Seminar Abstracts

Subject Summary
A Sectoral Analysis Of Spatial Regional Employment Dynamics Of Turkish Provinces This paper aims to analyse how the concentration of sectoral employment across Turkish provinces has changed between 1985 and 2000. First, a beta convergence analysis of the provincial employment rates for manufacturing, agriculture and services are performed by employing a seemingly unrelated regression model(SUR). Then this model is extended in order to capture the spatial aspects of the employment dynamics, where spatial dependence is handled in alternative ways. In the second part of the paper, on the otherhand, spatial variations in the relationships are examined with geographically weighted regression (GWR) to reveal some geographical variations in the results.
A Sectoral Analysis Of Spatial Regional Employment
Dynamics Of Turkish Provinces
This paper aims to analyse how the concentration of sectoral employment across Turkish provinces has changed between 1985 and 2000. First, a beta convergence analysis of the provincial employment rates for manufacturing, agriculture and services are performed by employing a seemingly unrelated regression model(SUR). Then this model is extended in order to capture the spatial aspects of the employment dynamics, where spatial dependence is handled in alternative ways. In the second part of the paper, on the otherhand, spatial variations in the relationships are examined with geographically weighted regression (GWR) to reveal some geographical variations in the results.
Income Inequality and Economic Convergence in Turkey Even though the convergence of regional per capita incomes has been a highly debated issue internationally, empirical evidence regarding Turkey is limited as well as contradictory. This paper is an attempt to investigate regional income inequality and convergence dynamics in Turkish GDP. First, Theil coefficient of concentration index has been employed in order to analyze the dispersion aspects of convergence process which shows a pro-cyclical character. Then, the paper investigates the convergence dynamics, taking regional interdependencies into account. Empirical results indicate that there is convergence at the national level. Moreover, spatial error model is preferred by the model selection criteria, indicating that typical least squares regional convergence model is misspecified.
A New Series For Istanbul Stock Exchange The availability of a stock price index which consists of relatively strong firms in its calculation is important both for investors and researchers. For Istanbul Stock Exchange (ISE), ISE-100 is an index which covers all the history of the market but especially for the initial years almost all of the stocks are included in the calculation so the criterion of existence of relatively strong firms in the calculation is not satisfied for ISE-100. On the other hand, another index for ISE is ISE-30 which includes only 30 stocks in its calculation and they may be considered as relatively strong ones. Unfortunately, ISE started to calculate this index with the beginning of 1997 so there is a lack of 10 years of period of time. This paper tries to fill this gab by calculating a new index, named ISE-20 where stocks which have relatively high trading volume and an unbroken price sequence are included in the calculation.
Effects Of Crises On The Relationship Between Macroeconomic Variables And The Stock Market: A Case For Turkey Turkey, in the recent history, faced two major economic crises which were in April 1994 and February 2001. In this paper, we examine whether the risk return relationship as well as the effects of two macroeconomic variables, output growth and inflation, on real stock returns and volatility changed or not due to these crises using three different monthly indices of the Istanbul Stock Exchange. We study the effects both for the whole period and the subperiods that we determine regarding the times of the crises using EGARCH-M framework. Our results show that the risk-return relationship changes as the economy moves from one regime to another. Moreover, the crises cause some changes on the relationships between stock returns and macroeconomic variables. The greatest impact of the crisis is seen in the Financial Sector.
Biases of heteroskedasticity-consistent covariance matrix estimator Bu çalışmada, regresyon analizindaki hata terimlerinin farklı varyansa sahip olmaları varsayımı altında katsayılar matrisinin En Küçük Kareler tahmin edicisi dikkate alınmış ve bu terimin kovaryansının tahmin edicileri incelenmiştir. Öncelikle durumun inceleneceği model kurulmuş ve varsayımlar açıklanmıştır. Daha sonra ise tahmin ediciler tanımlanmıştır. Bu tahmin edicilerin sapmaları ayrı ayrı hesaplanmıştır. Ayrıca bu sapmaların azaltılabilmesi için bir yöntem teklif edilmiş ve bu yöntemin sapmaları azalttığı gösterilmiştir. Sapmaların yanısıra varyanslar ve hataların karelerinin ortalamaları da hesaplanabilmektedir. Bu çalışmanın katkısı çok sınırlandırıcı varsayımlarla da olsa daha önce simülasyonla yapılabilen karşılaştırmaları analitik olarak yapma yönünde bir adım oluşturmasıdır.
Inflation Targeting: An indirect approach to assess the direct impact Bu çalışmada heterojen enflasyon beklentilerindeki enflasyon hedeflemesine geçilmesini izleyen degisikligin enflasyonun zaman serisi özelliklerinde meydana getirdigi değişiklikler incelenmektedir. Bu kapsamda ilk aşamada Granger (1980) çalışmasına kadar dayanan uzun hafıza modellerinin daha yakından incelenmesi ele alınmıştır. Bireysel kısa hafızalı zaman serilerinin toplanmasıyla meydana gelen bu modellerde yapılan incelemeler kısa hafıza parametresindeki heterojenlik ve bir değerine olan yakınlığın çok önemli olduğunu göstermiştir. Bu kısa hafıza (otoregresif) katsayının heterojenliğinin ve seviyesinin düşmesiyle toplamdaki uzun hafızanın kaybolduğu gösterilmiştir. Bu hipotezi test edebilmek için enflasyon hafızası ve enflasyon beklentileri arasındaki ilişki kullanılmıştır. Enflasyon hedeflemesine geçilmeden önce heterojen ve ardışık bağımlılığı yüsksek olan bireysel enflasyon beklentilerinin, hedeflemeye geçilmesiyle birlikte merkezi para otoritesinin yaptığı anons çevresinde odaklanmaya başlaması amaçlanmaktadır. Bu beklenti ve bizim teorik bulgularımız, enflasyon hedeflemesine geçilmeden önce heterojen enflasyon beklentilerinin sebep olduğu enflasyon uzun hafızasının, hedeflemeye geçildikten sonra kaybolacağına işaret etmektedir. Böyle bir enflasyon hafızası kısalmasının yaşanıp yaşanmadığı 7 ülke verisi üzerinde yapılan ampirik bir çalışma ile test edilmiştir. Bulgular bu 7 ülkede de enflasyon hafızasının keskin bir şekilde düştüğünü göstermiştir.
Foreign Exchange Crisis, Structural Shifts and Volatility: An Interpretation of Turkish Case Türk ekonomisinde 1994 ve 2000 yıllarında ortaya çıkan iki finansal krizi tanımlamak amacıyla içsel olarak kırılma noktalarını belirlemek için reel döviz kuruna Lumbsdaine ve Papell (1997) birim kök testi (unit root test) uygulanmıştır. Lumbsdaine ve Papell (1997) birim kök testi reel döviz kurundaki kırılma noktalarını içsel olarak belirlemiştir. 1994 ve 2000 krizleri nedeniyle 2000 sonrası döviz kuru rejimindeki dalgalanmaları ortaya çıkarmak için birinci dereceden iki-durumlu rejim değişimi AR(1)-ARCH(1) süreç kullanılmıştır. Bu süreç den elde edilen bulgular 2000 sonrası döviz kurunun serbest dalgalanma sürecinde ayarlanabilir döviz kuru dönemi ile karşılaştırıldığında daha yüksek oynaklığa sahip olduğunu göstermektedir.
The Stability of the Turkish Phillips Curve and Alternative Regime Shifting Models Bu çalışma Türkiye'de Phillips eğrisinin istikrarsızlığını incelemektedir. Çalışmada çoklu yapısal kırılma ve Markov değişim modelleri kullanılmış ve bu iki modelin performansı değerlendirilmiştir. Kullanılan veriler aylıktır ve 1987-2004 dönemini kapsamaktadır. Çalışmanın bulgularına göre Phillips eğrisi doğrusal ve asimetrik değildir. Enflasyonun kalıcılığı doğrusal modele gore daha düşük bulunmuştur. 2001 yılından sonra enflasyonun kalıcılığında ufak bir azalma gözlemlenmektedir.
Relationship Between Inflation, P/E Ratios And Stock Price Behaviors In Emerging Markets: Empirical Evidence From Istanbul Stock Exchange This paper examines the relationship between current P/E ratios, two macroeconomic variables namely IPI (Industrial Price Index) and CPI (Consumer Price Index) and stock price behaviors using a new series called return index-20 for Istanbul Stock Exchange (ISE). ISE National-30 is an index which consists of relatively more liquid and larger firms where their stocks are widely held in public hands. Such an index is important for an investigator since it can be an indicator for the whole market. Istanbul Stock Exchange started to be an active market in 1986 but ISE National-30 has started to be calculated on December 27, 1996 so there is a lack of 10 years period of time. We composed an index which starts from the beginning of ISE and which consists of firms that are relatively larger, so we filled this gap. From being relatively larger, we understand that trading volume of the firm is high and the history of the firm is clean. Studying with such an index can be very important especially for a researcher. Regression results in this study indicates that for each of the stocks price-earning ratio appears to be a significant explanatory variable for the stock returns but the coefficients both for IPI and CPI are not significant. This implies that these two macroeconomic variables are not good at explaining the stock returns. By estimating an Exponential GARCH (EGARCH) model we tested whether there is a symmetry for Turkish stock market or not. The results indicate that there is an asymmetry (By asymmetry, we mean that downward movements in the stock market are followed by higher volatilities than upwards movements of the same magnitude) so EGARCH(1,1) model is used to point out the effects of IPI and CPI on both stock return mean and volatility. According to the results of EGARCH model IPI and CPI does not effect both stock return mean and volatility so these two macroeconomic variables are not good at explaining stock returns and volatility for Turkey but an EGARCH(1,1) model can be used for this aim.
MONETARY INDEPENDENCE IN FINANCIAL VULNERABLE ECONOMIES Central banks in emerging market economies are differ from advanced economies: First, these economies are subject to sudden stop of capital outflows, and second irresponsible fiscal policy and poor track record of monetary history and lastly the presence of pervasive liability of dollarization. Using a use standard risk - augmented uncovered interest rate parity condition for emerging market economies which are not financially robust. Under the emerging market-specific dominance issues, the paper compares the impact of shocks to U.S. interest rate, bonds spreads and exchange rate (called "pick the poison") across emerging market economies with different exchange rate regimes and different stage of market development. This paper seeks whether or not yesterday's vulnerability is today's shock absorber in sinful countries. The conclusion from the analysis is that the inflation targeting framework under flexible exchange rate regime has worked well, albeit, it is not penance for emerging market economies. Stability-oriented monetary policy and responsible fiscal policy would be important elements of any policy package. In line with Calvo and Mishkin (2004), the choice of exchange rate regime is likely to be second order importance. Institutional reforms (prudential supervision without political pressures , discouragement of currency mismatch, increased trade openness, market-friendly economic measure) are especially critical to successful macroeconomic performance in emerging market economies as well as to conduct counter -cyclical monetary policy especially for Turkey.
Convergence in Measures of  the Quality of Life: Evidences for EU Members and a Candidate Country, Turkey It is well accepted knowledge that GDP per capita is an ideal measure of a country's economic progress. Kuznets (1941) proposed that welfare measures start with national income. However, one should also incorporate other factors such as nonmarket activities, leisure and inequality. In addition, numerous other studies linking income (per capita growth of GDP) with other potential measures for (elements of) the quality of life (or growth in subjective well being). People in countries with higher GDPs per capita have longer life expectancies, lower infant mortality, better access to basic education, better protection of their political rights. (see for example, Pritchett & Summers, 1993; or Gangadharan & Valenzuela, 2001). While many studies have found a link between income and other potential measures of the quality of life (such as, The UNDP's Human Development Index and the Overseas Development Council's Physical Quality of Life Index ), it is also easy to show that across countries or regions at a single time, that link is far from linear and universal (Kenny 2004).
This paper aimed to provide an evidence on convergence in quality of life indicators given in above mentioned survey regarding EU zone countries and a candidate country Turkey. In 2003, the European Foundation conducted fieldwork for its First European Quality of Life Survey in 28 countries: the EU25, two acceding countries-Bulgaria and Romania an done candidate country, Turkey. The survey was a questionnaire-based, representative household survey, which aimed to analyse how variouslife factors affect Europeans' quality of life. In particular, it adressed a number of key areas: employment, economic resources,housing and local environment, family and household structure, participation in the community, health and health care, knowledge and education and training. In this study, we use convergence measure to identify the similarities and differences as well as policy implications. There are a number of methods of measuring convergence. "Sigma" convergence is a decline over time of the cross-sectional dispersion of a variable, which can be measured by looking at the size of the standard deviation. For variables that trend upward (or downward) the coefficient of variation might provide a better reflection of convergence or divergence. Another approach to measuring convergence searches if the variable displays mean reversion. This measure is known in the literature as beta convergence. We will use both sigma, beta and coefficient of variation convergence, the standard deviation and the coefficient of variation, but also look at the mean reversion of the variable. There are some of the challanges facing European and candidate country Turkey's policy makers today. It is believed that the findings of this paper can contribute to shaping employment and social polies aimed at improving quality of life for all people living in the EU zone.
"Does Inflation Targeting Matter? Evidence From Industrialized Countries" This study employs a semi-structural dynamic time series model for two purposes. First, we investigate the differences between inflation targeting and non-inflation targeting countries in terms of their revealed aversion to inflation variability. The characteristic of the model leads us to cast our dynamic time series model in a non-linear state space form and execute the extended Kalman filter. Second, we analyze whether the responses of inflation dynamics in the aftermath of a demand shock for IT and non-IT countries are significantly different from each other.
As a result, we find that, the increase in the inflation aversion becomes significantly higher for the countries, which adopt inflation targeting. More importantly, we find that the impact of output gap shocks on inflation has significantly decreased for these countries after implementing the inflation targeting, while there is no such finding for their counterparts.
"Sectoral Analysis of the Relationship Between Returns, Output Growth and Inflation" In finance literature there are very few studies where the relationship between returns, output growth and inflation are analyzed for sectors individually. Among these limited number of studies Boudoukh, Richordson and Whitelaw (1994) catogarized the industries as cyclical and noncyclical where cyclical industries are the ones which have output growths highly correlated with the aggregate output growth. The reverse is true for the nocyclical industries. They show that there is a positive relation between stock returns and expected inflation for the cyclical industries and a negative one for the noncyclical industries for US market. In this study, we examine the same issue for Turkish Stock Market.
"Cost of Direct Foreign Investment in Developing Countries" a) Foreign Direct Investment with Hysteresis: Short term Rescue or Long-term Sentence: The foreign direct investment often regarded by countries with balance of payment problems as a potential source of salvation. Consequences of a rise of direct foreign investment are analysed within two country, four product, six asset small macro-model. and is shown to have two distinct and offsetting effects. The first effect improves the balance of payments and prevents devaluation or/ depreciation of the currency. The second effect, the depreciation of the real exchange rate and raises the return on capital..
In both cases net international debt increases. If foreign direct investment is withdrawn a consequence of their being the multiple equilibria in the model is that the domestic country may get stack in a debt-trap. Similarly hysteretic behaviour is displayed in the real exchange rate.
b) Welfare cost: It is shown that contrary to the conventional wisdom it is likely that the recipient country will suffer a welfare loss, even though it reduce its trade balance, and despite it is having a comparative advantage in production in the sector in which direct foreign investment takes place. Traditional analysts have tended to focus somewhat disproportionately on the effect of direct foreign investment on the trade balance, assuming that improvement in the trade balance inevitably implied improvement in the welfare. The use of a properly micro-founded two country model allows this orthodoxy to be challenged.
An Empricial Investigation Of Service Quality And Customer Safisfaction In Professional Accounting Firms: Evidence From North Cyprus Business organizations make considerable use of professional services. However, it has received less attention in the context of professional business services than of other consumer services in general. This study represents an empirical assessment of service quality and customer satisfaction in professional accounting firms operating in North Cyprus. The general purpose of this study was to examine the potential of SERVQUAL, an instrument frequently employed to assess the quality of consumer services, in professional accounting firms and to identify those managerial actionable factors that impact customer satisfaction. In addition, the study explored the relationship among customer satisfaction, service quality, firm image, and price of service rendered.
The results of the empirical study indicate that (1) the SERVQUAL instrument with five-dimension provides good measurement of service quality in the context of professional accounting business; only one (i.e., empathy) out of five dimensions of SERVQUAL were statistically significant related to customer satisfaction, (2) service quality has a positive effect on customer satisfaction (3) firm image and the price service have positive impact on customer satisfaction, and (4) the price of service directly influences service quality. The impact on satisfaction from highest to lowest in order was, overall firm image, price compared to quality and service quality (empathy), respectively. This tells us the firm image is the most important factor to customer satisfaction, price next and service quality last from firms' perspective. From our empirical results, we may infer that the client believe that no matter which accounting firm they choose should have a certain degree of service quality guaranteed in the highly competitive battle field.
Economic performance and political outcomes: An analysis of the Turkish parliamentary and local election results between 1950 and 2004 The results of twenty-five Turkish elections for parliament and local administrations between 1950 and 2004 are studied. Turkish voters are found to take government's economic performance into account but not look back beyond one year. Furthermore, they are found to hold the major incumbent party responsible for both growth and inflation but minor incumbent parties, only for inflation. Also, they appear to vote strategically, especially in local and parliamentary by elections, to diffuse power. Finally, all parties exhibit a steady depreciation in their political capital while in office. These conclusions are essentially in conformity with the literature on other countries.
The costs of inward direct foreign investment to developing countries In this paper a two-country general equilibrium extension of the Stockman -Lucas equilibrium exchange rate model is developed. This optimizing framework gives the opportunity to analyse the e? ect of foreign direct investment on trade and welfare of both the investor and the recipient countries. It is shown that, contrary to conventional wisdom, it is likely that the recipient country will su? er a welfare loss, even though it may improve its trade balance, and despite it having a comparative advantage in production in the sector in which direct foreign investment takes place. Traditional analysts have tended to focus somewhat disproportionately on the effects of foreign direct investment on the trade balance, assuming that an improvement in the trade balance inevitably implied an improvement in welfare. The use of a properly micro-founded two-country model allows this orthodoxy to be challenged.
Macroeconometric  Models for Turkish Economy The study presents the specification and estimation of TURKPOL( Turkish Economic Policy Model) , a macroeconometric model for Turkey. It consists of 13 behavioral equations. The model TURKPOL combines Keynesian and neoclassical elements. The model is based on Keynesian macroeconomic theory in the sense of conventional IS-LM /aggregate demand- aggregate supply models. The supply side incorporates neoclassical features. The model contains behavioral equations for the money market, foreign exchange market, factor demand, imports, consumption and labor supply. The public sector contains equations for net tax revenues and government expenditures on goods and services. Expectations are assumed to be adaptive. This is modeled by using the partial-adjustment dynamic specification that is including the lagged dependent variable in almost all behavioral equations. The inclusion of lags is also justified by the existence of adjustment costs. The model is based on quarterly data and the model is able to take better account of short-term developments in key variables.
Common Features and Stylized Facts in Turkish Macro Economy The question of importance of the common features in macroeconomy particularly in real business cycle studies is by now widely understood and manifests itself in numerous studies. On the other hand, in spite of the abundance of studies focusing on developed economies, there has been very few works related to developing countries. This paper attempts to fill this gap, at least to some extent, by using quarterly observations on consumption, investment and output in Turkey to investigate both the stylized facts and the common features. The methodology is based on the multivariate structural time series framework. Empirical results indicate that these aggregates do not have a common cycle; however, a common slope with smooth trend is not rejected indicating that the series are linked with cointegration of type CI(2,2).
Research and Development Expenditures Relationship of Economic Growth Main factor is technology that enable production factors operate efficiently and reflect to the production process. Development of technology is only possible with research-development (R&D) activities. Increasing of R&D expenditure give rise to technology, in the production process, getting stronger and more productive. Increasing productivity reflects in economy as increasing gross domestic product (GDP). Moving this point this study analyzes realtionship between R&D expenditures and economic growth of chosen OECD members in the frame of causality analysis since 1970s. The technology, one of the dynamics of economic growth, is discussed on the basis of new internal growth models that accept technology as the engine of economic growth. This study, involves an analysis examining whether economic growth depends upon R&D expenditures both in the short and long run for chosen OECD countries, emphasizes the importance of technology for economic growth. Findings obtained from study demonstrate that there exists causality relationship between R&D expenditures and economic growth.
Estimation and Testing for Cointegration: A Spectral Regression Approach A popular topic in the econometrics and time series area is the cointegrating relationship among the components of a vector autoregressive time series. The problem became important after the work of Engle and Granger (1987) and has been addressed by many authors: Johansen (1988), Stock and Watson among many others. Engle and Granger's least squares method and Johansen’s conditional maximum likelihood method have received the most attention. These tests are routinely applied to economic time series because the notion of cointegration has a naturel interpretation. Our method uses low frequency components of the cross periodogram to estimate the cointegration relationship between cointegrated time series. The method improves on the ordinary least squares method proposed by Engle and Granger in some cases.
The Investment Tax Credit and Irreversible Investment We examine the impact of random changes in investment tax credit (ITC) policy on the irreversible investment decisions of a monopolistically competitive firm facing de- mand uncertainty. We examine the impact of increases in risk and changes in persistence in the ITC policy on investment behavior. Our results indicate that a temporary ITC (lower policy persistence) has implications for both the level and volatility of investment. Lower policy persistence increases the variability of investment both in the short and the long run. It lowers investment in the short run and may even lower it in the long run as well. Thus, perhaps surprisingly, a temporary ITC does not always lead to higher investment but almost always leads to more volatile investment. Policy-makers may thus face a long-run trade-off between the level and the volatility of investment. We also find that increases in risk defined in terms of first-order stochastic dominance and mean-preserving spreads may lead to lower investment.
Asymmetric Exchange Rate Pass-Through to Import Prices: A Bi-variate Non-Linear Model Existing literature of exchange rate pass-through (EPT) to import prices suggests two types of asymmetries. It is possible that exporters adjust prices differently in the case of exchange rate appreciations than depreciations. It is also likely that the degree of EPT might depend on the size of exchange rate changes. This study aims to model the possible EPT asymmetry by using Smooth Transition Regression (STR) models, which are flexible enough to capture both types of EPT asymmetries. Our results show that the asymmetric and incomplete EPT of US import prices can best be described by the exponential STR model.
Innovation and Relationships in an Organized Industrial District: Ankara Sincan Industrial District Organized Industrial Districts and Small Scale Industrial Estates are important regional development tools that have been extensively utilized by the Turkish authorities as part of Turkish industrialization programs, with varying degrees of success. The empirical part of the study is carried out in Ankara, Sincan Industrial district. The study investigates the intra- and inter-firm relationships, and its possible implications for firm level innovation activity. In the first stage of this study, the purpose is to explore vertical I/O (input-output) interfirm links and social relations. For this end, a survey is employed to 86 firms engaging in machinery and equipment sector. 79 firms reported innovation activity. In the second stage, the target is to reveal the determinants of innovative activities. Two general findings are noteworthy. First, the existing interfirm relations and other social relations are not well-established for achieving successful innovations rather they hinder the possibilities for success. Second, the determinants of product and process innovations are different as envisaged at the beginning of the study.
Variance-Reducing Incentives for Labor Contracts This study aims to propose a model for incentive contracts that target to reduce the output variance. It is a general type of various models suggested in the literature in this framework. The most important contribution of the proposed model is that a variety of observed contracts, for instance bonus plans and stock options can be derived from it by varying the assumptions about the observability of the variance-reducing actions and about the agent’s degree of risk aversion. The conclusions suggest that one should not disregard the relevance of variance-reducing actions because disregarding them misleads us about the characteristics of the optimal contract and an inefficient choice of methods to handle moral hazard problem.
Regional Effects of Terrorism on Economic Growth in Turkey This paper analyses the effects of terrorism on economic growth across provinces of Turkey for the time period 1987-2001. Following a traditional global regression analysis, spatial variations in the relationships are examined with geographically weighted regression (GWR) to reveal some geographical variations in the results. Empirical findings suggest that there is a considerable variation in speeds of convergence of provinces, which cannot be captured by the traditional beta convergence analysis. Even though the traditional convergence analysis suggests that terrorism hinders economic growth, its provincial effects are more pronounced for the Eastern and South Eastern provinces compared to the Western provinces
Time Varying Preferences of the Federal Reserve Given the state of the economy, we estimate the time varying preferences of the Federal Reserve for the three administrations. Our methodology also allows us to derive the preference shocks. We find that the weight of the output gap in the loss function converges to zero over time, implying that output gap is important as long as it affects the inflation dynamics. There is one time discrete change in policy preferences during the Volcker administration, while Greenspan period is silent in that sense. Finally, and importantly, it is possible to generate almost identical interest rate even without imposing interest rate smoothing incentive on the loss function.
Unit Roots or Structural Breaks?: Making a Sense of It All The distinction between unit roots and structural breaks is quite difficult since not accounting for one while testing for the other will lead to wrong inference. That is why the research on unit roots and structural breaks moved in the direction of combining the two under a joint null hypothesis (Banerjee et al, 1992; Sen, 2003). Despite having positive effects on the power and size, the joint hypotheses leave the practitioner with a blurry picture on the actual cause of the rejection.
In this analysis, we propose an alternative test statistic that not only gives the exact answers to the stationarity property of the time series but also detects structural breaks. Our research is a very convenient one-stage procedure that tests the joint null of Sen (2003), deriving pseudo-critical values to differentiate between different alternative hypotheses. By exploiting the relevant properties of the J and F tests, we integrate a test statistic that can specifically address the source of deviation in the general alternative. In other words, we distinguish between the exact sources of the rejection of the null since the values of the statistics are ordered from large to small in the order of stationary - no break, unit root - no break, stationary - break, unit root - break. Monte Carlo results show encouraging power and size properties of our modified F-test. Finally, we present the test results on the widely used Nelson-Plosser (1982) macroeconomic data.
A Game Theoretic Model For The Impact Of Innovative Products On Market And Long-run Cost Structure Of The Firms In Globalization And The New Economy Order Technological developments in information and communication sectors combined with globalization caused a transformation process that is similar to the one experienced during the industrial revolution. The ones who predict the direction of this transformation and successfully adopt themselves to the new environment become stronger. The continuous change in the new environment is eliminating the institutions resisting to the change before they are able to observe the consequence of these developments, which necessitates synchronization with these changes.
This paper investigates this process and the behavior of the firms by constructing a Cournot type game theoretic model that uses Rogers diffusion of innovation theory. The model incorporates the accelerated product innovation process due to technological changes, globalization, and interaction of firms in competitive environment to predict the possible cost structures of the firms. The model in this paper confirms the expected results that innovator firms gain when adopting innovative products. In addition, there are also surprising results that provide evidence that even in globalization, under some circumstances neither consumers nor firms will benefit from this new transformation process.
A Theoretic Analysis About The Detection Of Outliers Using T-Statistics Of Dummy Variables In the current literature, the t-statistics of dummy variables are used to detect outliers. This paper illustrates that this method is not always successful to detect the outliers using an example data with observation generated for this purpose. In addition, this paper suggests a robust statistics that is easier to calculate for replacement to t-statistics.
On The Importance of Verifying Forecasting Results We discuss the various sources of error in numerical computations with the use of examples from the literature relevant to time series analysis. We also submit a case where, by manual verification, we were able to discover a plausible forecast to be erroneous due to a number of software flaws in the XLSTAT addin for Microsoft Excel. Furthermore, after discussing the alternative techniques for implementing on a computer the ARIMA (AutoRegressive, Integrated, Moving Average) methodology,we show that different approaches can cause considerable discrepancies in the results across different programs and even within a single software system.
Global Credit Crisis and Its Effects on Emerging Market Economies Triggering de-leverage position by global financial institutions has raised the cost and reduced the availability of external financing, and investor risk appetite has decreased, reducing the demand for emerging market assets. This issue was first tackled analytically by Guillermo Calvo in a paper published in 1998, in which he explained how the abrupt and unexpected disappearance of foreign financing could entail a major adjustment in exchange rate. Expectations for decoupling of emerging market countries from mature markets have diminished in the global financial turmoil. Thus emerging market sentiment gradually deteriorated. Now emerging market policymakers are coping with a global U or L shaped slowdown of growth, the risk of capital reversals and rising cost of capital.
Protective measures that countries can take themselves (self-insurance) include stability and market oriented monetary and rule-based fiscal policy, reducing weak financial and corporate sector balance sheet problems in one sector can spill over into other sectors, often snowballing in the process, and adequate reserve coverage with IMF program.
Sound macroeconomic policies and supporting better institutional commitment have positive effects on sovereign spreads thus lowering vulnerability. Maturity, currency mismatches and capital structure mismatch that relying on short term debt left balance sheets vulnerable to rollover risk and interest rate shocks. Strong balance sheets protect against real as well as financial shocks. Governments should limit their contingent claims that causing debt to GDP ratio exploding. In addition to emerging market economies that vulnerable to rapid shift in sentiment need to address their own balance sheet risks by building more reserve against shocks.
Factors Influencing Relative Prices between Goods and Services Sector in Turkey: An Econometric Analysis Upon difficulties faced by the Central Bank of Turkey (CBT) in attaining inflation targets, diverging movements in goods and services sectors prices, two components of the CPI basket, have drawn particular attention. However, both theoretical and quantitative studies on this issue have remained rather limited in developing as well as advanced countries. This distortion in relative prices, which is more commonly observed in advanced countries, has made itself salient also in Turkey, particularly during the periods of disinflation. The present study is an attempt, despite limited availability of studies in the relevant literature and scant data relating to the sector of services, to clarify these diverging price movements observed in by a VEC model. Relative price movements were explained by referring to economic factors including inter-sectoral productivity differences, transmission from exchange rate, exposure to global competition and finally rising demand for the services sector running parallel to improvements in the level of welfare. Our empirical study concluded that there is a long-term relationship between relative price series and economic factors recognized in literature. It was found, in particular, that exchange rate and differences in productivity levels have their significant share in accounting for relative price movements. In this context, we think that our findings have relevance for an inflation-targeting central bank which has to estimate inflation while taking pertinent policy measures.
Current account dynamics and oil prices This study examines the short-run effects of oil prices on current account dynamics of the Turkish economy for the last decade. Such an analysis is important mainly for two reasons. First, the Turkish economy, despite having high economic growth rates for short periods of time, cannot ensure a sustainable output growth path. Second, current account deficit continues to be one of the main fragilities in the economy. Therefore, given the dependence on energy imports, increasing oil prices of the last decade has the potential to affect both growth and the current account balances. This paper handles this issue by two different approaches. First, we utilize a structural vector autoregression model and analyze the effects of oil prices both on current account and output gap.
Second, we adopt a Markov-switcihing regime approach and test whether the impact of oil prices on current account change over time. The results indicate that current account dynamics can be successfully explained within a structural model, where oil prices, output gap and exchange rate misalignment take place as the explanatory variables. In addition, oil price shocks are found to play an important role when the current account deficit exceeds a threshold of 3% of the gross domestic product.
Efficiency Analysis of Forest Enterprises: Evidence from Turkey This study aims to investigate efficiency performance of forest enterprises of Turkey in order to explore the enterprise-specific and external factors effecting production efficiencies, and produce policy recommendations to enhance the efficiency level of forest enterprises. This work is the first attempt to measure and understand the extent of efficiency in Turkish forest enterprises by using SFA. We surveyed and obtained quite detailed data on 217 forest enterprises in different regions of Turkey. Efficiency performance of 217 forest enterprise of Turkey is examined for the years 2002-2006. Panel estimation of production frontiers by using the translog specification showed that there are large statistically significant efficiency differences among the enterprises in different regions of Turkey. We also found that sylvicultural activity, forest wealth of the enterprise, the ratio of productive forest area, early-production, R&D expenditures and the number of forest fires effect efficiency of the enterprises positively.
MODELLING R&D INVESTMENT DECISION OF ISE LISTED FIRMS: A SAMPLE SELECTION APPROACH There are a large number of studies on the drivers of R&D investment, only a few of them deal with selection bias problem resulting from performers not being a random sample from the population of firms. As, most of the firms especially in developing countries like Turkey, do not invest in R&D due to market failures and underdeveloped financial markets, support policies that induce them to overcome this first obstacle also play a critical role. This paper studies the drivers of R&D activities in non-financial firms listed at Istanbul Stock Exchange by using a panel data at the establishment level for the 1998-2007 period. Our findings suggest that although SMEs are less likely to conduct R&D, they spend proportionally more on R&D than the LSEs do. Moreover, public support has a strong effect in raising R&D intensity of R&D performers.
Productivity Differentials between Formal and Informal Firms in Turkey The informal sector constitutes a large share of employment and output in all developing countries. Although the informal sector is regarded by many researchers and policy makers as a source of employment developing countries desperately need, there is ample evidence that documents that informal firms are less productive, employ unskilled labor, and pay lower wages. This study analyzes the sources of productivity difference between informal and formal firms in Turkey. Since the data on the informal sector is likely to be noisy, we use two different approaches to analyze productivity differentials: firm-level analysis and individual-level analysis. In the case of firm-level analysis, we estimate and compare productivity levels of informal and formal firms by using matching propensity score and switching regression methods. In the case of individual-level data, we compare wage differentials between informal and formal wage workers by estimating a multinomial selection model.
Our findings indicate that there is a significant productivity gap between informal and formal firms, and a wage gap between informal and formal workers. Moreover, the hypothesis that more educated entrepreneurs and workers move to the formal sector is supported by the data. This process of self-selection contributes to widen the productivity gap between informal and formal firms.
The theories of life-cycle and learning are also supported by our findings. Older (i.e., more experienced) firms tend to operate in the formal sector. However, the relationship between informality and age is U-shaped for entrepreneurs and workers. Even after controlling for all these factors (self-selection, differences in endowments, and learning), the productivity gap does not disappear.
The findings suggest that there is a substantial but untapped potential to increase productivity in Turkey. The productivity effect of operating formally is higher for services, but we may expect that a large number of informal service firms could not survive if they operate formally.
The Impact of Oil Price Shocks on the Economic Growth of Selected MENA Countries This paper examines how oil price shocks affect the output growth of selected MENA countries that are considered either net exporters or net importers of this commodity, but are too small to affect oil prices. That an individual country's economic performance does not affect world oil prices is imposed on the Vector Autoregressive setting as an identifying restriction. The estimates suggest that oil price increases have a statistically significant and positive effect on the outputs of Algeria, Iran, Iraq, Kuwait, Libya, Oman, Qatar, Syria, and the United Arab Emirates. However, oil price shocks do not appear to have a statistically significant effect on the outputs of Bahrain, Djibouti, Egypt, Israel, Jordan, Morocco, and Tunisia. When we further decompose positive oil shocks such as oil demand and oil supply for the latter set of countries, oil supply shocks are associated with lower output growth but the effect of oil demand shocks on output remain positive.
DISINFLATION IN TURKEY: Where did all the welfare gains go? Following Bailey (1956), this paper analyzes the welfare gains from disinflation in Turkey in the first decade of the 21st century. The estimates of the welfare gain exceeds the real output gains during the period that is likely to arise from allocative inefficiencies. The analysis implies that further structural and institutional reforms are necessary to transform the benefits of price stability into sustainable development.
Short vs Long Run on Optimal Public Dept/GDP This paper explores the nexus between the public debt/GDP and the GDP growth rate relationship. We analyze both long run averages, as well as short term developments. Our analysis for the long run (20 year averages) (99 countries) found several findings. First the data clearly points out that there is a public debt/GDP threshold whereafter coiuntries grow slower. This threshold is 77% for all countries taking into account income differences. If the regressions are run for only emerging markets we find this rate to be 64%. After this rate, if the country increases debt/GDP ratio, say from 80% to 90%, we expect a decline 0.1% decline in their growth rates.
In the short term (5 year averages), the relationship is less clear. The evidence for threshold is murky. However, for the emerging markets(including Latin American countries) we find this to be around 25%.
After this we expect growth rates to decline. For the rich countries, this threshold in the short term is 100%. We analyze also several factors, inflation, institutions, trade opennes for understanding these relationships.
Spatial Econometric Analysis of Regional Convergence and Growth in Turkey This study aims to investigate the presence of convergence among the provinces of Turkey by utilizing spatial econometric methods. The Solow-Swan growth model that explains the beta-convergence shows whether GDP per capita in Turkey tends to converge, i.e. whether the provincial differences tend to dissolve. For that purpose, starting with the non-spatial model estimated by Ordinary Least Squares method, six spatial econometric models estimated by Maximum Likelihood are utilized in the study. The spatial Durbin model is selected based on a comparison among all of the models and this model's coefficients are observed to be significant. This implies, an increase in GDP per capita in a particular province is explained by its own GDP per capita as well as its neighbors' GDP per capita at the initial year. The negative and significant beta parameter implies that there exists convergence among the provinces, explained by the spatial effects. Relatively poorer provinces tend to converge to the other provinces thanks to the technological development; yet this dynamic is said to be directly affected by the neighboring regions.
Military Expenditures, Economic Growth and Spatial Spillovers : A Global Perspective The relationship between economic growth and military expenditure has been the subject of a large literature in defence economics. There are alternative arguments concerning the growth effects of military expenditure and each of these arguments is empirically supported. However there is no agreement regarding the question of how and in what respects military spending affects economic growth. The economic growth effects of military expenditures have generally been examined in a cross-country framework where socio-economic differences among the countries and spatial dependence are ignored. This study analyses the influence of military on economic growth in a global perspective for the time period 2000-2008 taking spatial dimension into account. Both the augmented Solow defence  growth and the Feder Ram models have been employed to investigate the defence  growth nexus globally. Following a traditional regression analysis, spatial variations in the relationships are examined employing spatial error and spatial lag models taking regional interdependencies into account. Empirical evidence suggests that the spatial lag model is preferred by the model selection criteria, indicating that the typical least-squares model is misspecified. Moreover military expenditure has a positive effect on economic growth.
The Structure of Exports in Turkey: A Sectoral Analysis This study assesses how the growth rates of Turkish trading partners affects Turkish exports in various sectors for the period 1996:01 to 2009:12. To achieve this, the exports are divided into sectors and the destination countries and the export demand for each sector are modeled separately. Each model is estimated as system of equations that each equation in the system is for a particular country by using seemingly unrelated regression method. The empirical evidence suggests that Motor Vehicles, Basic Metal and Radio Television appear as the sectors with the highest income elasticities of most of the analyzed countries, whereas Food Products sector exports has the lowest income elasticity. For the second stage of the paper, simulations on the effect of a one percent increase in the growth rate of each country on Turkish exports were performed. Simulation results suggest that the market diversification of exports is limited to EU countries.
Forecasting Turkish Economy: An Open Economy DSGE Model In this study, we analyze a Small Open Economy (SOE) Dynamic Stochastic General Equilibrium (DSGE) model for Turkey. DSGE models can be used by the central banks during the policy making process. The open economy DSGE model is designed to forecast the key macroeconomic variables of the Turkish economy such as the growth rate of gross domestic product, inflation rate, and the nominal interest rate. We use the hybrid BVAR-DSGE or DSGE-VAR model which combines the theoretical information coming from a DSGE model with a vector autoregression (VAR) model of Bayesian method of estimation. Our estimations are based on quarterly data over the period of 1987:1 – 2011:4. The study discusses the model, estimated parameters, and the forecast results of the DSGE-VAR approach in an attempt to evaluate different scenarios for the Turkish economy over the next few quarters.
Measurement of Corruption: (Why) Do we need new approaches? It is difficult to measure the extent of corruption because of the secret nature of corrupt transactions - particularly in the case of grand corruption. Still, there are survey-based corruption-perception indices measuring perceptions about prevalence of corruption in different countries, such as the corruption control index in the World Bank's WGI or ICRG's corruption index. Corruption-perception indices tend to focus more on petty corruption than grand corruption. Still, availability of these allowed the number of empirical to mushroom, seriously boosting our understanding of corruption and its economic effects. There's now a large consensus about the strong negative correlation between "economic growth"/"per capita income level" and prevalence of corruption in a country. There's however mixed evidence concerning the direction of causality between "economic growth"/"per capita income level" and prevalence of corruption.
Regressions often produce different results - leading possibly to different policy lessons - depending on which corruption index one is using (correlation between them is not perfect -perhaps naturally due their perception-based nature) In this talk, I discuss if we could (or should) complement available measures with others, by using inferences made about corruption based on directly observed phenomena - in the same fashion as inferences made about the size of unregistered economy and the volume of undocumented transactions in a country based on differences between official estimates of the GDP and the size of GDP implied by energy consumption figures, money supply etc.
Causes of Savings Gap in Turkey and Its Macroeconomic Reflections In this study the development of recent savings ratio of public and private sector is analysed. After the global crisis causes of private sector's savings gap are tackled as the main reason of savings gap. In this framework data of household savings and production structure of Turkey's becoming gradually depending on importation are studied. Price regulations and increase of taxation in order to prevent public savings gap that accrued recently are also evaluated within this scope.
Consumer Choice and Local Network Effects in Mobile Telecommunications The aim of this paper is to analyze the extent of network effects in mobile telecommunications markets in Turkey, and to identify other determinants of consumer choice based on consumer survey data. This study shows that there are regional disparities in the adoption of network services in Turkey, and different networks are more competitive in different regions. The results show that local network effects are significant for consumer choice. This finding means that consumers are more likely to be affected by the choices of other people within their local area than by the overall size of a network. Furthermore; local network effects also outweigh macro network effects at least in Turkey.
Procurement Efficiency in Public Procurement Auctions: Analysis of Different Types of Products Different types of products are procured in government procurement auctions. This paper empirically analyzes the effect of competition (number of bidders) on procurement price of different types of products. In other words, we investigate the optimal number of bidders which minimizes procurement costs in auctions for services, goods and construction. We use a unique data set provided by the Public Procurement Authority (PPA) of Turkey that covers all government procurement auctions for the years 2004-2009. This paper has three major results. First, after controlling for possible endogeneity, we show that the number of bidders signiffcantly and negatively affects the procurement price. Thus, existence of a more competitive environment signiffcantly decreases procurement costs in Turkey. Second, when auctions are open to foreign participation, the auction price tends to be lower. This is caused by an increase in the competitiveness of the auctions; detailed analysis of bidder participation to Turkish procurement auctions shows that number of bidders is significantly higher when auctions are open to foreign participation. Finally, the optimal number of bidders to take the full advantage of competition differs among auctions for different types of products. At least eightbidders are needed for services, seven for the goods sectors and at least thirteen bidders are required to be able to achieve the lowest procurement price possible for the construction auctions. The results of this paper has several policy implications for effcient procurement design.
The Growth Of Cities And Its Determinants In Turkey This paper examines city population growth and determinants of city growth in Turkey over the 1980-2007 period. The differences in city size in Turkey might well be explained by the internal factors such as economical, sociological, geographical, historical, and other external factors that the cities have. Depending on these factors, some cities grow either faster or slower, while some other cities become smaller. In the light of this, the main aim of this study is to determine what sort of growth cities show, and determine the main factors of growth, and to investigate the effects of these factors on growth. In this context, first of all we examine population distribution in the cities over time by using Zipf's Law and Lorenz curve approaches. Afterwards, we estimate the effects some possible factors such as specialization, competition, agglomeration, health, fertility rate, geographical location and spatial effects on the growth rates of the cities by using regression analysis. By taking the results of the study into consideration, some policy recommendations are given.
An asymmetric analysis of the relationship between oil prices and output: the case of Turkey In this paper we analyze the asymmetric impact of oil price changes on economic activity in Turkey. In contrast to previous studies on Turkey, the existence of an asymmetric relationship between economic activity and oil prices is investigated by regime-dependent impulse response functions and forecast error variance decompositions based on a multivariate two-regime Threshold VAR (TVAR) model. Our analysis suggests that the relationship between oil prices and macroeconomic activity is nonlinear and exhibits an asymmetric pattern: oil price changes have a significant effect on inflation and output when the change exceeds a certain threshold level. The lower response of macroeconomic variables to oil price shocks in the low oil price change regime also indicates that only the shocks exceeding the optimal threshold level are able to create a contraction in the economic activity.
Modelling Nonlinearities In European Money Demand: An Application Of Threshold Cointegration Model The money demand function has been regarded as a fundamental building block in macroeconomic modelling, as it represents the link between the monetary policy and rest of the economy. The extensive literature on money demand function is concerned with the existence of a stable money demand function, which ensures adequate prediction of impact of a given change in money supply on other economic variables such as, inflation, interest rates, national income, private investment and other policy variables. This study employs both linear and nonlinear estimation methods to investigate the relationship between money demand, GDP, inflation and interest rates for the Euro Area over the period 1980-2010. First a vector autoregression (VAR) model has been estimated. Then a threshold cointegration model has been employed and nonlinearity properties of the money demand relationship has been investigated. In contrast to the existing empirical literature, linear VEC model can find evidence of stability, however it has some conflicting results which can be explained by the nonlinearity of the model. Empirical results of MTAR type threshold cointegration specification verifies the nonlinearity in European money demand. The adjustment coefficient of lower regime suggests faster adjustment towards long run equilibrium compared to upper regime in nonlinear model. Moreover, the nonlinear model presents better fit to economic literature than linear model for European money demand.
The Estimation of the Dynamics of Crude Oil Demand by Using the Bootstrap Method: The Case of Turkey By using a time series oriented advanced bootstrap estimation technique, we analyze the evolution of the price and income elasticities of import demand for crude oil in Turkey between 1996 - 2011. The results demonstrate the dynamic nature of the oil demand function, which cannot be observed by using the traditional estimation techniques. Our approach provides a useful tool for policy makers to estimate a wide range of macroeconomic problems in the world of rapidly changing economic conditions.
Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test In this study, we re-examine the PPP hypothesis in the light of the new developments in the unit root testing literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear behavior. A unit root test applied to analyze the PPP hypothesis therefore, should also take into account this asymmetry inherent in the real exchange rate. Different unit root tests that consider the presence of these data features have been developed in the time series literature. However, a true attempt to test the PPP hypothesis should take a panel data approach. To this end, we propose a nonlinear heterogeneous panel unit root test where the alternative hypothesis allows for symmetric or asymmetric exponential smooth transition autoregressive nonlinearity and provide its finite sample properties. We apply our test to the real exchange rates of the 15 European Union countries against the US dollar. While the results of the linear and symmetric nonlinear heterogeneous panel unit root tests are against the PPP hypothesis, the asymmetric nonlinear heterogeneous panel test that we propose gives support for the PPP hypothesis as expected. Therefore, the conclusions drawn from the linear panel unit root tests or the nonlinear panel unit root tests that do not take asymmetry into account might be misleading.
Inflation and inflation uncertainty: A dynamic framework This paper aims to investigate the direct relationship between inflation and inflation uncertainty by employing a dynamic method for the monthly country-region-place United States data for the time period 1976-2007. While the bulk of previous studies has employed GARCH models in investigating the link between inflation and inflation uncertainty, in this study Stochastic Volatility in Mean models are used to capture the shocks to inflation uncertainty within a dynamic framework. These models allow researchers to assess the dynamic effects of innovations in inflation as well as inflation volatility on inflation and inflation volatility over time, by incorporating the unobserved volatility as an explanatory variable in the mean (inflation) equation. Empirical findings suggest that innovations in inflation volatility increases inflation. This evidence is robust across various definitions of inflation and different sub-periods.
Testing for Granger causality in heterogeneous mixed panels In this paper, we propose a simple Granger causality procedure based on Meta analysis in heterogeneous mixed panels. Firstly, we examine the finite sample properties of the causality test through Monte Carlo experiments for panels characterized by both cross-section independency and cross-section dependency. Then, we apply the procedure for investigating the export led growth hypothesis in a panel data of twenty OECD countries.
Forecasting Industrial Production Growth with Factor Models: Case of Turkey We analyze the forecasting performance of factor models for Turkish industrial production growth. A critical issue in the case of forecasting with factor models is to determine number of factors that will be used in the forecast model. We evaluate the performance of models when we choose the number of factors using information criteria developed by Bai and Ng (2002) in a pseudo out of sample forecasting exercise. In this framework, number of factors can change from a period to the next. In addition to using information criteria, following Stock and Watson (2002), we analyzed the performance when we keep the number of factors same for each period. Another critical issue in the case of multi-step ahead forecasting is using direct or iterative approach. As suggested by Marcellino, Stock and Watson (2006), iterative forecasts are more efficient if one-period ahead model is correctly specified but direct forecasts are more robust to model misspecification. In this respect, we test empirically how the performance changes depending on the multi-step ahead forecasting approach. Finally, as shown by Stock and Watson (2003) combination of forecasts may perform better than individual forecasts. In this respect, we compare the performance of pooling forecasts from bivariate models with that of the factor model.
A Regime-Dependent Assessment of the Information Transmission Dynamics between Oil Prices, Precious Metal Prices and Exchange Rates We use the Bayesian Markov-switching vector error correction (MS-VEC) model and the regime-dependent impulse response functions (RDIRF) to examine the transmission dynamics between oil spot prices, precious metals (gold, silver, platinum, and palladium) spot prices and the US dollar/euro exchange rate. Using daily data from 1987 to 2012, two regimes (low and high volatility regimes) appear to be prevalent for this system. We find evidence that among the five commodity prices the gold prices are the most informative in the group in the high volatility regime, while gold, palladium, and platinum are the most informative in the low volatility regime. Though the platinum and palladium prices impact each other, the impacts in the high volatility regime are asymmetric. In addition to its low correlation in the group, palladium's negative impact on the exchange rate and gold makes it a reliable hedge asset for investors. Gold is the least volatile variable, thus affirming its use as a "safe haven" asset, while silver and oil are the most volatile in the group. Understanding the dynamics of these commodity price should help investors decide how to invest during periods of low vs. highly volatile regimes.
The Dynamics of Road Energy Demand and Illegal Fuel Activity in Turkey We expose the dynamics of fuel demand by examining demand functions at intervals much shorter than those attempted in the previous studies. To accomplish this, we employ maximum entropy resampling based interval estimates in a fixed width rolling window framework. Our approach does not only facilitate the use of a uniform specification in a sequential procedure but also provides robust and efficient estimates that can evolve over time. In order to demonstrate our methodology, we use monthly data between January 2003 and December 2012 and focus on the demand for diesel and gasoline in Turkey. Despite the large price fluctuations, our sequential estimates yield remarkably stable long-run price elasticities averaged at -0.16 and -0.20 respectively. We also obtain robust results showing that the income elasticities of the both fuels display asymmetric responses to negative or stagnant GDP growth. Ours is also the first study to develop a method for estimating illegal fuel activity. The results show estimated monthly illegal activity ranging from approximately 4 to 20 million liters for diesel fuel and from 0.5 to 2.7 million liters for gasoline, which results in a total tax loss of 1.3 billion US dollars over the last six years in Turkey.
The Effects of Maternal Employment and Non-Parental Child Care on Early Childhood Development This work analyzes the impacts of maternal employment and non-parental child care on the health and cognitive development of children in early childhood. For this purpose, hybrid health and cognitive achievement production functions are estimated within a dynamic framework using a two-step system Generalized Method of Moments (two-step system GMM) estimator. Nationally representative data from the Early Childhood Longitudinal Survey-Birth Cohort (ECLS-B) which provide information on child nutrition, parenting style, and home and child care environments are used to create home and non-parental child care quality indices. The results show that a high quality home environment reduces the risk of childhood obesity, being overweight, and behavior problems and also improves a child's general health status and cognitive achievement. In addition to these, high quality out-of-home child care improves cognitive development and reduces behavior problems. High quality non-parental in-home child care significantly reduces a child's risk of being overweight. More maternal hours of works increases the childhood obesity risk while decreasing behavior problems and improving general health status of the child. Another important finding is that childhood obesity significantly reduces cognitive achievement. Including quality variables in the estimations alters the magnitude and significance of maternal employment and child care variables. Additionally, the quality variables have theoretically expected signs when the GMM estimator is used to control for unobserved heterogeneity.
The Relationship Between Energy and Economic Growth: An Empiricial Evaluatin On Central Asian Countries and Azerbaijan Many countries need energy for economic development and growth. Thus, it is vital to secure enough energy resources to sustain economic growth. In 1990's after the collapse of Soviet Union, the countries in Central Asia and Azerbaijan gained their new position in the international system as new independent states and they have gone into a new process with becoming integrated to global economy via international trade and energy channels. At the end of the separation process from Soviet Union, even these countries did not have industrial power, they had very rich energy resources that have been pusher factor on their economic growth potential. Therefore, it is very important to investigate into the effects of energy use on economic growth in these countries. In this study, general nature of energy industry in countries in Central Asia and Azerbaijan reviewed under subtitles of production, consumption, reserves and exportation categories. Furthermore, the effect of energy use on economic growth is analyzed for panel of these countries by using Neo-classical Aggregate Production Model where capital, labor and energy are treated as separate inputs. Our empirical study indicated that the more energy use does not lead to more economic growth.
Comparing Alternative Factor Models for Forecasting: Case of Turkey In this paper, we compare the forecasting performance of factor models of Stock and Watson (2002) and Forni, Hallin, Lippi and Reichlin (2005) using a large panel domestic and international data. In the first approach factors are estimated by static principal components while in the second method factors are extracted by dynamic principal components using frequency domain techniques. In addition to the method that is used to obtain factors, forecasting performance may be influenced by the number of factors, data set size and multi-step ahead forecasting design. In this respect, we analyze the predictive ability of the two factor estimation methods for industrial production and core inflation for Turkish economy. We find that, similar to other studies in the literature, effect of factor estimation method is not very big.
How to Achieve Efficiency in Government Procurement Auctions?: Analysis of Optimal Bidder Participation This paper empirically identifies the optimal number of bidders to achieve the lowest procurement prices in public procurement auctions. We use a unique data set provided by the Public Procurement Authority of Turkey that covers all government procurement auctions comprising more than half a million observations for the years 2005-2012. We tackle the endogeneity of bidder participation through the instrumental-variable based two-stage residual inclusion approach. We show that there is an optimal number of bidders and this number varies for different types of products and that controlling for endogeneity is crucial. These results indicate that auctioneers should promote competition in public procurement and achieving efficiency might mean significant savings for the governments. The authorities can also use the optimal number of bidders identified in the paper as focal points to analyze whether competitive efficiency is achieved in the public procurement auctions.
Provincial Growth Convergence Analysis in Turkey: Spatial Econometric Extensions The main objective of this study is to investigate how spatial interactions across the provinces affect the growth convergence in Turkey throughout the 1991-2009 period. First, a comprehensive set of spatial cross-sectional models is employed to reveal the provincial growth convergence from 1991 to 2009. The results suggest evidences of absolute and conditional convergence across provinces with main driving forces being employment and human capital described by the high school graduates. Second, a methodological departure is provided by the spatial dynamic panel data models. The outcomes disclose structural differences in the 2002-2007 period in which the initially ineffective public and private investments turn out to be growth-promoting. On the contrary, the employment and human capital as measured by the university graduates could not mark significant differences in determining provincial growth as compared to the base period. Overall, the diagnostics and the model selection procedures suggest not only the validity but also the superiority of the spatial econometric methods in modelling the provincial growth convergence problem of Turkey. The outcomes verify that neglecting spatiality may cause not only disguised economic linkages among the provinces but also biased, inconsistent or inefficient parameter estimates followed by misleading inferences.
Population Growth and Productivity Differences and the Long Run Trade Equilibrium We study the closed-form autarky and trade solutions of a dynamic 2 × 2 × 2 Heckscher-Ohlin model in an overlapping generations setup with differing population growth rates across regions. Our analysis shows that differences in population growth rates give way to differences in relative good and factor prices, creating the basis for comparative advantages in the same way as suggested by the static Heckscher-Ohlin model. Furthermore, these comparative advantages last in the long run, thereby allowing trade to continue to occur even after the steady-state is reached. Our solutions reveal, however, that trade does not necessarily improve the welfare of both regions in the long run, implying that the demographically induced relative factor endowments alone may not be sufficient for trade to be mutually beneficial over time. The explanation we offer for this nicely complements previous studies that obtained similar results by using overlapping generations general equilibrium models within two region setups with steady populations. Extensions of the model which incorporate Ricardian productivity differences reveal that welfare effects of trade -and the design of compensation schemes that make trade Pareto-superior to autarky- would crucially depend on these productivity differences. Allowing for time-varying productivity differences generalizes this last result under the assumption that the capital-abundant region (representing today's advanced economies) has higher productivity levels in both sectors. Specifically, if productivity differences favor the capital-intensive sector more in the capital-abundant region over time, then what makes trade Pareto-superior to autarky in this region is a sufficiently large population growth rate. Put differently, Heckscher-Ohlin factor proportions and Ricardian productivity differences channels are complementary for trade to be Pareto-superior to autarky in both regions.
Time Varying Cointegration and Kalman Filter Despite its popularity in analyzing different kinds of time varying parameter models, the Kalman Filter (KF) technique has been overlooked so far in the literature on cointegration vector (CV) instability for two reasons: i) because it suggests a very specific (stochastic) form of time variation in the estimated parameters and may fail to capture more general models such as structural breaks, regime switches, etc., and ii) it is vulnerable to the problem of spurious regression because of its Gaussian error assumption and the imposition of a cointegrating relation without the test for it. We propose a method that address the latter issue and offers a reliable recovery of the instability in CVs. The results show that KF provides an encompassing estimation strategy to the estimation of CV whether it is time varying or not. Thereby, our methodology proposes a "universal" method of estimation for cointegrating vectors, suggests a method of testing for cointegration when the relation is time varying, and avoids the risk of spurious regression.
Democracy, Real Wages and Productivity After a seven year intermission Turkey went back to a "democratic" regime in 1987. We analyze the behavior of real wages and the plant-level productivity in the Turkish manufacturing industry in the aftermath of the transition to democracy. From 1988 to 1993, the average real wage rate in the manufacturing industry increased by 120%. An unprecedented TFP and labor productivity growth recorded in the manufacturing industry over the same period. These observations lead us to hypothesize that real wage increases forced firms to increase productivity to keep their competitiveness. Test results show that the causality runs from real wages to productivity. Our findings provide support for the "Democracies pay higher wages" hypothesis (Rodrik 1999).
Big Data Big data is data sets so large or complex that traditional data processing applications are inadequate..Big data means big opportunity for businesses and consumers. As the volume and variety of data increase at a rapid pace, the ability to successfully analyze the relevant data becomes increasingly important in order to unlock its significant value and transform the way businesses and consumers interact. For businesses, big data offers an opportunity to get a deeper understanding of their customers' attitudes, preferences, and behaviors and make every interaction more relevant, timely, secure, and profitable. For consumers, it is an opportunity to receive greater value through faster, more relevant, and personalized services from their banks,and other businesses.Many organizations use analytics, but big data is a different tool. It requires new technologies and new management approaches to facilitate fast, continuous decision making. Well- known companies in many industry sectors are experimenting with big data to optimize their operations and support development of new products and services.Research suggests that by 2014 the volume of data stored worldwide will reach 7,000 exabytes. Yet, only about 0.5% of this data is analyzed in any way. The vastness of big data differentiates it from business information that has traditionally been used for analytics. Big data is too voluminous for a single server, too unstructured for relational databases. Several new technologies exist to manage this information, but typically organizations need data scientists to manipulate big data. Big data demands new approaches to management and decision making that are evidence-based, fast, and support continuous decisions.There are several ways big data can be used to enhance a business, such as:
• Making routine business decisions faster. UPS uses big data to support real-time routing, which has saved the company around 85 million gallons of fuel.
• Developing new products and services. One of the most exciting applications for big data is new product development. Examples include the Nest thermostat and Monsanto's predictive planting service which is based on weather data analysis.
• GE already monitors more than 1,500 gas turbines, used for energy generation, from a centralized facility, so much of the infrastructure is in place for using big data to improve performance. The company estimates that it could get at least a 1% improvement in efficiency of monitored turbines from software and network optimization, better dispatching of service, and improved gas/power system harmonization. This may not sound like much, but it would amount to $66 billion in fuel savings over the next fifteen years. McKinsey had published the report about the future of big data, it suggests that at least 1.5 million data managers who can convert huge data into a meaningful form will be need in only USA.
U.S. Monetary Policy Normalization and Global Interest Rates As the Federal Reserve continues to normalize its monetary policy on the back of a strengthening U.S. economy, this paper studies the impact of U.S. interest rates on global interest rates. We measure spillover effects for a large group of countries, and find that (i) they are generally smaller than correlations would suggest, and (ii) they vary a great deal across countries. We distinguish between interest rate movements that surprise markets versus those that are anticipated, and find that most countries see greater spillovers from the former. We then distinguish between movements in the term premium and the expected path of risk-free rates, concluding that countries respond differently to these shocks. Finally, we explore the determinants of monetary autonomy using an interacted panel VAR approach. We find strong evidence for the role of exchange rate flexibility, capital account openness, but also a significant role for other determinants, such as dollarization of liabilities in the financial system, and the credibility of fiscal and monetary policy.
Current Account Dynamics in China: Nonlinear Unit Root Approach This paper is aimed to assess whether China's current account surplus is persistent in the long run by examining the time series behavior of current account balance to GDP ratio. Considering the fact that current account adjustment may follow a nonlinear process, we employ the nonlinear unit root tests proposed by Kapetanios et al. (2003) and Sollis (2004), which capture nonlinear dynamics and structural breaks in the data generation process. The results reveal that current account to GDP ratio is nonstationary, suggesting that current account balance of China is not on a sustainable path.
The Relationship between Energy Consumption and Economic Growth for Different Country Groups This study analyses the relationship between energy consumption and economic growth for 119 countries during the period of 1970-2015, classified into four groups regarding to the World Bank income ranking. The main purpose of this study is to find out whether the causality relationships change across different income groups of countries. For this purpose panel ARDL boundary approach and Granger causality test are used. The results of the study indicate that the casual relationship between energy use and economic growth differs depending on which income group country belongs to. We can conclude that, the feedback hypothesis is valid for upper-middle income group in the long run and high income group, while conservation hypothesis is supported for upper-middle income group in the short run and low-middle income group in the long run. Finally, neutrality hypothesis is valid for low middle income group in the short run and low income group.
A Review of Small and Medium Sized Enterprises (SMEs) in Turkey Small and medium sized enterprises (SMEs) constitute a major part of the economies of both developed and developing countries. SMEs play a very important role in the Turkish economy as well. They make up 91.9 percent of all enterprises, represent 78 percent of all employment and constitute 55 percent of GDP and 50 percent of total investment. Definitely, supporting the SMEs can provide a sustainable and balanced economic growth. Their integral role within an economy has become a source of inspiration for several academicians to study SMEs from different perspectives. This paper aims to categorize and summarize these studies. The fields of categorization are "Economic Growth, Finance and Risk, Management, Innovation, Supports, Industries and Globalization and Internationalization". Information about the sources of data are also provided.
Do I Interpret Data Correctly? "Rhetoric" is the art of persuading others. Since one of the aims of statistics is to persuade people, it can be considered as a branch of rhetoric. The special thing about statistics is that it uses numbers rather than words in this process. This study tries to summarize the problems that can be faced while starting to work with data and moreover it also focuses on the points necessary to overcome these problems. While starting to make a research, infact the first and maybe the most important step is to understand the data perfectly. One has to ask questions like where these data are coming from, how trustable they are and what they do mean. In other words, one has to ask the question "Do I interpret the data correctly?" The answer to this question is very important because all of the emprical results that will be obtained later on and the arguments that will be produced after obtainig the results will entirely depend on the data that are used. If there is a problem with the data the results and arguments can lead to illusion. Unfortunately, in most of the applied statistical and econometric studies this first step is mostly ignored. No one should be blamed for this situation because importance of analysis of data is very recently realised. This study focuses on the example of Gross National Product (GDP) data in order to explain the mentioned problems.