murat ertugrul - Academia.edu (original) (raw)

Papers by murat ertugrul

Doğuş Üniversitesi Dergisi, 2007

Bu çalışmada, Türkiye'de ekonomik büyüme ile elektrik tüketimi ilişkisi 1974-2004 dönemi için inc... more Bu çalışmada, Türkiye'de ekonomik büyüme ile elektrik tüketimi ilişkisi 1974-2004 dönemi için incelenmiştir. Ekonomik büyüme ve elektrik tüketimi serileri farklı derecelerden durağan (I(0) ve I(1)) oldukları için aralarındaki ilişki Sınır Testi yaklaşımı ile araştırılmıştır. Bu yaklaşıma göre, seriler arasında eşbütünleşme ilişkisi tespit edilmiş ve kısa dönemde değişkenler arasında pozitif bir ilişki ortaya çıkarken uzun dönemde bu ilişki negatif çıkmıştır.

Real estate economy has showed unusual performance in last decade in Turkey. Growing house supply... more Real estate economy has showed unusual performance in last decade in Turkey. Growing house supply/sales, credit volume, and rising house prices have mostly marked as boom. The perception of housing boom has also raised concerns among local/inernational investors, consumers, and policy-makers. The objective of the paper is to present the findings of the first comprehensive bubble analysis of Turkish housing markets utilizing/comparing several alternative methods. In order to address research questions, the study established two research objectives, 1) To identify characteristic variables of a housing bubble analysis in the context of Turkish housing market, and 2) To emprically measure whether rising house prices have been justified by fundamental factors. The outcomes of the study provides critical knowledges to domestic/international stakeholders of Turkish housing (and real estate) market.

journal of new results in science, 2013

The effect of economic growth on employment has become an important topic in the literature with ... more The effect of economic growth on employment has become an important topic in the literature with the effect of jobless growth debate in recent years. When we investigate the studies in the literature, we could find a few empirical studies which employ dynamic analysis in order to investigate effects of economic growth on employment for the Turkish economy. In order to fill this gap, we investigate the effect of economic growth on employment dynamically for the Turkish economy covering the period of 2000-2012 employing Kalman filter model. Our results indicate that, we found increasing effect of economic growth on employment at high growth term after the global financial crisis which different from high growth term between 2004-2005. We think that these results depend on the realization of demand postponed in the crisis period. Shortly, the usage of unemployed capacities showed positive effect on growth and employment in the economy after the global crisis . Ekonomik buyumenin istihd...

This paper tests how default of a government is reflected in a bond market prior to its declarati... more This paper tests how default of a government is reflected in a bond market prior to its declaration to the public. There was an unsettled discussion on that the Ottoman moratorium was not surprise. The price of the General debt bond traded at the Istanbul bourse of the Ottoman Empire between 1874 and 1883 is manually collected. To identify the default risk of the Ottoman state, the paper analyses volatility jumps in return of the bond, using the ICSS and SWARCH methodology. Our results indicate higher volatility with decreasing price before the official declaration of the moratorium. This corresponds to increasing intensity of the rebellions in the Ottoman Empire, implying higher budget deficits and risks on the redemption of debts. The findings suggest the presence of a leading event for the default, as it can be seen that by the default announcement in October 1875 the bond price displays a significant and continuous decrease. This supports the lack of the dissemination of news on...

Construction Management and Economics, 2021

Abstract Although the literature is replete with studies that signify the role of the constructio... more Abstract Although the literature is replete with studies that signify the role of the construction industry in economic development, the complexity of the relationship still deserves attention and calls for a regional perspective as well as more robust empirical evidence. To fill this gap, we scrutinise the nexus between construction investment and economic development for the Middle East and North Africa (MENA) region by employing second generation panel data modelling tools. We do so with a focus on top ten developing economies in the region, namely, Saudi Arabia, Turkey, Iran, United Arab Emirates, Egypt, Iraq, Qatar, Algeria, Kuwait, and Morocco, between 1970 and 2019. We find that there is an inverted U-shaped pattern, in line with Bon’s proposition, implying that the share of construction investments started to decline at some point in time as the economic growth reached a certain threshold. We argue that MENA countries should reconsider their construction-induced growth policies and incorporate alternative options supported by innovative and environmental-friendly technologies to attach much more importance to the role of construction in future economic development plans.

Borsa Istanbul Review, 2018

Inadequacy of domestic savings in Turkey limits the potential for sustainable growth in the long-... more Inadequacy of domestic savings in Turkey limits the potential for sustainable growth in the long-term and exacerbates the vulnerabilities associated with dependency on volatile foreign capital flows. The private pension system that was designed to complement public pension system demonstrated limited impact on savings rates. Thus, former tax incentives are replaced by matching contributions as of 2013. Our paper aims to assess the effectiveness of the recent incentives introduced to the private pension system in Turkey. We find that the state contribution has positive significant effect on the number of participants by using alternative asset returns and a dummy variable for state contribution in two samples covering different time periods. We analyze the dynamic time varying interaction between the state contribution and the number of participants in our second sample that focus on post reform period. The model estimated with the dynamic Kalman filter indicates that the positive effect of the state contribution on the number of participants tends to decline slightly in time. We conclude that the fund management in the private pension system should be improved in order to make use of the state incentive efficiently.

International Journal of Finance & Economics, 2021

Borsa Istanbul Review, 2021

This study researches the impacts of foreign portfolio flows (proxied by foreign investors’ reten... more This study researches the impacts of foreign portfolio flows (proxied by foreign investors’ retention share) and monetary policy responses (proxied by the repurchase interest rate) on Turkey’s stock market index taking the COVID-19 pandemic into consideration. A volatility index, credit default swap spreads, and foreign exchange rates are used as control variables, with a daily dataset between January 2, 2017, and October 20, 2020. After examining the stationarity and nonlinearity characteristics of the variables, we applied a nonlinear autoregressive distributed lag (NARDL) model and then conducted a Markov switching regression (MSR) for a robustness check. The results reveal that both foreign portfolio flows and monetary responses have an important effect on the index, and foreign portfolio flows have a higher effect than monetary responses. Accordingly, the results obtained from the NARDL and MSR models are robust and consistent.

SSRN Electronic Journal, 2020

This paper investigates the effects of COVID-19 outbreak on Turkish gasoline market by employing ... more This paper investigates the effects of COVID-19 outbreak on Turkish gasoline market by employing daily gasoline consumption data covering 2014-2020 periods. The forecast performance of benchmark ARIMA models are evaluated for both before and after the outbreak. The best fit model forecasts fail miserably after the COVID-19 outbreak. Then, the volatility dynamics of the daily gasoline consumption is examined by employing ARCH family models. As a result, the forecast performance improves after taking the conditional volatility into consideration. Finally, recommendations are presented to minimize economic impact on Turkey in case of a pandemic.

Borsa Istanbul Review, 2019

This is a PDF file of an article that has undergone enhancements after acceptance, such as the ad... more This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.

Scandinavian Journal of Educational Research, 2020

The purpose of this study is to determine the direction of causality between the quality of educa... more The purpose of this study is to determine the direction of causality between the quality of education and technological development for the selected Northern European countries over the period 2006-2017. To this end, we employ the bootstrap panel causality test. The findings of our study indicate that the quality of education leads to changes in technological readiness in the long run. Interestingly, the reverse direction causal effect is not detected. These findings provide further evidence onotherpositive impacts of the Nordic educational system and are likely to stimulate the interest of policymakers in this field.

Journal of Capital Markets Studies, 2018

PurposeThe purpose of this paper is to introduce an empirical model for house price spillovers be... more PurposeThe purpose of this paper is to introduce an empirical model for house price spillovers between real estate markets. The model is presented by using data from the US-UK and London-New York housing markets over a period of 1975Q1-2016Q1 by employing both static and dynamic methodologies.Design/methodology/approachThe research analyzes long-run static and dynamic spillover elasticity coefficients by employing three methods, namely, autoregressive distributed lag, the fully modified ordinary least square and dynamic ordinary least squares estimator under a Kalman filter approach. The empirical method also investigates dynamic correlation between the house prices by employing the dynamic control correlation method.FindingsThe paper shows how a dynamic spillover pricing analysis can be applied between real estate markets. On the empirical side, the results show that country-level causality in housing prices is running from the USA to UK, whereas city-level causality is running fro...

Asia-Pacific Journal of Accounting & Economics, 2018

This paper closes a gap in the relevant literature by investigating the role of a country's compe... more This paper closes a gap in the relevant literature by investigating the role of a country's competitiveness on international capital mobility using robust panel multiple regressions with fixed and random effects. In this study, we use the Global Competitiveness Index to measure a country's competitiveness level. The research empirically investigates the effect of competitiveness on cross-border capital flows, and shows how stages of economic development and country-specific risk ratings influence inflows and outflows of capital under the effect of competitiveness. Overall, we found that competitiveness has a positive and statistically significant impact on aggregated and disaggregated capital flows. However, the magnitude of its impact varies over different stages of development and across country risk levels.

The Service Industries Journal, 2018

The aim of this paper is to explore the impact of the exchange rate, the gold price, and the BIST... more The aim of this paper is to explore the impact of the exchange rate, the gold price, and the BIST100 Borsa Istanbul Index on the price of real estate stocks in the Turkish stock market, using monthly data from 2004 to 2016. To this effect, we apply DOLS, FMOLS, ARDL, and Markov Switching tests. Moreover, we also apply the Toda and Yamamoto causality test to explore the causality in the impact of the exchange rate and the gold price on the price of real estate stocks. The major findings of this study are that (i) the combination of the exchange rate, the gold price, and the BIST100 index has a long-term effect on prices of real estate stocks; (ii) prices of real estate stocks are negatively affected by the exchange rate and the gold price; and (iii) changes in the exchange rate, the gold price, and the BIST100 index lead to changes in prices of real estate stocks in the Turkish stock market. To the best of our knowledge, real estate stocks in emerging markets have received little attention from researchers thus far. Our empirical findings may encourage further research into this topic.

Housing Studies, 2017

Abstract Housing prices have increased substantially in some emerging markets in recent years. Tu... more Abstract Housing prices have increased substantially in some emerging markets in recent years. Turkish housing market has also experienced a boom over the last decade with rapid house price appreciations. This study is the first to employ two different house price indexes to analyze housing bubble in Turkey in two different time periods, 2010:M1–2014:M12 and 2007:M6–2014:M12. We first capture the determinants of housing price by employing Bounds test and then examine whether rising house prices have been justified by fundamentals by employing OLS/FMOLS/DOLS, Kalman filter and ARIMA models. The Bounds test results suggest that there is a long-term cointegration among house price indexes and housing rent, construction cost and real mortgage interest rate. The results imply that the Turkish housing market has experienced some cases of overvaluation, but not bubble formation. This evidence has several implications for house price dynamics and risks in the Turkish housing market. Based on Turkish experience, the study also draws policy implications for emerging housing markets.

Central Bank Review, 2017

This study explores the relations between the development level of capital market sub-components,... more This study explores the relations between the development level of capital market sub-components, involving mutual/pension funds, corporate bond, stock and government bond markets, and economic growth over the period of 2006:M1 and 2016:M6 in Turkey. We find that there is a long-run cointegrating relationship between capital market development and economic growth and also a unidirectional causality running from capital market development to economic growth. Using ARDL, Markov Switching Regression and Kalman Filter models, we also find that capital market development has asymmetric effects on economic growth where government bond market development is negatively but the aggregated index of other sub-components is positively associated with economic growth.

Journal of European Real Estate Research, 2016

PurposeThe purpose of this paper is to empirically analyze volatility properties of the house pri... more PurposeThe purpose of this paper is to empirically analyze volatility properties of the house price returns of Turkey and Istanbul, Ankara and Izmir provinces over the period of July 2007-June 2014.Design/methodology/approachThe paper uses conditional variance models, namely, ARCH, GARCH and E-GARCH. As the supportive approach for the discussions, we also use correlation analysis and qualitative inputs.FindingsEmpirical findings suggest several points. First, city/country-level house price return volatility series display volatility clustering pattern and therefore volatilities in house price returns are time varying. Second, it seems that there were high (excess) and stable volatility periods during observation term. Third, a significant economic event may change country/city-level volatilities. In this context, the biggest and relatively persistent shock was the lagged negative shocks of global financial crisis. More importantly, short-lived political/economic shocks have not sign...

The European Journal of Health Economics, 2016

The well-known health-led growth hypothesis claims a positive correlation between health expendit... more The well-known health-led growth hypothesis claims a positive correlation between health expenditure and economic growth. The aim of this paper is to empirically investigate the health-led growth hypothesis for the Turkish economy. The bound test approach, autoregressive-distributed lag approach (ARDL) and Kalman filter modeling are employed for the 1975-2013 period to examine the co-integration relationship between economic growth and health expenditure. The ARDL model is employed in order to investigate the long-term and short-term static relationship between health expenditure and economic growth. The results show that a 1 % increase in per-capita health expenditure will lead to a 0.434 % increase in per-capita gross domestic product. These findings are also supported by the Kalman filter model&amp;amp;amp;amp;amp;amp;amp;amp;amp;#39;s results. Our findings show that the health-led growth hypothesis is supported for Turkey.

Ecological Indicators, 2016

This study aims to analyze the relationship between carbon dioxide (CO2) emissions, trade opennes... more This study aims to analyze the relationship between carbon dioxide (CO2) emissions, trade openness, real income and energy consumption in the top ten CO2 emitters among the developing countries; namely

Renewable and Sustainable Energy Reviews, 2015

This research investigates the interaction effect between corruption and foreign direct investmen... more This research investigates the interaction effect between corruption and foreign direct investment (FDI) on environmental pollution by applying the spatial econometric model to the panel data of China's 29 provinces from 1994 to 2015 and analyzes the differences between China's eastern, central and western regions. Results show that (a) FDI inflow deteriorates the environmental quality, validating the pollution haven hypothesis (PHH); (b) by weakening the environmental standards, corruption enables the inflow of low-quality FDI, weakens the spillover effect of FDI and indirectly causes further environmental pollution; (c) the interaction effect between corruption and FDI on environmental pollution is less significant in the eastern region than in the central and western regions.