How does the Exchange Rate Movement Affect Macroeconomic Performance? A VAR Analysis with Sign Restriction Approach– Evidence from Turkey

In this paper, we assess the effect of exchange rate movement on macroeconomic performance by differentiating the source of exchange rate movement as either an expansionary monetary policy or a portfolio preference shock using quarterly data from Turkish economy for the period 1987:Q1 to 2008:Q3. Empirical evidence suggest that if the depreciation of the exchange rate stems from an expansionary monetary policy shock, then the effect of currency depreciation on the economy is expansionary. On the other hand, if currency depreciation comes from a portfolio choice allocation, then the effect of exchange rate deprecation on the economy is contractionary.Exchange Rates, Monetary Policy, Vector Autoregression and Sign Restrictions.

Asymmetric effects of central bank funding on commercial banking sector behaviour

In this paper, we assess the effects of Central Bank Funding (C.B.F.) on commercial bank lending behaviour by using weekly Turkish data from 7 January 2011 to 5 June 2015. To be specific, using the Nonlinear Autoregressive Distributed Lag Error Correction Model, we assess the effects of C.B.F. provided daily by the Central Bank of the Republic of Turkey through Open Market Operations to financial markets. Our empirical evidence reveals that for all types of lending, an increase in C.B.F. (which has a higher cost for commercial banks relative to alternatives) forces commercial banks to borrow from higher-cost channels, i.e., we find that increasing C.B.F. discourages commercial bank lending. We also find that decreases in C.B.F. that proxy what commercial banks can borrow more cheaply from alternative sources increase commercial bank lending. However, increasing C.B.F. is more effect- ive than decreasing C.B.F. for Total Bank Loans, Total Credit Cards and Automobile Loans, and decreasing C.B.F. is more effective in the short run for Consumption Loans, Housing Loans and Commercial Loans:short-run asymmetry. Therefore, we can report only limited support forlong-run asymmetry, and consequently, claim that there ismagnitude(an increase versus decrease in C.B.F.) andcategory asymmetry(across different lending categories)

Day of the week effect on foreign exchange market volatility: Evidence from Turkey

Cataloged from PDF version of article.This paper assesses the day of the week effect of the daily depreciation of the Turkish lira (TL) against the US dollar (USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with higher and Mondays with lower depreciation rates compared to those of Wednesdays. Moreover, Mondays and Tuesdays are associated with higher volatility than Wednesdays. © 2006 Elsevier B.V. All rights reserved

Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul

This article contributes to the asset pricing literature by offering an alternative missing factor: the excess holdings of foreign investors. To incorporate this factor, we mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to portfolio preferences (foreign ownership) using the Fama and French’s three-factor model. Our findings suggest that market factor, size, and book-to-market (B/M) variables are still statistically significant and Jensen’s alpha is still not significant, and we obtain a statistically significant negative relationship between the excess return of foreign investors’ ownership and the return variation of a given portfolio

Effects of the real exchange rate on output and inflation: Evidence from Turkey

This paper assesses the effects of real depreciation on the economic performance of Turkey by considering quarterly data from 1987:I to 2001:III. The empirical evidence suggests that, contrary to classical wisdom, the real depreciations are contractionary, even when external factors like world interest rates, international trade, and capital flows are controlled. Moreover, the results obtained from the analyses indicate that real exchange rate depreciations are inflationary

Football and the risk-return relationship for a stock market: Borsa Istanbul

We hypothesize that results of football (soccer) teams affect the risk perception of people. People choose riskier investments after a win and less risky investments after a loss; this leads to higher (lower) returns in the stock market. These hypotheses are tested for the international matches of Turkey's three most popular teams (Beşiktaş, Fenerbahçe, and Galatasaray). The empirical findings suggests that the teams' wins led to higher asset returns and lower risk aversion on the following business day of the Borsa Istanbul and lower returns and higher risk aversion after a loss or a tie. © 2013 M.E. Sharpe, Inc. All rights reserved