Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks

This study examines the validity of the purchasing power parity (PPP) in 8 transition countries for monthly data from 1992:1 to 2009:1. While results from both the ADF unit root and the KPSS unit root test indicate that PPP does not hold for Bulgaria, Croatia, Czech Republic, Hungary, Macedonia (FYR), Poland, Romania and Slovak Republic. In the presence of structural breaks, PPP holds only for Bulgaria and Romania it does not hold for the other 6 transition countries. Testing the stationarity of real exchange rate series by using four types of unit roots tests, the evidence suggests that real effective exchange rate is nonstationary and thus PPP doesn’t hold for all 6 transition countries in the long run. All results emphasized that there is weak evidence about the long-run PPP hypothesis in transition countries and the validity of PPP remains a controversial and unsettled issue.real exchange rate, unit root tests, structural breaks, transition countries

The Demand for Money in Transition Economies

This paper examines the long-run determinants of the demand for money in ten transition countries using panel data for the 1994-2005 period. Using panel unit root tests we rejected the the null hypothesis of the nonstationarity and employed the feasible generalized least squares (FGLS) model. Consistent with theoretical postulates, it is found that (a) the demand for money in the long-run positively responds to real GDP and inversely to the inflation and the real effective exchange rate and (b) the long-run income elasticity is about unity.demand for money, transition economies, panel unit root test, feasible GLS

Electricity Consumption and Economic Growth Nexus: A Multivariate Analysis for Turkey

This study examines the short-run and long-run causality issues between electricity consumption and economic growth in Turkey for 1968–2006 period by using Granger causality models augmented with a lagged error-correction term. The bounds F–test for cointegration test yields evidence of a long-run relationship between employment ratio, electricity consumption per capita and real GDP per capita. The overall results from the three error-correction based Granger causality models show that there is an evidence of unidirectional short-run, long-run and strong causalities running from the electricity consumption per capita to real GDP per capita. But, there is no causal evidence from the real GDP per capita to electricity consumption per capita. In other words, “Growth hypothesis” is confirmed in Turkey. This suggests that electricity consumption plays an important role in economic growth.electricity consumption, economic growth, causality

THE EFFECTS OF MARKET AND INDUSTRY FACTORS ON THE RETURNS OF COMMON STOCKS TRADED ON THE ISTANBUL STOCK EXCHANGE

This study examines the effects of market and industry factors on returns of common stocks traded on the Istanbul Stock Exchange (ISE) in Turkey. Of the common stocks listed on the Istanbul Stock Exchange, 142 were listed continuously from December, 1996, through December, 2001. The common stocks of the fourteen sectors traded on the Istanbul Stock Exchange were used to estimate the model parameters. Each common stock includes 60 observations. It is found that the single index model is weak in terms of predicting the return on the common stocks of “the food, beverage, tobacco†and “financial leasing and factoring†sectors. The industry index model is also weak for the prediction of the returns on the food, beverage and tobacco sector common stocks. The industry index model is generally better than the single index model in terms of predicting the returns on common stocks.

The Relationship between Institutional Structure and Economic Growth: A Comparative Analysis for Selected Countries

This study explores the long-run relationship between institutional structure and economic growth for selected countries for 1993-2012 period by using dynamic panel data analysis. The results can be summarized as follows: i) There exists a cross-sectional dependence for variables and models ii) All variables are stationary at their first difference except for institutional indicator of second group. iii) There exists a cointegration relationship between non-stationary variables. iv) Institutional structure has positive and statistically significant impact on economic growth in First group of countries. v) There is no significant relationship between institutional structure and economic growth in second group of countries. vi) Gross capital formation has positive impact on economic growth in both groups. Keywords: Institutional Economics, Institutional Structure, Economic Growth, Panel Data Analysis, International Country Risk Guide. JEL Classifications: C33, D72, O5

Environment–economic Growth Nexus: A Comparative Analysis of Developed and Developing Countries

This study aims to examine the interaction between carbon emissions, income, and trade openness in developed and developing countries for the period from 1980 to 2010 by using recently developed panel data econometric methods. The results are as follows i) There is an evidence of the cross-sectional dependence for each variable. ii) The cross-sectionally augmented and Smith et al.'s panel unit root tests are indicate that all variables are stationary at their first difference. iii) A Durbin–Hausman cointegration test shows that there exists a long-term relationship between variables. iv) The results from the common correlated effect (CCE) estimator presents that there is evidence of the validity of the environmental Kuznets curve (EKC) hypothesis in developed countries. v) The EKC hypothesis is not valid in developing countries. Keywords: Economic Growth, Environmental Kuznets Curve, Panel Data Analysis JEL classifications: C33, O57, Q43, Q53, Q5

The Convergence Behavior of CO2 Emissions in Seven Regions under Multiple Structural Breaks

The aim of this paper is to examine the convergence behavior of carbon dioxide emissions per capita (co) in seven regions for 1960-2011 period by using recently developed the second generation panel data methods. Empirical results are as follows: i) there exists cross-sectional dependency for co variable ii) the CADF unit root test without structural breaks shows that the co variable is stationary at its first differences, iii) but the PANKPSS unit root test with structural breaks the co variable is stationary at its level. The overall results indicate that the regional stochastic convergence of carbon emission per capita is valid for the seven regions under structural breaks and any environmental shock has temporary effect. Keywords: Carbon Emissions, Stochastic Convergence, Panel Data. JEL Classifications: C33, Q53, Q5

Using Data Mining Techniques for Detecting the Important Features of the Bank Direct Marketing Data

Collection of customer information is seen necessary for development of the marketing strategies. Developing technologies are used very effectively in bank marketing campaigns as in many field of life. Customer data is stored electronically and the size of this data is so immense that to analyse it manually with a team of human analysts is impossible. In this paper, data mining techniques are used to interpret and define the important features to increase the campaign's effectiveness, i.e. if the client subscribes the term deposit. The bank marketing dataset from the University of California at Irvine Machine Learning Repository has been used for the proposed paper. We consider two feature selection methods namely Information Gain and Chi-square methods to select the important features. The methods are compared using a supervised machine learning algorithm of Naive Bayes. The experimental results show that reduced set of features improves the classification performance. Keywords: Bank marketing, feature selection, machine learning methods, data mining, chi-square, information gain. JEL Classifications: C80, C50, Y10, M3

Fama-French Five Factor Model: Evidence from Turkey

The aim of this study is to test the validity of the Fama-French Five Factor Model (FF5F) in Borsa Istanbul (BIST) during the 132-month period between July 2005 and June 2016. Therefore, the excess returns of 14 different intersection portfolios constructed on the basis of size, market to book ratio, profitability and investment factors have been used during period between July 2005 and June 2016. Our results show that there is no pricing error according to result of Gibbons, Ross, and Shanken (1989) GRS-F test of FF5F. Hence, FF5F seems to be valid in the BIST. In addition, FF5F  appear to explain variations on excess portfolio returns. Keywords: CAPM, Fama-French Five Factor Model, Asset Pricing Models, Time Series. JEL Classifications: C19, D53, G1

The Role of Renewable Energy Consumption and Trade: Environmental Kuznets Curve Analysis for Sub-Saharan Africa Countries

Based on the Environmental Kuznets Curve (EKC) hypothesis, this paper uses panel cointegration techniques to investigate the short and the long-run relationship between CO2 emissions, economic growth, renewable energy consumption and trade openness for a panel of 24 Sub-Saharan Africa countries over the period 1980-2010. The validity of the EKC hypothesis has not been supported for these countries. Short-run Granger causality results reveal that there is a bidirectional causality between emissions and economic growth; bidirectional causality between emissions and real exports; unidirectional causality from real imports to emissions; and unidirectional causality runs from trade (exports or imports) to renewable energy consumption. There is an indirect short-run causality running from emissions to renewable energy and an indirect short-run causality from GDP to renewable energy. In the long-run, the error correction term is statistically significant for emissions, renewable energy consumption and trade openness. The long-run estimates suggest that real GDP per capita and real imports per capita both have a negative and statistically significant impact on per capita CO2 emissions. The impact of the square of real GDP per capita and real exports per capita are both positive and statistically significant on per capita CO2 emissions. For the model with imports, renewable energy consumption per capita has a positive impact on per capita emissions. One policy recommendation is that Sub-Saharan countries should expand their trade exchanges particularly with developed countries and try to maximize their benefit from technology transfer generated by such trade relations as this increases their renewable energy consumption