evaluating its penetrating macro-financial variates.

Teknolojik ilerlemenin ve yeniliğin işsizliğe yol açacağı beklentisi Klasik İktisadi Okula kadar uzanmaktadır. Bununla birlikte Klasik İktisat Okulu temsilcileri teknolojik işsizliğin uzun süreli olamayacağını ve telafi edici mekanizmalar yoluyla iş kaybının dengeleneceğini de vurgulamışlardır. Çalışmada teknolojik ilerlemenin istihdam üzerine etkileri Türkiye ekonomisi için 1990-2018 yılları için analiz edilmekte ve bu gelişmelerin işgücü tasarruf ederek işsizliği mi artıracağı yoksa telafi mekanizmasının devreye girerek işsizliği azaltacağı mı Quantile Regresyon yöntemleriyle tespit edilmeye çalışılmıştır. İşsizlik oranı bağımlı değişken olarak alınmış, AR-GE harcamaları ve ekonomik büyüme bağımlı değişken olarak alınmıştır. İşsizlik ve AR-GE harcamaları arasında negatif yönlü bir gelişme bulunmuştur. AR-GE harcamalarındaki %1’lik bir artışın, işsizliği %5,73 oranında azalttığı görülmüştür. Buna karşın, ekonomik büyüme ile işsizlik arasında anlamlı ilişki bulunmamıştır ve istihdam yaratmayan büyümeye işaret edebilir. Bu duruma neden olanın ekonomik büyümeyle birlikte işgücü tasarruf eden üretim yöntemlerinin kullanılması olduğu düşünülmektedir. Dolayısıyla Türkiye ekonomisinde, AR-GE harcamaları beklenildiği gibi işsizliği azaltırken, ekonomik büyümenin işsizlik üzerinde herhangi bir etkisinin olmadığı görülmektedir.

This paper analyzes the effects of the real policy interest rate on the banking sector lending rate, the deposit rate, real stock prices, and the real exchange rate using the Engle Granger cointegration method (EG), the vector error-correction model (VECM), and the nonlinear vector error-correction model (NVECM) with monthly Turkish data over the period January 2002–April 2018. (1) EG results indicate bivariate cointegration relationships between the real interest rate, lending rates, and the deposit rate. The real interest rate increases all lending rates, mainly the housing rate. However, the long-run coefficient for the real exchange rate is not statistically significant. The pass-through is higher for the deposit rate than for lending rates. Moreoever, real stock prices shrink substantially where the finance sector has been affected the most. (2) VECM results indicate a cointegration relationship between all the variables except for the real exchange rate, which has a statistically non-significant pass-through coefficient. The real interest rate has a noteworthy long-run positive effect on the housing loans lending rate compared to others. The affirmative effect on real stock prices is the highest for the technology sector. The short-run effect of the real interest rate on lending rates, real stock prices and the real exchange rate are statistically non-significant except for the overall stock price index, and the vehicle loans lending rate which has a higher coefficient than the deposit rate. (3) NVECM results allow testing of eleven hypotheses and highlight the symmetric relationship and the valid pass-through effect, and reject the strong exogeneity assumption for all variables.

In this paper, we assess the effects of Central Bank Funding (C.B.F.) on commercial bank lending behaviour by using weekly Turkish data from 7 January 2011 to 5 June 2015. To be specific, using the Nonlinear Autoregressive Distributed Lag Error Correction Model, we assess the effects of C.B.F. provided daily by the Central Bank of the Republic of Turkey through Open Market Operations to financial markets. Our empirical evidence reveals that for all types of lending, an increase in C.B.F. (which has a higher cost for commercial banks relative to alternatives) forces commercial banks to borrow from higher-cost channels, i.e., we find that increasing C.B.F. discourages commercial bank lending. We also find that decreases in C.B.F. that proxy what commercial banks can borrow more cheaply from alternative sources increase commercial bank lending. However, increasing C.B.F. is more effective than decreasing C.B.F. for Total Bank Loans, Total Credit Cards and Automobile Loans, and decreasing C.B.F. is more effective in the short run for Consumption Loans, Housing Loans and Commercial Loans: short-run asymmetry. Therefore, we can report only limited support for long-run asymmetry, and consequently, claim that there is magnitude (an increase versus decrease in C.B.F.) and category asymmetry (across different lending categories).