Forecasting Volatility: Evidence from the Bucharest Stock Exchange

Financial series tend to be characterized by volatility and this characteristic affects both financial series of developed markets and emerging markets.  Because of the emerging markets have provided major investment opportunities in last decades their volatility have been widely investigated in the literature. The most popular volatility models are the Autoregressive Conditional Heteroscedastic (ARCH) or Generalized Autoregressive Conditional Heteroscedastic (GARCH) models. This paper aims to investigate the volatility of Bucharest Stock Exchange, BET index as an emerging capital market and compare forecasting power for volatility of this index, during 2000-2014. To do this, this paper use several GARCH type models against Normal distribution, Student-t distribution and Generalized Error distribution. Then we provide the testing of the predictive power of these GARCH type models and compare their performances on an in sample test. After comparing the forecasting performance of all models, best model will be found by means of forecasting performance

4th Istanbul Conference of Economics and Finance

Conference Note

Investigating the World Trade of Natural Fibers

This study investigates the World international trade of jute, abaca, coir, kenaf and sisal products which is abbreviated as JACKS in the literature. The period we cover is 2003–2022 and the technique we use is descriptive analysis. The data collected is based on Harmonized System Codes and the proxy we used as JACKS is HS 53. At first, we handle the data of aggregated textile industry then we study JACKS. The results show that JACKS in the textile industry is not high but there are many researches about these products. We find that the main JACKS’ importer and exporter is China and its import and export values are increasing in the long term with some declines in the short term.

Measurement of efficiency of fiscal policies implemented for global crisis: Did Turkey have success in crisis management?

Even if fiscal policy measures of countries show similarities, these measures have an important role in depth of recession and depression, reestablishment of market confidence and determination of the duration of economic recovery together with stability and elasticity of domestic financial and economic system. In the study, the effects of fiscal policies, which were implemented in Turkey during global crisis, on growth trend of the country in the period of crisis were examined. The effects of fiscal policy shocks on national income were examined through structural VAR system by using the data of the period of 2006-2012 and it was seen that the effects of net tax income and public expenditures in the model on growth was positive. On the basis of empirical findings of the study, it can be said that fiscal policies which were implemented in Turkey during last global crisis partially have growth-increasing effect

GROWTH AND OPENNESS RELATIONSHIP IN THE EU15: PANEL DATA ANALYSIS

Conventional wisdom suggests that openness of an economy promotes economic growth. There is still argument among economists concerning how a country’s macroeconomic variables and its economic growth interact in numerous econometric studies by using panel data. This paper examines the impact of openness on economic growth for the EU-15 area in 1996–2003. In our empirical work, we have used the panel data technique which is also called longitudinal data or cross-sectional time series data. Panel data is generally concerned with choosing among three alternative regressions that are named fixed effects, random effects and pooled model estimation. The variables used are growth, openness, price level, investment and government share of RGDP. We find that openness has had a weak but negative impact on economic growth in this region over this period. Also, we have found that an increase in investment and a decrease in government expenditure have supported economic growth in the EU-15 countries

How did the 2007-2008 Financial Crisis Influence Turkish Firms

Abstract. This paper investigates whether 2007-2008 global financial crisis hadan effecton Turkish firms. For this purpose, we investigated the firm-specific factors affecting the stock returns of firms in the BIST-XU100 in the 2004-2009 periods. The period was divided into two sub-samples, namely pre-crisisand during-crisis periods. Moreover, the effects of firm size, market-to-book ratio (MB), and price-to-earnings (PE) ratio on stock return were examined using feasible generalized least-squares (FGLS) and panel-corrected standard errors (PCSE) models. In the literature, the US subprime mortgage crisis meltdown and spillover effects were studied on different countries and different stock markets. In this study, not only crisis effects but also effects of firm-specific factors were considered. Integration levels of the series were investigated by panel unit root tests. The models were used for both sub-samples, and the results of the two models werecompared. The results showed that. Size and MB variables were significant in all the periods and had positive effects on the stock return of the firms, and the global financial crisis hada significant but weak effect on Turkish firms.Keywords.Financial Crisis, Stock Market, FGLS, PCSE.JEL.C23, G01, G20

Nowcasting Credit Demand in Turkey With Google Trends Data

Age of Big Data and internet has brought variety of opportunities for social researchers on identifying on-going social trends instantly. As internet user base grew exponentially, major internet content search companies have begun to offer data mining products which could extract attitude of on-going trends and identify new trends on web as well. Since 2009, as a pioneer on these web analytics solutions Google has launched Google Trends service, which enables to researchers to examine change of trend on specific keywords. We use weekly Google Trends Index of “General Purpose Loan” (GT) and total out-standing volume of Turkish banking system from the data period of first week of March 2011 to second week of September 2014. In this paper we test whether the Google Analytics search index series can be used as a consistent forecaster of national general purpose loan (GPL] demand in Turkey. We show how to use search engine data to forecast Turkish GPL demand. The results show that Google search query data is successful at nowcasting GPL demand

Türkiye'de Enflasyon Hedeflemesi ve Enflasyonun Öngörüsü

Yeni Zelanda Merkez Bankası 1990'da enflasyon hedeflemesini benimseyen ilk Merkez Bankası oldu ve ardından diğerleri onu izledi. Türkiye Cumhuriyet Merkez Bankası (TCMB) 2002-2006 süresince "Örtük Enflasyon Hedeflemesi" uyguladı ve 2006 yılı başında "Açık Enflasyon Hedeflemesi"ne geçti. Bu çalışma 2003:01-2008:02 aylık verilerini kullanarak Türkiye enflasyonunun önümüzdeki üç aylık aralıktaki öngörüsünü araştırmaktadır. Bu amaçla; Naive Model, Üssel Düzeltme Modeli ve ARIMA Modeli kullanılmıştır. Bulgular ARIMA modelinin uygulama döneminde en iyi başarıya sahip olduğunu göstermektedir. Öngörülen değerler enflasyonun 2008 yılının üçüncü ve dördüncü aylarında artacağını, beşinci ayında azalacağını göstermektedir.The Reserve Bank of New Zealand was the first central bank that adopted formal Inflation Targeting in 1990, then others followed it. During the years 2002-2006, Central Bank of the Republic of Turkey (CBRT) has implemented Implicit Inflation Targeting and at the beginning of 2006 formally moved onto an Inflation Targeting. This paper investigates forecasts of Turkey inflation in the coming three-month horizon using 2003:01-2008:02 monthly data. For this purpose; this paper uses Naive Model, Exponential Smoothing Model and ARIMA Model. The findings suggest that ARIMA model have best in sample performance. Forecasted values show that inflation increases in third and fourth month of 2008 but decreases in fifth month

Altın Piyasasında Asimetrik Oynaklık: Türkiye İçin Model Önerisi Volatility In Gold Market: Model Recommendation For Turkey

Altın geleneksel olarak servet saklama aracı olarak algılanmış ve ayrıca parasal bir varlık ve özellikle finansal piyasalarda güvenli bir liman olarak görülmüştür. Günümüzde altının parasal varlık ve güvenli liman algısı ağır basmaktadır. Bu bağlamda altın fiyatlarının incelenmesi finans yazını açısından önem taşımaktadır. Bu çalışmada Türkiye’de altın fiyatlarındaki oynaklık 01.01.2010 – 28.10.2016 dönemi için İstanbul Altın Piyasası (ABD Doları/Ons) günlük verileri kullanılarak incelenmiştir. Çalışmada asimetrik etkilerin saptanması amaçlanmış ve asimetrik oynaklık modellerinden APARCH, TARCH ve EGARCH modelleri ve GARCH modeli kullanılmıştır. Model karşılaştırma ölçütlerine göre, APARCH modeli, altın fiyatlarının getiri serisindeki oynaklığı açıklayan en uygun model olarak seçilmiştir. APARCH modeli sonucunda İstanbul Altın Piyasası için kaldıraç etkisinin çalıştığı ve negatif olduğu saptanmıştır. Bu sonuca göre, Türkiye’de altın fiyatlarındaki oynaklığın, olumlu şoklardan olumsuz şoklardan daha fazla etkilendiği belirlenmiştir. Gold is traditionally perceived as a store of wealth and also considered as a monetary asset and a safe heaven especially in financial markets. Nowadays its monetary asset and safe heaven perception are outweigh. In this context investigating gold price has importance for finance literature. In this paper volatility of Turkish gold price is investigating using İstanbul Gold Exchange (USD/Ons) daily data for the period of 01.01.2010 – 28.10.2016. This paper aims to detect to asymmetric effects then asymmetric volatility models which are APARCH, TARCH and EGARCH are used, and GARCH model is used. Based on model comparison criteria APARCH model is chosen as a best model to explain volatility of returns of gold price. Result of APARCH model shows that the leverage effect exists and found that negative. According to the result, it is found that the volatility in the Turkish gold price is more affected by positive shocks than negative shocks