Ata Ozkaya | Galatasaray University (original) (raw)

Papers by Ata Ozkaya

Emerging Markets Finance and Trade, Jul 1, 2014

The recent studies in public finance literature open an exciting research area on hidden overhang... more The recent studies in public finance literature open an exciting research area on hidden overhang of domestic public debt and creative accounting. In this study, I identify hidden public debts in Turkey. I then develop a dynamical model that takes as given the stock of contingent liabilities generated by lending/borrowing relationships among public entities and looks for the debt (in)tolerance of government to liquidate it in finite periods. Last, I introduce a general empirical methodology to analyze the role of overborrowing in the this-time-is-different syndrome and test model outcome against data for hidden debts in Turkey's postliberalization period (1989-2010).

Ege Akademik Bakis (Ege Academic Review), 2013

Economics E-Journal

Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.

Central Bank Review, 2013

Among the different criteria used for testing sustainability of public debt, the econometric app... more Among the different criteria used for testing sustainability of public debt, the
econometric approach determines whether a government is able to sustain its budget
deficits without defaulting on its debt. In this contribution, by linking three different
motives proposed respectively by Trehan and Walsh (1991), Hakkio and Rush (1991)
and Bohn (1995), we develop a compact step-wise test algorithm and apply that to the
European economies, including the PIIGS countries and Turkey. Secondly, we
introduce phase-space reconstruction methodology in order to locate the path for debt
dynamics, which enables us to observe fiscal policy implications in short and mediumterm.
We conclude that most economies are characterized by sustainable debt policies
with the exception of Greece, Ireland, Portugal, Spain, and possibly United Kingdom.
For the latter country, while the outcome of test algorithm indicates the sustainability
of debt policy, phase-space examination shows that the reaction of the government to
diverging debt stock GDP ratio cannot be sufficient to stabilize the path for debt
dynamics

The European Debt Crisis: causes, consequences, measures and remedies, Cambridge Scholars Publishing, 2014

Book Chapter. Chapter II, pp.59-90,

International Journal of Sustainable Economy, 2014

In this paper, we develop a comprehensive framework to obtain a ‘broad definition’ of overall pub... more In this paper, we develop a comprehensive framework to obtain a ‘broad definition’ of overall public debt stock accumulation in Turkey. To do this first, we identify ‘invisible balance’ of public sector incurred from politically backed (informal) off-budget debt-creating transactions among public entities. Then, we compute the stock of hidden liabilities accumulated in the form of persistent deficits of invisible balance from 1989 to 2010. We showed that the overhang of public debt was in play in 2000–2001 crisis episodes. Finally, we analyse both hidden debts and overall debt stock on phase-space and show that debt dynamics follow a chaotic path, generating instability on fiscal structure and increasing vulnerability of the economy to the financial crisis through liquidity squeeze arose in state financial enterprises.

Digital Signal Processing, 2015

This study introduces a research path to obtain alternative trading rules by using nonlinear dyn... more This study introduces a research path to obtain alternative trading rules by using nonlinear dynamical analysis of stock returns. We examine the daily return data of Istanbul Stock Exchange index and Shenzhen Index B-Shares. Both stock returns series are shown to exhibit chaotic behavior and associated maximal Lyapunov exponents (LE) are computed. A new prediction method which bases on the properties of detected chaotic behavior is proposed to perform one-week out-of-sample prediction of the stock returns. Finally we develop a nonlinear model of active trading, in which traders rely only on their heterogeneous forecasts of future periods' maximum and minimum returns. The model motivates active trading under chaotic behavior.

Journal of Computational Neuroscience, 2010

We address the issue of analyzing electroencephalogram (EEG) from seizure patients in order to te... more We address the issue of analyzing electroencephalogram (EEG) from seizure patients in order to test, model and determine the statistical properties that distinguish between EEG states (interictal, pre-ictal, ictal) by introducing a new class of time series analysis methods. In the present study: firstly, we employ statistical methods to determine the non-stationary behavior of focal interictal epileptiform series within very short time intervals; secondly, for such intervals that are deemed non-stationary we suggest the concept of Autoregressive Integrated Moving Average (ARIMA) process modelling, well known in time series analysis. We finally address the queries of causal relationships between epileptic states and between brain areas during epileptiform activity. We estimate the interaction between different EEG series (channels) in short time intervals by performing Granger-causality analysis and also estimate such interaction in long time intervals by employing Cointegration analysis, both analysis methods are wellknown in econometrics. Here we find: first, that the causal relationship between neuronal assemblies can be identified according to the duration and the direction of their possible mutual influences; second, that although the estimated bidirectional causality in short time intervals yields that the neuronal ensembles positively affect each other, in long time intervals neither of them is affected (increasing amplitudes) from this relationship. Moreover, Cointegration analysis of the EEG series enables us to identify whether there is a causal link from the interictal state to ictal state.

IEEE Transactions on Engineering Management, 2010

This paper analyzes the interaction among the step-by-step innovation, the product market competi... more This paper analyzes the interaction among the step-by-step innovation, the product market competition (PMC), and the knowledge information flow in the growth process. Patents protect their holders from being imitated or copied but do not protect them against the possibility that less-efficient competitors master the diffused knowledge. The degree to which diffused knowledge should be exploited by less-efficient firms is determined by both their knowledge assimilating capacities and Research and Development (R&D) teams' competence type and level. The individual skill distribution in R&D team may lead to different innovative behaviors: replicating the knowledge or creation of novel knowledge. Here, we first find that replicating the knowledge and creation of novel knowledge are both growth enhancing; second, the more the flexibility on individual creativity in R&D team is, the faster is the growth; third, the knowledge information flow has a polarization effect on firms' innovative performance.

Energy Policy, 2007

... The results clearly indicate that: first, the true GDP in Turkey, that our model estimates, i... more ... The results clearly indicate that: first, the true GDP in Turkey, that our model estimates, is higher than the observed (recorded) GDP in the whole period of observation (1973-2003) and the size of unrecorded economy varies between 12 and 30 percent of the observed GDP ...

Digital Signal Processing, 2010

Auto regressive integrated moving average process Cointegration Toda and Yamamoto modified Grange... more Auto regressive integrated moving average process Cointegration Toda and Yamamoto modified Granger-causality procedure Short-run causality Long-run causality Using different methods, most of the research articles on epilepsy analyze the structures of different neurological states (interictal, pre-ictal, ictal and post-ictal) to determine their distinguishing properties. On the other hand, some studies investigate the causal relationship between interictal state, pre-ictal and ictal state, especially in order to predict the seizures from the interictal EEG activities. This type of usage of the interictal data mathematically needs the imposition of some constraints which in turn may prevent researchers to extract more useful information hidden in the interictal EEG data. In the present study: firstly, we explore the non-stationary behavior of focal interictal epileptiform series within very short time intervals; secondly, for such intervals we analyzed the revealed short-run and long-run interaction mechanisms of neuronal ensembles. Here we find: first, that short interictal series contains unit root and can be represented as autoregressive integrated moving average (ARIMA) process; second, between the interictal EEG signals there exists bidirectional causality (anthogonist effects) in the long-run. Therefore, in the long-run neither of the synchronized neuronal assemblies are positively affected (increasing amplitudes) from this relationship. Moreover, the long-run mechanism originated by co-movement (cointegration) of the interictal series reveals why there should not be a causal link from the interictal state to ictal state.