Ilyas Siklar | Anadolu University (original) (raw)

BER: Vol. 5, No. 1, June 2015, Published by Ilyas Siklar

The study investigates the dynamic relationship between stock prices and four macroeconomic varia... more The study investigates the dynamic relationship between stock prices and four macroeconomic variables in Kenya using cointegration and vector autoregressive framework. The VAR and VECM analysis reveals that macroeconomic variables drive equity market in the long run. The variables in the VAR model are co integrated with 3.8% disequilibrium being corrected quarterly. Notably, inflation has a negative effect on equity market suggesting that policy authorities in Kenya should design polices that mitigate inflation for stock market to develop. The results confirm that stock market is not an avenue for perfect hedge against inflation.

Papers by Ilyas Siklar

Journal of Business, Economics and Finance, Mar 31, 2015

In this paper, we investigate competition in Turkish banking sector over the period 2003-2012. In... more In this paper, we investigate competition in Turkish banking sector over the period 2003-2012. In order to understand the competitive condition in Turkish banking sector, we use the well-known Panzar-Rosse model based on a nonstructural estimation of the H-statistic by employing the quarterly panel data set. The emprical evidences indicate that the Turkish banking sector operates under conditions of monopolistic competition. Therefore, although there have been growing structural changes in the Turkish banking sector since 2000s, there is no remarkable change in the market structure of the Turkish banking sector as compared to previous studies and it can still be characterized by the monopolistic competition.

This study aims to identify exogenous shocks in monetary policy and to investigate the impact of ... more This study aims to identify exogenous shocks in monetary policy and to investigate the impact of these shocks on the exchange rate in the Turkish economy using a VAR model including structural restrictions, referred to as structural VAR (SVAR) model. The empirical model used in the study was developed based on the monetary approach to exchange rate determination and was estimated using monthly data for the period between January 2003 and October 2019. Contrary to past studies conducted for Turkey, this study uses European Union data instead of U.S. data to represent foreign variables. The impulse response functions and variance decompositions obtained as a result of the SVAR model confirm the existence of a strong and almost instant overshooting effect on the Turkish economy for the period in question.

Anadolu Üniversitesi sosyal bilimler dergisi, Nov 15, 2016

Dinamik stokastik genel denge(DSGD) modelleri son yıllarda para politikası analizlerinde yaygın b... more Dinamik stokastik genel denge(DSGD) modelleri son yıllarda para politikası analizlerinde yaygın bir şekilde kullanılmaktadır. Bu çalışmada da dışa açık küçük ekonomi DSGD modeli Türkiye için tahmin edilmektedir. Model nominal ve reel katılıklar, eksik rekabet ve tüketicinin fayda fonksiyonunda alışkanlık oluşturma özelliklerine sahiptir. Daha sonra Yeni Keynesyen makroekonomik çerçeve kapsamında optimum para politikası ele alınmaktadır. Model 2002:Ç1-2012:Ç4 dönemi için Bayesci yöntem kullanılarak tahmin edilmektedir. Bu yöntemde önsel ve olabilirlik fonksiyonu yapısal parametrelerin sonsal dağılımlarını elde etmek için birlikte kullanılmaktadır. Sonuçlar parasal otoritenin enflasyona güçlü bir şekilde tepki verirken çıktı açığına zayıf tepki verdiğini göstermektedir.

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Dec 1, 1998

International journal of economics and financial research, Nov 1, 2019

This article seeks to examine the impact of the Bangladesh"s stock market development on its econ... more This article seeks to examine the impact of the Bangladesh"s stock market development on its economic growth from the period of 1989-2012. We have used Johansen Cointegration test to estimate the long-run equilibrium relationship between the variables and the Granger causality test was conducted in order to establish causal relationship, while the model was estimated using the error correction model (ECM). Johansen co-integration test results show that the Bangladesh"s stock market development and economic growth are co-integrated. This indicates that a long run relationship exists between stock market development and economic growth in Bangladesh. The causality test results suggest a unidirectional causality from stock market development to the economic growth. On the other hand, there is no "reverse causation" from economic growth to stock market development. The evidence from this study reveals that the activities in the stock market tend to impact positively on the economy. It is recommended therefore that stock market regulatory authority should therefore address policy issues that are capable of boosting the investors" confidence through improved policy formulation and creation of awareness.

Business and Economic Research, Aug 11, 2017

Currency substitution is an important phenomenon that has emerged with the liberalization of econ... more Currency substitution is an important phenomenon that has emerged with the liberalization of economies. In the Turkish economy, the studies about the currency substitution have gained momentum as a result of the extreme depreciation of the domestic currency in early 2000s. Switching to the flexible exchange rate system practice after the 2000-2001 crisis and putting into implement the inflation targeting strategy since 2005 have significantly reduced the currency substitution rate. Since 2014, the depreciation of domestic currency has made the currency substitution phenomenon a current issue again. This study analyses the main determinants of currency substitution phenomenon by considering the demand for money in the context of Turkey. Developed empirical model is estimated by using ARDL methodology for 2003-2016 periods by using monthly data obtained from Turkish economy. Estimation

International journal of economics and financial research, Sep 18, 2022

This study analyzes the effects of foreign direct investments (FDI) on the macroeconomic dynamics... more This study analyzes the effects of foreign direct investments (FDI) on the macroeconomic dynamics of the Turkish economy through the Structural Vector Autoregressive (SVAR) model. The results obtained, by the economic theory, reveal the positive effects of FDI on economic growth and domestic investment volume. The results also confirm the assumption of economic theory that domestic and foreign investments are complementary. It is understood that the FDI put some pressure on prices to increase, but it is balanced by the decisions of the monetary authority. While FDI does not play a critical role in reducing unemployment, it significantly contributes to the increase in imports, especially in capital goods.

Advances and applications in statistics, Jun 29, 2022

The aim of the research is to form the center of a country based on Google Trends data and higher... more The aim of the research is to form the center of a country based on Google Trends data and higher-order spatial classification during COVID-19. The keyword used "gold price" which is translated into the national language that is most widely used by each country. This study uses a radius system to classify the spatial arrangement of each country. The spatial order classifications that have been formed from the G20 countries consist of 1 to 15. The result is that there are 4 simulations that produce the highest spatial arrangement 13, 6 simulations that produce the highest spatial arrangement 14, and 15 highest spatial arrangements that can be formed from 9 simulations. Google Trends data can be an alternative to determine the center of a country other than a capital city and form a spatial high order based on trends during COVID-19.

Business and Economic Research, Mar 3, 2021

Interest rate functions as the cornerstone for the heavy majority of the financial models. The hi... more Interest rate functions as the cornerstone for the heavy majority of the financial models. The high volatility in interest rates in the financial crisis of 2008/09 and resulting increased uncertainty led many researchers to focus on modeling the dynamics of changes in short term interest rates. This study aims to analyze the volatility of short-term interest rate in Turkey in terms of overnight repo rate and to forecast this rate for the next six months by modelling this volatility. For this purpose, the ARCH family models like ARCH, GARCH and EGARCH were preferred to use since they are the most common methods in the literature. Using the weekly frequency data for the period of January 2002-January 2021, the model that best describes the stochastic volatility in the data was found to be the GARCH (1.1) model. As a result of the fact that the in-sample estimates were found sufficient, the interest rate estimates for the next 6 months were realized.

International Journal of Economics and Management Studies, Nov 25, 2019

International journal of economics, business and management research, 2022

It is known that periods of high uncertainty in a country have significant effects on economic ac... more It is known that periods of high uncertainty in a country have significant effects on economic activities. Therefore, monetary policymakers should consider the degree of uncertainty in the decision-making process. In Turkey, changing the form of government from the parliamentary system to a presidential system in 2018, combined with the global Covid pandemic that started in 2020, caused an extraordinary increase in uncertainty and became one of the main sources of economic problems in the country. This study quantifies the effects of uncertainty on the Turkish economy through an SVAR model estimated with Bayesian techniques. The results show that high uncertainty has a negative and significant effect on economic activities, mainly with the decrease in consumption and investment expenditures. The Central Bank of the Republic of Turkey reacts to these developments with an expansionary monetary policy that injects liquidity into the economy. However, it should not be overlooked that such a policy has limitations due to its long-term negative effects.

Social mentality and researcher thinkers journal, 2019

Business and Economic Research, Dec 22, 2021

This study aims to examine the monetary policy transmission through the credit channel from a mic... more This study aims to examine the monetary policy transmission through the credit channel from a microeconomic perspective by using the fixed effect dynamic panel model. It is estimated to what extent policy interest rate changes are transferred to the short-term interest rate depending on the type of loan. Results confirm that there is a high degree of inertia in both the commercial and consumer loan interest rates. In terms of the transmission of monetary policy, changes in policy interest rates are transferred to commercial loan interest rates by 11% and consumer loan interest rates by 15% in the short term. These values reveal that policy interest rate changes are gradually transmitted to market interest rates. Variables representing bank size, leverage, and market power in terms of distinctive characteristics have a limited impact on both commercial and consumer loan interest rates in the analyzing period. However, the market share of a bank has a significant impact on both commercial and consumer loan rates.

Business and Economic Research, May 31, 2021

This study uses the Butterworth filter to decompose cyclical signals at low and high frequencies ... more This study uses the Butterworth filter to decompose cyclical signals at low and high frequencies in the production data of the manufacturing industry and its sub-sectors. At low frequencies, the production trend exhibits considerable differences among industrial activities while most of the sub-sectors are more sensitive to common cycle than their own dynamics at high frequencies. Moreover, it is predicted that changes in the manufacture of basic metals sub-sector production can be used as a leading indicator for the expansion and contraction periods of the common cycle estimated for the manufacturing industry.

Business and Economic Research, Nov 30, 2015

Many emerging markets have adopted floating exchange rate regimes after currency crises. Turkey h... more Many emerging markets have adopted floating exchange rate regimes after currency crises. Turkey has experienced a floating regime since 2002 combined with inflation targeting. The aim of this paper is to investigate the "fear of floating" phenomenon, named by Calvo and Reinhart (2002), in the transition to a low and stable inflation environment in Turkey before and after inflation targeting. The results demonstrate that the levels of exchange rate pass-through decreased substantially, thus weakening the "fear of floating" phenomenon in Turkey after inflation targeting. Therefore, we argue whether any reactions of the central bank to foreign exchange rates imply the "fear of floating" or the "fear of inflation"

European Financial and Accounting Journal, Jul 30, 2018

This study investigates the relationship between foreign direct investment (FDI) and macroeconomi... more This study investigates the relationship between foreign direct investment (FDI) and macroeconomic stability for Turkey. To represent the macroeconomic stability, two main variables are examined. The first of these is inflation rate that represents the economic stability in real sector and the second one is real exchange rate representing the stability in the financial sector. In addition to these variables, the market size, openness to trade and financial development variables are also used as control-transmission variables. Used data are monthly and cover the period from January 2003 to April 2015. Empirical methods used in the study are unit root tests, cointegration analyses, vector error correction model (VECM) and Granger causality test. Obtained empirical results show that fluctuations in inflation and the real exchange rate have a negative and permanent effect on FDI, meaning that instabilities that occurred in real and financial markets negatively affected the inward FDI. Therefore Turkey, which has enough potential to attract FDI, has to provide stability in its macroeconomic indicators to attract a higher volume of FDI.

Ekonomický časopis (Journal of Economics), 2007

DergiPark (Istanbul University), Dec 31, 1992

Gelişmekte olan ülkeler bağlarmnda rasyonel bekleyişler modeline iliş kin testler yüksek enflasyo... more Gelişmekte olan ülkeler bağlarmnda rasyonel bekleyişler modeline iliş kin testler yüksek enflasyon geçmişine sahip Arjantin, Brezilya ve Şili gibi Latin Amerika ülkeleri ilc sınırlı kalmıştır. Öte yandan bu konudaki çalışmalar tck tek ülkelere ait olmaktan çok genellikle eress-seetion çalışmalar şeklindedir, Örneğin bkz.

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Dec 1, 1999