Mübariz Hasanov

In this study, we test the empirical validity of the real interest rate parity hypothesis for 15 Latin American countries over the period 2005–2023. To this end, we employ a battery of panel unit root tests to examine stochastic properties of the real interest rate differentials (RIDs) of the countries under consideration. The panel unit root tests that allow for both the cross‐sectional dependence and the nonlinearities in the adjustment process do not reject the null of unit root for the most of these countries, suggesting that the real interest rate parity hypothesis does not hold for these countries. On the other hand, the panel unit root test that allows for smooth structural changes produces results consistent with the real interest rate parity hypothesis for 12 out of 15 Latin American countries. These findings imply that various shocks, including political, economic, and financial upheavals, can cause significant structural shifts in the RIDs of Latin American countries.

There are different approaches regarding the effect of credits on deposits and money supply. In particular, the view that banks do not need deposits to create credit has become increasingly popular. In this paper we empirically investigate the relationship among money supply, credits and deposits based on the Turkish experience. Specifically, using quarterly observations on M1, M2, M3, deposits in Turkish Lira (TL-Lira) and Foreign Currency (FX) deposits as well as credits spanning the December 2005 - September 2021 period we find that credits have significant effects on money stock and deposits. However, our results also suggest that credits are not the most important determinant of money supply or deposits. While our results suggest that credits may generate money and deposits endogenously, this finding does not imply that money is purely an endogenous variable.

Research background: Studying the dynamic characteristics of unemployment rate is crucial for both economic theory and macroeconomic policies. Despite numerous research, the empirical evidence about stochastic behaviour of the unemployment rate remains disputable. It has been widely agreed that most economic variables, including unemployment rates, are characterized by both structural breaks and nonlinearities. However, a little work is done to examine both features simultaneously. Purpose of the article: In this paper, we analyse the stationarity properties of unemployment rates of Euro area member countries. Also, we aim to test stochastic convergence of unemployment rates among member countries. Our empirical procedures explicitly allow for simultaneous gradual breaks and nonlinearities in the series. Methods: This paper develops a new unit root test procedure for panel data, allowing for both gradual structural breaks and asymmetric adjustment towards equilibrium. We carry out Monte Carlo simulations to examine small sample performance of the proposed test procedure and compare it to the existing test procedures. We apply the newly proposed test to examine the stochastic properties of the unemployment rates of Euro-member countries as well as relative unemployment rates vis-?-vis the Eurozone unemployment rate. Findings & value added: We find that the newly developed test procedure outperforms existing tests in highly nonlinear settings. Also, these tests reject the null hypothesis of unit root in more cases when compared to the existing tests. We find stationarity in the series only after allowing for structural breaks in the data generating process. Allowing for nonlinear and asymmetric adjustment in addition to gradual breaks provides evidence of stationarity in more cases. Furthermore, our results suggest that relative unemployment rate series are stationary, providing evidence in favour of stochastic convergence in unemployment rates. Overall, our results imply a limited room for coordinated economic policy to fight unemployment in the Eurozone.

We test the empirical validity of the PPP proposition under temporary structural breaks and dynamic nonlinear adjustments. Although several testing procedures have recently been proposed in the existing literature to investigate stochastic properties of the series under gradual breaks and nonlinear adjustments, none of these tests are compatible with the PPP proposition. Therefore, we propose new testing procedures that restrict the break to be temporary while simultaneously allowing for asymmetric dynamic nonlinear adjustment towards equilibrium. Using these newly proposed tests, we test stationarity of real exchange rate of 24 OECD countries vis-à-vis USA, and find support in favour of PPP proposition in majority of the countries.

In this paper, we analyze the dynamic interactions among energy use, output, capital stock and employment for the USA. Our results suggest that these interactions are time-varying and show asymmetries in terms of the one variable’s responses of big versus small and positive versus negative shocks to another variable. In particular, we find that negative energy shocks have greater impact on macroeconomic variables than positive shocks. Furthermore, small energy shocks have greater effects than big shocks. Our results also suggest that the shocks to production factors reduce energy use, implying that energy and the other factors of production are substitutes rather than compliments. These results have clear policy implications. Namely, aggressive energy saving policies might be more politically viable. In addition, the policies promoting more efficient and energy-saving capital and production technologies could help reducing energy use.

In this paper, we examine economic benefits and viability of the Southern Gas Corridor (SGC) for supplying natural gas to Europe from the Caspian Basin. In particular, we examine what will be the effects of natural gas supplies from the Caspian Basin on import prices and social welfare of the EU countries and Turkey. We also analyze profits of exporters and oil companies engaged in production and transportation of natural gas to Europe. We find that the SGC will reduce import prices and increase social welfare in the EU and Turkey. Our results also suggest that the SGC will generate noteworthy profits for exporters and oil companies engaged in the project and thus bring significant economic gains to all parties.