Serkan Çiçek | Mugla University (original) (raw)

Papers by Serkan Çiçek

In the last two decades, there have been important changes in inflation dynamics in Turkey. While... more In the last two decades, there have been important changes in inflation dynamics in Turkey. While average inflation rate, inflation volatility and inflation persistence declined, the prices of tradable goods have shown an increase less than prices of non-tradable goods. The aim of this paper is to inquire whether the globalization has an effect on this change and to test whether and how it affected the slope of the Phillips Curve. The findings point out that global activity did have an effect on domestic inflation rate and that Phillips Curve got flatter.

Marmara İİBF Dergisi, Dec 1, 2009

In this study, the volatility of deposit banks' credit stock in Turkey is investigated by us... more In this study, the volatility of deposit banks' credit stock in Turkey is investigated by using weekly data from June 2000 through June 2007. To determine the high and low volatility states, two state switching autoregressive conditional heteroscedasticity (SWARCH) models are estimated. The economic and political events that resulted in high volatility in credit stock volume are also analysed. results show that volatility of credit stock volume is sensitive to domestic government bonds' interest rate and foreign portfolio investments. The volatility of credit stock volume is also affected by political events.

International Review of Economics & Finance

Quantitative Finance and Economics, 2018

After adopting new monetary policy framework at the end of 2010, the Central Bank of the Republic... more After adopting new monetary policy framework at the end of 2010, the Central Bank of the Republic of Turkey (CBRT) started actively using both multiple short-term policy rates and funding composition over the banks in order to manage the liquidity requirement of the banking system. In this regard, this paper examines interest rate pass-through from multiple policy rates to the retail rates in Turkey and explores asymmetries in the adjustment process within the framework of an asymmetric ARDL model developed by Shin et al. (2014). Our findings revealed that both the CBRT average funding rate and interbank repo rate play an important role rather than official policy rates (weekly repo rate, overnight lending rate, overnight borrowing rate, and late liquidity rate) in this new policy framework. Our results also captured greater pass-through to the interest rate of commercial loans than the interest rate of consumer loans and banking deposits. Moreover, all retail rates respond faster to policy rate cuts than hikes, indicating that the banks were reluctant to raise interest rates than to decrease during the period under investigation.

Iktisat Isletme Ve Finans, 2011

Bu çalışmada Türkiye'nin enflasyon hedeflemesi deneyimi, bekleyişlerin hedeflere çap... more Bu çalışmada Türkiye'nin enflasyon hedeflemesi deneyimi, bekleyişlerin hedeflere çapalanma derecesi üzerinden değerlendirilmektedir. Zaman içinde değişen vektör özgecikmeli model tahminleri, çapalanma etkisinin 2006 yılı Mayıs ayına kadar yüksek, bu ...

Turkish economy has been suffering from rises in financial flows since the last two decades that ... more Turkish economy has been suffering from rises in financial flows since the last two decades that these flows have raised financial stability challenges across emerging economies including Turkey. Regarding the ability of the central banks to decrease the financial risks including volatile exchange rate, the Central Bank of the Republic of Turkey has designed and implemented a new policy mix. In this study, we investigated the effect of new policy instruments (IRC, RRR and ROM) on the volatilities of US dollar, euro, British pound and basket rate for Turkish economy between January 2, 2002 and December 9, 2014 by using ARMA-GARCH, ARMA-EGARCH and SWARCH models. From the estimation results, we could not reach enough evidence that the IRC and RRR instruments could decrease the volatilities of exchange rates under investigation while the ROM instrument was successful, especially on US dollar and basket rate. We also found strong evidence in favour of asymmetric volatility, indicating that the positive shocks led to greater exchange rate volatility than negative ones.

We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation ... more We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation rates of traded and non-traded goods in Turkey between 1994:M1 and 2012:M5 by using a quantile autoregression approach developed by Koenker and Xiao (2004). This method makes no assumptions about the distribution of inflation rates and allowed us to analyze possible asymmetry in mean reversion toward the equilibrium for inflation rates. Our results revealed an asymmetric speed in the inflation adjustment process across different quantiles before and after an inflation targeting (IT) regime (implicit and explicit); persistence relatively decreased after adoption of implicit IT in 2002 or explicit IT and inflation rates became much more mean reverting.

Central Bank Review, Jan 1, 2014

Anchoring inflation expectations to inflation targets rather than actual inflation implies a cred... more Anchoring inflation expectations to inflation targets rather than actual inflation implies a credible monetary policy. We utilized a quantile autoregression approach developed by Koenker and Xiao (2004) in order to analyse whether the inflation expectations converge toward inflation targets or actual inflation in Turkey. Our analysis suggested that inflation expectations have been anchored to both inflation targets and actual inflation. Furthermore, no convergence toward inflation targets in larger quantiles exists, although inflation expectations have globally followed actual inflation. These findings provide strong evidence favouring imperfect credibility in Turkey.

Iktisat, Isletme ve Finans, Dec 1, 2013

In this paper we investigate the asymmetric effect of exchange rate movements on prices in both e... more In this paper we investigate the asymmetric effect of exchange rate movements on prices in both expansion and recession cycles for the inflation targeting (IT) period in Turkey, from 2002:M1 to 2012:M10, using a co-integrating non-linear auto regression distributed lag (NARDL) model. This method enables us to analyse an asymmetric short and long-run relationship between nominal exchange rate and domestic inflation rate. According to alternative calculations of depreciation and appreciation series, our results indicate that depreciation is passed through prices in the long run for all alternative series in expansion cycle, but appreciation is only passed through if the appreciation rate is calculated by more than four previous periods. Our findings further suggest that the magnitude of depreciation on prices is larger than appreciation. However, in the short run, although depreciation is passed through to the prices, appreciation is not. This finding implies that prices are sticky downwards but flexible upwards in the short run and business cycle is the main source of asymmetry.

International Research Journal of Economics and Finance, Mar 2013

This paper investigates the non-linear behavior of the policy reaction function of the Central Ba... more This paper investigates the non-linear behavior of the policy reaction function of the Central Bank of the Republic of Turkey (CBRT) during the Inflation Targeting (IT) period of 2002:M1-2012:M4 by employing Smooth Transition Auto Regression (STAR) models developed by Terasvirta (1998, 2004) which allow for the possible presence of non-linearities in data. Our data suggested using the quadratic logistic function which was employed by Martin and Milas (2004) because it fits better to reaction functions. Our results reveal that the CBRT tried to keep the expected inflation gap within a range when the expected inflation gap was used as a transition variable. The reaction of the CBRT was mild when the expected inflation gap was inside the range, otherwise it became drastic. These findings provide evidence suggesting that monetary policy behavior of the CBRT is best described by the non-linear forward-looking Taylor rule rather than being linear or backward-looking during the IT period.

ODTÜ Gelişme Dergisi, Apr 1, 2013

Domestic inflation in Turkey is not immune to the fluctuations of global demand, owing to the hig... more Domestic inflation in Turkey is not immune to the fluctuations of global demand, owing to the high degree of openness of the economy. This relationship is examined in this study by means of the forward-looking Phillips curve. The ordinary least squares (OLS) and generalized method of moments (GMM) estimates for the 2003:Q1-2011:Q4 period indicate that domestic inflation responds positively to the national output gap as well as the composite output gap indicator that further incorporates global demand conditions. Estimation results show that in terms of the statistical significance, the composite output gap has more explanatory power than domestic output gap. These findings support the observation that the inflation targeting central bank has been taking into consideration not only the domestic but also foreign demand.

Economic Modelling, Mar 1, 2013

We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation ... more We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation rates of traded and non-traded goods in Turkey between 1994:M1 and 2012:M5 by using a quantile autoregression approach developed by Koenker and Xiao (2004). This method makes no assumptions about the distribution of inflation rates and allowed us to analyze possible asymmetry in mean reversion toward the equilibrium for inflation rates. Our results revealed an asymmetric speed in the inflation adjustment process across different quantiles before and after an inflation targeting (IT) regime (implicit and explicit); persistence relatively decreased after adoption of implicit IT in 2002 or explicit IT and inflation rates became much more mean reverting.

Economic Modelling, Sep 1, 2012

In the last two decades, there have been important changes in inflation dynamics in Turkey. While... more In the last two decades, there have been important changes in inflation dynamics in Turkey. While average inflation rate, inflation volatility and inflation persistence declined, the prices of tradable goods have shown an increase less than prices of non-tradable goods. The aim of this paper is to inquire whether the globalization has an effect on this change and to test whether and how it affected the slope of the Phillips Curve. The findings point out that global activity did have an effect on domestic inflation rate and that Phillips Curve got flatter.

İktisat, İşletme ve Finans, Jul 1, 2011

This paper investigates the inflation targeting experience of Turkey in terms of the degree of an... more This paper investigates the inflation targeting experience of Turkey in terms of the degree of anchoring of expectations to official targets. The estimated timevarying vector auto-regression model suggests a high path for the anchoring parameter until May 2006 and a relatively lower path until November 2008 following the financial turbulence of May 2006. The anchoring behaviour strengthens after November 2008. The congruence between model estimates and the anecdotal milestones of the Turkish economy can be interpreted as a sign of decision makers’ manifestation of confidence in the Central Bank.

Marmara İİBF Dergisi, Dec 1, 2009

In this study, the volatility of deposit banks' credit stock in Turkey is investigated by using w... more In this study, the volatility of deposit banks' credit stock in Turkey is investigated by using weekly data from June 2000 through June 2007. To determine the high and low volatility states, two state switching autoregressive conditional heteroscedasticity (SWARCH) models are estimated. The economic and political events that resulted in high volatility in credit stock volume are also analysed. results show that volatility of credit stock volume is sensitive to domestic government bonds' interest rate and foreign portfolio investments. The volatility of credit stock volume is also affected by political events.

Marmara İİBF Dergisi, Dec 1, 2007

Bu çalışma, Türkiye ekonomisinde Bankacılık sektöründe 2001 Şubat Krizi sonrasında merkezileşme e... more Bu çalışma, Türkiye ekonomisinde Bankacılık sektöründe 2001 Şubat Krizi sonrasında merkezileşme eğiliminin ortaya çıktığını göstermeye çalışmaktadır. Bu sonuca ulaşmak için çalışmamızda Türkiye Bankalar Birliği'nden (TBB) elde edilen bankacılık sektörüne ait veriler derlenmiş, sektördeki merkezileşme eğilimini incelemeye imkan verecek oranlar hesaplanmış, tablolar-grafikler oluşturulmuş ve yorumlanmıştır. Makalede Türkiye'de bankacılık sektöründe merkezileşme eğiliminin olduğu sonucuna ulaşılmıştır.

Books by Serkan Çiçek

In the last two decades, there have been important changes in inflation dynamics in Turkey. While... more In the last two decades, there have been important changes in inflation dynamics in Turkey. While average inflation rate, inflation volatility and inflation persistence declined, the prices of tradable goods have shown an increase less than prices of non-tradable goods. The aim of this paper is to inquire whether the globalization has an effect on this change and to test whether and how it affected the slope of the Phillips Curve. The findings point out that global activity did have an effect on domestic inflation rate and that Phillips Curve got flatter.

Marmara İİBF Dergisi, Dec 1, 2009

In this study, the volatility of deposit banks' credit stock in Turkey is investigated by us... more In this study, the volatility of deposit banks' credit stock in Turkey is investigated by using weekly data from June 2000 through June 2007. To determine the high and low volatility states, two state switching autoregressive conditional heteroscedasticity (SWARCH) models are estimated. The economic and political events that resulted in high volatility in credit stock volume are also analysed. results show that volatility of credit stock volume is sensitive to domestic government bonds' interest rate and foreign portfolio investments. The volatility of credit stock volume is also affected by political events.

International Review of Economics & Finance

Quantitative Finance and Economics, 2018

After adopting new monetary policy framework at the end of 2010, the Central Bank of the Republic... more After adopting new monetary policy framework at the end of 2010, the Central Bank of the Republic of Turkey (CBRT) started actively using both multiple short-term policy rates and funding composition over the banks in order to manage the liquidity requirement of the banking system. In this regard, this paper examines interest rate pass-through from multiple policy rates to the retail rates in Turkey and explores asymmetries in the adjustment process within the framework of an asymmetric ARDL model developed by Shin et al. (2014). Our findings revealed that both the CBRT average funding rate and interbank repo rate play an important role rather than official policy rates (weekly repo rate, overnight lending rate, overnight borrowing rate, and late liquidity rate) in this new policy framework. Our results also captured greater pass-through to the interest rate of commercial loans than the interest rate of consumer loans and banking deposits. Moreover, all retail rates respond faster to policy rate cuts than hikes, indicating that the banks were reluctant to raise interest rates than to decrease during the period under investigation.

Iktisat Isletme Ve Finans, 2011

Bu çalışmada Türkiye'nin enflasyon hedeflemesi deneyimi, bekleyişlerin hedeflere çap... more Bu çalışmada Türkiye'nin enflasyon hedeflemesi deneyimi, bekleyişlerin hedeflere çapalanma derecesi üzerinden değerlendirilmektedir. Zaman içinde değişen vektör özgecikmeli model tahminleri, çapalanma etkisinin 2006 yılı Mayıs ayına kadar yüksek, bu ...

Turkish economy has been suffering from rises in financial flows since the last two decades that ... more Turkish economy has been suffering from rises in financial flows since the last two decades that these flows have raised financial stability challenges across emerging economies including Turkey. Regarding the ability of the central banks to decrease the financial risks including volatile exchange rate, the Central Bank of the Republic of Turkey has designed and implemented a new policy mix. In this study, we investigated the effect of new policy instruments (IRC, RRR and ROM) on the volatilities of US dollar, euro, British pound and basket rate for Turkish economy between January 2, 2002 and December 9, 2014 by using ARMA-GARCH, ARMA-EGARCH and SWARCH models. From the estimation results, we could not reach enough evidence that the IRC and RRR instruments could decrease the volatilities of exchange rates under investigation while the ROM instrument was successful, especially on US dollar and basket rate. We also found strong evidence in favour of asymmetric volatility, indicating that the positive shocks led to greater exchange rate volatility than negative ones.

We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation ... more We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation rates of traded and non-traded goods in Turkey between 1994:M1 and 2012:M5 by using a quantile autoregression approach developed by Koenker and Xiao (2004). This method makes no assumptions about the distribution of inflation rates and allowed us to analyze possible asymmetry in mean reversion toward the equilibrium for inflation rates. Our results revealed an asymmetric speed in the inflation adjustment process across different quantiles before and after an inflation targeting (IT) regime (implicit and explicit); persistence relatively decreased after adoption of implicit IT in 2002 or explicit IT and inflation rates became much more mean reverting.

Central Bank Review, Jan 1, 2014

Anchoring inflation expectations to inflation targets rather than actual inflation implies a cred... more Anchoring inflation expectations to inflation targets rather than actual inflation implies a credible monetary policy. We utilized a quantile autoregression approach developed by Koenker and Xiao (2004) in order to analyse whether the inflation expectations converge toward inflation targets or actual inflation in Turkey. Our analysis suggested that inflation expectations have been anchored to both inflation targets and actual inflation. Furthermore, no convergence toward inflation targets in larger quantiles exists, although inflation expectations have globally followed actual inflation. These findings provide strong evidence favouring imperfect credibility in Turkey.

Iktisat, Isletme ve Finans, Dec 1, 2013

In this paper we investigate the asymmetric effect of exchange rate movements on prices in both e... more In this paper we investigate the asymmetric effect of exchange rate movements on prices in both expansion and recession cycles for the inflation targeting (IT) period in Turkey, from 2002:M1 to 2012:M10, using a co-integrating non-linear auto regression distributed lag (NARDL) model. This method enables us to analyse an asymmetric short and long-run relationship between nominal exchange rate and domestic inflation rate. According to alternative calculations of depreciation and appreciation series, our results indicate that depreciation is passed through prices in the long run for all alternative series in expansion cycle, but appreciation is only passed through if the appreciation rate is calculated by more than four previous periods. Our findings further suggest that the magnitude of depreciation on prices is larger than appreciation. However, in the short run, although depreciation is passed through to the prices, appreciation is not. This finding implies that prices are sticky downwards but flexible upwards in the short run and business cycle is the main source of asymmetry.

International Research Journal of Economics and Finance, Mar 2013

This paper investigates the non-linear behavior of the policy reaction function of the Central Ba... more This paper investigates the non-linear behavior of the policy reaction function of the Central Bank of the Republic of Turkey (CBRT) during the Inflation Targeting (IT) period of 2002:M1-2012:M4 by employing Smooth Transition Auto Regression (STAR) models developed by Terasvirta (1998, 2004) which allow for the possible presence of non-linearities in data. Our data suggested using the quadratic logistic function which was employed by Martin and Milas (2004) because it fits better to reaction functions. Our results reveal that the CBRT tried to keep the expected inflation gap within a range when the expected inflation gap was used as a transition variable. The reaction of the CBRT was mild when the expected inflation gap was inside the range, otherwise it became drastic. These findings provide evidence suggesting that monetary policy behavior of the CBRT is best described by the non-linear forward-looking Taylor rule rather than being linear or backward-looking during the IT period.

ODTÜ Gelişme Dergisi, Apr 1, 2013

Domestic inflation in Turkey is not immune to the fluctuations of global demand, owing to the hig... more Domestic inflation in Turkey is not immune to the fluctuations of global demand, owing to the high degree of openness of the economy. This relationship is examined in this study by means of the forward-looking Phillips curve. The ordinary least squares (OLS) and generalized method of moments (GMM) estimates for the 2003:Q1-2011:Q4 period indicate that domestic inflation responds positively to the national output gap as well as the composite output gap indicator that further incorporates global demand conditions. Estimation results show that in terms of the statistical significance, the composite output gap has more explanatory power than domestic output gap. These findings support the observation that the inflation targeting central bank has been taking into consideration not only the domestic but also foreign demand.

Economic Modelling, Mar 1, 2013

We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation ... more We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation rates of traded and non-traded goods in Turkey between 1994:M1 and 2012:M5 by using a quantile autoregression approach developed by Koenker and Xiao (2004). This method makes no assumptions about the distribution of inflation rates and allowed us to analyze possible asymmetry in mean reversion toward the equilibrium for inflation rates. Our results revealed an asymmetric speed in the inflation adjustment process across different quantiles before and after an inflation targeting (IT) regime (implicit and explicit); persistence relatively decreased after adoption of implicit IT in 2002 or explicit IT and inflation rates became much more mean reverting.

Economic Modelling, Sep 1, 2012

In the last two decades, there have been important changes in inflation dynamics in Turkey. While... more In the last two decades, there have been important changes in inflation dynamics in Turkey. While average inflation rate, inflation volatility and inflation persistence declined, the prices of tradable goods have shown an increase less than prices of non-tradable goods. The aim of this paper is to inquire whether the globalization has an effect on this change and to test whether and how it affected the slope of the Phillips Curve. The findings point out that global activity did have an effect on domestic inflation rate and that Phillips Curve got flatter.

İktisat, İşletme ve Finans, Jul 1, 2011

This paper investigates the inflation targeting experience of Turkey in terms of the degree of an... more This paper investigates the inflation targeting experience of Turkey in terms of the degree of anchoring of expectations to official targets. The estimated timevarying vector auto-regression model suggests a high path for the anchoring parameter until May 2006 and a relatively lower path until November 2008 following the financial turbulence of May 2006. The anchoring behaviour strengthens after November 2008. The congruence between model estimates and the anecdotal milestones of the Turkish economy can be interpreted as a sign of decision makers’ manifestation of confidence in the Central Bank.

Marmara İİBF Dergisi, Dec 1, 2009

In this study, the volatility of deposit banks' credit stock in Turkey is investigated by using w... more In this study, the volatility of deposit banks' credit stock in Turkey is investigated by using weekly data from June 2000 through June 2007. To determine the high and low volatility states, two state switching autoregressive conditional heteroscedasticity (SWARCH) models are estimated. The economic and political events that resulted in high volatility in credit stock volume are also analysed. results show that volatility of credit stock volume is sensitive to domestic government bonds' interest rate and foreign portfolio investments. The volatility of credit stock volume is also affected by political events.

Marmara İİBF Dergisi, Dec 1, 2007

Bu çalışma, Türkiye ekonomisinde Bankacılık sektöründe 2001 Şubat Krizi sonrasında merkezileşme e... more Bu çalışma, Türkiye ekonomisinde Bankacılık sektöründe 2001 Şubat Krizi sonrasında merkezileşme eğiliminin ortaya çıktığını göstermeye çalışmaktadır. Bu sonuca ulaşmak için çalışmamızda Türkiye Bankalar Birliği'nden (TBB) elde edilen bankacılık sektörüne ait veriler derlenmiş, sektördeki merkezileşme eğilimini incelemeye imkan verecek oranlar hesaplanmış, tablolar-grafikler oluşturulmuş ve yorumlanmıştır. Makalede Türkiye'de bankacılık sektöründe merkezileşme eğiliminin olduğu sonucuna ulaşılmıştır.