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Yayın Küçük açık ekonomilerde döviz kuru ile faiz oranı arasındaki oynaklık değiş-tokuşunun kestirimi: Hong Kong örneği(Marmara Üniversitesi, 2014) Taşbaşı Şen, AslıBu çalışmada, döviz kurlarındaki oynaklığın (volatility) ortadan kaldırılmasının faiz oranlarındaki oynaklığı artırıp artırmadığı sorusu görgül olarak incelenerek, sabit ve esnek döviz kuru sistemleri arasındaki politika tercihinin değerlendirilmesi amaçlanmıştıır. Oynaklık değiş-tokuşu (volatility trade off) olarak adlandırılan bu hipotez, Hong Kong ekonomisi için, genelleştirilmiş ardışık bağlanımlı, koşullu, değişen varyans (generalized autoregressive conditional heteroscedasticity - GARCH) modeli yardımıyla sınanmıştır. Veri kümesi, kriz öncesi dönem, kriz dönemi ve kriz sonrası dönem olarak üç alt kümeye bölünmüş ve farklı sonuçlar elde edilmiştir. Kriz öncesi ve kriz sonrası dönemler döviz kuru oynaklığı ile faiz oranı oynaklığı arasında bir değiş-tokuşa işaret ederken, kriz döneminde değiş-tokuş hipotezine aykırı olarak döviz kuru ve faiz oranı hareketleri arasında pozitif bir ilişki tespit edilmiştir.Yayın The US term structure and return volatility in global REIT markets(Asia University, 2020-09) Demirer, Rıza; Gupta, Rangan; Yüksel, Aslı; Yüksel, AydınThis paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components that reflect the expectations factor and the maturity premium. We show that the expectations factor component of the U.S yield curve has significant explanatory power over return volatility in REIT stocks, both in the U.S. and globally, even after controlling for stock market trading activity. The expectations factor is generally found to have a positive effect on REIT market volatility, more significantly for the U.S. and Japanese REITs, highlighting the role of global funding conditions (via expected short rates) on return fluctuations in real estate markets. Comparing the findings for the pre-and post-global crisis periods, however, we find that the U.S. term structure has largely lost its explanatory power over global REIT markets, implied by largely insignificant effects during the post-global crisis period. The findings highlight the changing dynamics in REIT investments in the aftermath of the 2018 global credit crunch, possibly due to the slowdown of investmentsin the real estate sector globally, and suggest that investors will have to focus more on the idiosyncratic risk factors that drive these markets.Yayın The impact of real effective exchange rate and its volatility on economic growth in the OECD(Işık Üniversitesi, 2023-11-30) Dada, Samson Adewale; Görkey, Selda; Işık Üniversitesi, Lisansüstü Eğitim Enstitüsü, Uygulamalı Ekonomi Yüksek Lisans ProgramıThis study examines the effects of the real effective exchange rate (REER) and its volatility on economic growth from 1996 to 2020 in 36 OECD countries utilizing fixed effects (FE) and random effects (RE) methodologies from panel data econometrics. For empirical analysis, the Hausman test indicates that the fixed effect method is superior to the random effect method; and there were presence of cross-sectional dependencies, autocorrelation, and heteroskedasticity in the FE model. The robust estimates derived by the FE estimation using DRK S.E. indicate that the impact of the real effective exchange rate on economic growth is negative and statistically significant whereas the REER volatility has an insignificant effect on economic growth in the OECD throughout the examined period. The findings from the FE model with robust S.E. further evidence a significantly negative impact of GCE and a significantly positive impact of GCF on economic growth. While population growth and trade do not result in any significant impact on economic activity, the influence of inflation on GDP growth presents mixed findings on significance levels both of which point out to negative impacts. This study presents crucial outcomes in that the impacts of REER and REER volatility on economic growth present diversified outcomes over the past decades in the OECD.Yayın Market risk premiums in BIST 100 in the Covid era(PressAcademia, 2021-12-31) Teker, Suat; Teker, Dilek; Demirel, EsinPurpose- Capital Asset Pricing Model (CAPM) is the most widely used and popular method in analysis of investment projects, stock valuation, firm valuation, mergers and acquisitions, initial public offerings and secondary public offerings. The determination of market risk premium is one of the most important inputs in the application of this model. The determination of market risk premium for the Turkish market has not deeply studied in the literature so far. This study intends to calculate the market risk premium for the Turkish Stock Market with a special emphasis on the Covid-19 era. Methodology- The monthly data from the Reuters Database are collected for the BIST100 and 17 different sectoral indexes for the years of 2019 and 2020. Moreover, the monthly average short term interest rates on the Turkish Treasury Bonds are obtained from the database of Central Bank of Turkey for the years of 2019 and 2020. Based upon the historical observations, the market risk premium is defined as the difference in between the market index returns (BIST100 and 17 sectoral indexes) and the average short term interest rates on monthly basis. Findings- The market risk premiums measured on BIST100 index are about 10% in 2019 and 20% in 2020. The market risk premium is doubled in the Covid era. The volatilities of BIST100 index are 7.86% in 2019 and 8.15% in 2020. The volatility of market risk premiums are also significantly increased in the Covid era. Conclusion- Covid era has significantly increased the market risk premiums and volatilities of the Turkish market. The results of this study may be used as a reference study for local and international financial institutions, valuation industry and trade firms and academics for an approximation of market risk premium in the Covid era.Yayın Sectoral market risk premiums in Turkey(PressAcademia, 2022-07-30) Teker, Suat; Teker, Dilek; Demirel, EsinPurpose- This empirical study aims to measure the sectoral market risk premiums in the Turkish stock market for the period of 2016 and 2021 and also estimate the sectoral market risk premiums for the years 2022, 2023 and 2024. Capital Asset Pricing Model (CAPM) is the most widely used and popular method in the analysis of investment projects, stock valuation, firm valuation, mergers and acquisitions, initial public offerings, and secondary public offerings. The market risk premium in CAPM is defined as the the difference in between expected market returns and interest rates. The determination of market risk premium is one of the most important inputs in the application of the CAPM. This study intends to calculate the market risk premiums and volatilities for the sectors of Borsa Istanbul for the periods of pre-Covid (2016-2017-2018) and in the Covid-19 era (2019-2020-2021). Methodology- The monthly data from the Reuters Database are collected for the BIST100 and 17 different sectoral indexes and short-term interest rates between the years 2016 and 2021. A total of 1296 observations are obtained. Based upon the historical observations, the market risk premiums are defined as the difference between the market index returns (BIST100 and 17 sectoral indexes) and the average short-term interest rates on monthly basis. Then, using the ARIMA forecasting method, the market risk premiums are estimated for the years 2022, 2023, and 2024. A total of 576 data points are forecasted. Findings- The average risk premium on the BIST100 index is about -2.44% for the pre-Covid era and 14.01% for in-Covid era. The market risk premiums sharply increased from the pre-Covid period to the Covid period. The average volatility on the BIST100 index is about 0.23% for the pre-Covid era while 0.34% in the Covid era. The volatility of the market returns also incresed significantly. Moreover, the Cusum Square Test results point a structural break in the Covid-era. The ARIMA estimates of market risk premiums are 1.87% for 2022, 0.43% for 2023 and 0.42% for 2024. THe ARIMA estimates of volatilities are 0.70% for 2022, 0.72% for 2023 and 0.71% for 2024. Conclusion- The empirical evidence strongly support a structural change in the Covid era with higher market risk premiums and volatilities. The forecasted market risk premiums for the next three years show a diminishing trend while the forecasted volatilities show high and persistent level.
